报告人：曾燕 副教授

              中山大学岭南学院，中山大学金融工程与风险管理研究中心

报告题目：Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility

报告时间：2018年01月06日上午10:30

报告地点：海韵实验楼108

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.

关键词：Robust portfolio choice;DC pension plan;Ambiguity;Derivative;  Stochastic volatility;Stochastic salary

报告人简介：曾燕, 男，中山大学岭南学院副教授、博士生导师。其主要从事金融工程、风险管理、保险精算与金融经济学等领域的研究，曾在香港大学、加拿大滑铁卢大学、美国麻省理工学院（MIT）访问，是广东省杰青、霍英东教育基金项目获得者、广东省高校“千百十工程”校级培养对象；主持了国家自科面上项目等10余项课题，其中省部级以上10项，参与了国家自然科学基金项目、教育部哲学社会科学研究重大课题攻关项目、广东省自然科学基金研究团队项目等多项课题；在本领域著名期刊《Insurance: Mathematics and Economics》、《Journal of Economic Dynamics and Control》、《Annals of Operations Research》、《IEEE Systems Journal》、《Journal of Optimization Theory and Applications》、《管理科学学报》等上发表学术论文50余篇，其中SCI/SSCI收录30篇；研究成果获得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；学术兼职包括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。

学院联系人：王文元副教授

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