一、 报告题目：Portfolio Optimization under Probabilistic Risk Measure
二、 报告人：澳大利亚Curtin大学Kok Lay Teo（John Curtin杰出贡献教授）
三、 报告时间：2017年10月5日（星期四）上午10:00
四、 报告地点：慧智楼90510（数学与统计学院会议室）
五、 参加人员：学院相关学科老师、以及拟出国的研究生
六、 主讲人简介：
Kok Lay Teo教授，博士毕业于加拿大渥太华大学， 1998年至2005年任香港理工大学应用数学系的首席教授和系主任。2005年至2010年任科廷大学数学与统计学系主任，首席教授。现任澳大利亚Curtin University（科廷大学）John Curtin杰出贡献教授。Teo教授主要从事金融投资组合优化、最优控制与鲁棒控制理论等方面的工作，在运筹学以及优化算法方面有着很深的学术造诣和威望，出版英文专著5部，发表高水平和高影响的学术论文500余篇，曾主持完成合计470万港元和近200万澳元的科研项目，领导开发了用于求解非线性最优控制问题的专门软件包MISER等并设计开发软件MISER 3.3。Teo教授应邀主题发言、大会报告和邀请报告20余次，得到了国际学术界的高度认可，并作为大会主席组织了多个专题国际学术大会。Teo教授现任国际SCI期刊《Journal of Industrial and Management Optimization》、以及《NumericalAlgebra、Control and Optimization》、《Dynamics of Continuous, Discrete and Impulsive Systems, Series B》、《Cogent Mathematics》主编，以及《Automatica》、《Journal of Global Optimization》、《Journal of Optimization Theory and Applications》、《Optimization and Engineering》、《Discrete and Continuous Dynamic Systems》、《Optimization Letters》、《Applied Mathematical Modelling》等一系列国际SCI期刊的副主编或编委。
七：报告摘要
Portfolio selection models are of great practical significance toinvestors around the world. The way risk is defined and measured will lead todifferent optimal portfolios. Markowitz laid the foundation for this line ofresearch with the well-known mean-variance (M-V) model in a single period case.In Markowitz's model, the portfolio variance was used as a measure of risk. Sincethen, many other risk definitions have been proposed.One such measurein a single period case is the mean absolutedeviation. Another form of risk measurein a single period caseis in terms of minimizing the maximum of individual risk which is measured using the mean absolutedeviation. In the first part of thispresentation, we introduce a probabilistic risk measurein a single period case, with allowance to cater for investors withdifferent degree of risk aversion. The portfolio selection problem is formulated asa bi-criteria optimization problem to maximize the expected portfolio return andminimize the maximum individual risk of the assets in the portfolio. This bi-criteria optimization problem is shown to be equivalent to a linear programming problem. A simple analytical solution is derived. In the second part of this presentation, theprobabilistic risk measure is extended for a multi-period portfolio selection problem. Like the single period case, an analytical solution is obtained for the corresponding bi-criteriaoptimization problem.
