报告题目：The Outperformance of MMVaR in Risk-Return Trade-Off and Portfolio Selection with Comparisons to Other Risk Measures
报告人：张正军 中国科学院大学经济管理学院教授
主持人：窦余仁
报告时间：2023年3月23日（星期四）上午9：30-11：00
报告地点：文典阁报告厅
报告摘要：The risk-return trade-off is the core of equity investments. The literature has focused on the properties of risk measures but not the trade-off. We found that popular risk measures lacked empirical risk-return trade-off capacity and balanced market investability, and the empirical studies were mainly under Markowitz's Mean-variance models. Using the newly introduced mark to market value at risk (MMVaR), we build a new Mean-MMVaR model and present the outperformance of the model over popular models in terms of better risk-return trade-off and portfolio selection under diversified markets and risk levels being from regulators’ tight rules to investors’ comfort beliefs. Joint work with Tongbo Liu (School of Economics, PKU), Zhicheng Wang (Guanghua Management School, PKU).
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大数据与统计学院
报告人简介：张正军，威斯康辛大学统计学教授、中国科学院大学经济管理学院教授。致力于经济及金融领域的非线性、非对称、非中心的统计推断核心理论和量化建模研究工作。围绕尾部，非线性和非对称的变量相依关系刻画；金融系统性风险的建模和管理；汇率预测模型和虚拟标准数字货币的构建；计量经济学模型在其它领域的应用四个方面。 共106篇论文发表在经济、金融、统计学领域的国际顶级期刊上。美国统计协会会士和国际数理统计学院会士。曾经担任JE金融工程与风险管理特刊共同主编、现为JASA、JBES、JDS、EJS、Statistica Sinica副主编。