学术报告
Portfolio selection model with estimable ambiguity and ambiguity aversion - 林路教授 （山东大学）
题目：Portfolio selection model with estimable ambiguity and ambiguity aversion
报告人：林路教授 （山东大学）
摘要：This paper introduces an upper-lower expectation portfolio model in the environment of essential distribution uncertainty. The underlying idea is different from those of the classical Bayesian, multiple priors, and confidence interval uncertainty models. Thanks to our newly proposed estimation method for ambiguity, the model can simultaneously characterize ambiguity and ambiguity aversion for actual quantitative financial models, because you can't manage what you can't measure. Empirical analysis shows that compared with portfolios from classical mean-variance portfolio selection, the proposed new model has better performance within an ambiguous environment.
时间：11月2日（星期四）下午4:30--5:30
地点：首师大校本部新教二楼613
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