预告 | 中山大学岭南学院保险与金融工程教研室学术讲座:Green 嵌套式模拟及其在投资组合风险度量中的应用

中山大学岭南学院
2022-12-02 18:30 浏览量: 6012

中山大学岭南学术论坛分经济学和金融学两大系列,是定期邀请国内外优秀学者前来开展学术交流的平台。每系列每个月定期举办2-3次。目前已经成功举办多期,并得到了各界的高度评价。

保险与金融工程教研室学术讲座

报告题目

Green 嵌套式模拟及其在投资组合风险度量中的应用

报告人

刘光梧

香港城市大学商学院 教授

主持人

刘彦初

中山大学岭南学院 副教授

讲座介绍

Nested simulation is a natural approach to tackle nested estimation problems in operations research and financial engineering. The outer-level simulation generates scenarios and the inner-level simulations are ran in each outer scenario to estimate the corresponding conditional expectation. The resulting sample of conditional expectations is then used to estimate different risk measures of interest. Despite its flexibility, nested simulation is notorious for its heavy computational burden.

We introduce a novel simulation procedure that reuses inner simulation outputs to improve the efficiency and accuracy in solving nested estimation problems. We analyze the convergence rates of the bias, variance, and MSE of the resulting estimator. In addition, central limit theorems and variance estimators are presented, which lead to asymptotically valid confidence intervals for the nested risk measure of interest. Numerical studies on two financial risk measurement problems show consistent results with the asymptotic analysis and show that the proposed approach outperforms the standard nested simulation and a state-of-art regression approach for nested estimation problems.

报告人介绍

刘光梧

Dr. Guangwu Liu is currently a professor in Department of Management Sciences, College of Business at City University of Hong Kong. His research interests include stochastic simulation and machine learning, with applications in financial engineering and risk management. He has published in journals including INFORMS Journal on Computing, Management Science, Operations Research, and Production and Operations Management. He currently serves as an associate editor for Naval Research Logistics and Operations Research.

主持人介绍

刘彦初

中山大学岭南学院副院长,金融学副教授,博士生导师。香港中文大学金融工程学博士、博士后,中国科学技术大学理学硕士与理学学士。主要研究兴趣为金融工程,金融科技,以及相关应用。在上述研究领域取得多项成果,并发表(或接收待发表)于《管理科学学报》,Operations Research,INFORMS Journal on Computing,Journal of Futures Markets,Journal of Economic Dynamics and Control,Quantitative Finance,European Journal of Operational Research,Insurance: Mathematics and Economics,IEEE Transactions on Engineering Management,Energy Policy,Technological Forecasting & Social Change,European Journal of Finance,Decision Sciences,Annals of Operations Research,Operations Research Letters,Finance Research Letters等国内外主流学术期刊。主持国家自然科学基金,中山大学高校基本科研业务费青年教师重点培育项目,中国期货业协会研究课题等科研基金。担任中国运筹学会金融工程与金融风险管理分会常务理事。相关研究曾获得2017年第九届中国决策科学学术年会优秀论文奖,第十四届金融系统工程与工程管理国际年会(FSERM2016)优秀论文奖,岭南学院董事会“杰出科研贡献奖”等奖项。

时 间

2022年12月6日(周二)

中午12:30

语 言

中文+英文

腾讯会议ID

118-852-642

编辑:梁萍

(本文转载自中山大学岭南学院 ,如有侵权请电话联系13810995524)

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