报 告 人：金含清 副教授（牛津大学数学系）
报告题目：Mean-Risk Portfolio Choice with Weighted VaR and Law-Invariant Coherent Risk Measures
报告时间：2015年4月17日（周五下午4:00）
报告地点：太阳成集团学术报告厅（静远楼1506室）
报告内容摘要：We study a continuous-time mean-risk portfolio choice problem in which an agent, with or without the bankruptcy constraint, chooses among the portfolios that achieve an exogenously given expected terminal wealth target with the objective of minimizing the risk of his portfolio. The risk is measured either by a so-called weighted value-at-risk risk measure, which is a generalization of value-at-risk and conditional value-at-risk, or by a law-invariant coherent risk measure.
金含清副教授简介：
牛津大学数学系副教授，2011年获南开大学硕士学位，2004年获香港中文大学博士学位，主要从事金融数学领域研究，在Mathematical Finance等著名学术期刊发表多篇论文，现是SIAM Journal on Control and Optimization和 Mathematical Methods of Operations Research等国际学术期刊的编委。