报告题目: Portfolio Optimization with Conditional Value-at-Risk
报 告 人：Tao Pang (Professor, North Carolina State University)
报告时间：2019年12月9日（星期一），10:00—11:30
报告地点：龙赛理科楼北楼116会议室
报告摘要: We consider a portfolio optimization problem of the Black-Litterman type, in which the investor’s view can be incorporated under a Bayesian framework. We use the conditional value-at-risk (CVaR) as the risk measure and the multi-variate elliptical distributions, instead of the multi-variate normal distribution, to model the financial asset returns. We propose an approximation algorithm and establish the convergence results. Based on the approximation algorithm, we derive a closed-form solution of the portfolio optimization problems of the Black-Litterman type with CVaR.
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