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Negative Risk: A Generalized Risk Measure and Application to Portfolio Selection

主讲人: 陈灯塔(Max CHEN)
主讲人简介: Max CHEN (陈灯塔)
Associate Professor of Finance and Econometrics
School of Business, Huaqiao University (华侨大学商学院)
简介: bilateral partial moment, where downside risk is supplemented with the “upside potential”. Variance, mean absolute deviation, semi-variance and other downside risk definition are all incorporated in this framework. The portfolio selection problems in this general class of risk model are discussed. The portfolio optimization provides the flexibility for the selection of an appropriate target return and the weight of upside potentials.
时间: 2008年11月12日(周三)4:30PM-6:00PM
地点: 经济楼D110
类型: 独立讲座
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