（5月24日）精算学术报告和小型座谈会

题目： Asymptotic Analysis of  Portfolio  Diversification

报告人： Fan Yang，University of Waterloo，Canada

报告时间： 5月23日 4:00-5:00

报告地点： 工商楼2楼报告厅

摘要:

In this paper, we investigate the optimal portfolio construction aiming at extracting the most diversification benefit. We employ the diversification ratio based on the Value-at-risk as the measure of the diversification benefit. With modeling the dependence of risk factors by the multivariate regularly variation model, the most diversified portfolio is obtained by optimizing the asymptotic diversification ratio.  Theoretically, we show that the asymptotic solution is a good approximation to the finite-level solution. Our theoretical results are supported by extensive numerical examples. By applying our portfolio optimization strategy to real market data, we show that our strategy provides a fast algorithm for handling a large portfolio, while outperforming other peer strategies in out-of-sample risk analyses.

二、小型座谈会

主题：（1）精算研究最新动态；（2）将统计方法应用于精算研究

时间：24日上午9：30-11：30

地点：欧阳楼202教室

欢迎老师和同学参加！

联系人：张奕