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时 间：2017年11月16日（星期四）下午：2：30---4：30

地 点：雁山校区行政北楼（起文楼）公司505会议室

题 目： Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility（基于随机收入与随机波动率的含衍生品与模糊厌恶的养老金最优投资策略）

报告人：曾 燕 博士

              中山大学岭南公司、中山大学金融工程与风险管理研究中心

报告人简介：

      现为中山大学岭南公司副教授、博士生导师，广东省杰青、霍英东教育基金项目获得者，主要从事金融工程、风险管理、保险精算与金融经济学等领域的研究。主持或完成国家自然科学基金项目3项，在著名期刊《Insurance: Mathematics and Economics》、《Journal of Economic Dynamics and Control》等发表学术论文40余篇， SCI/SSCI收录20余篇；获广东省哲学社科优秀成果一等奖、第七届高等学校科学研究优秀成果三等奖等奖项，兼任中国运筹学会金融工程与金融风险管理分会副秘书长、Quantitative Finance and Economics编委等职。

  摘 要：

     This paper provides a derivative-based optimal investment strategy for an ambiguity averse pension investor who faces not only risks from time-varying income and market return volatility but also uncertainty of economic condition over a long-time horizon. We derive a robust dynamic derivative strategy and show that the optimal strategy under ambiguity aversion reduces the exposure to market return risk while increases the exposure to stochastic volatility risk, while derivatives can effectively hedge stochastic volatility risk. More importantly, we demonstrate the welfare improvement when considering ambiguity and exploiting derivatives and show that ambiguity aversion and derivatives improve the welfare significantly when return volatility increases, while the improvement becomes more significant under ambiguity aversion over long investment time horizon.

    欢迎广大教师、研究生届时参加，并相互转告。