讲座题目：Portfolio Selection with a Systematic Skewness Constraint

主讲嘉宾：安云碧

时 间： 2014年9月10日（星期三）下午14：45—16：30

地 点：江南大学文浩科学馆107学术报告厅

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商学院

2014年9月2日

主讲嘉宾简介

安云碧，加拿大皇后大学金融学博士，现任加拿大温莎大学Odette商学院金融学教授。其主要研究领域包括衍生产品定价，资产组合选择及风险管理等。曾在Financial Management, Journal of Banking and Finance, Journal of International Money and Finance, Journal of Futures Markets，The Quarterly Review of Economics and Finance和Pacific-Basin Finance Journal等国际期刊发表论文。多次受邀参加EFMA、EFA、MFA、以及NFA等举办的金融学年会。

讲座主要内容

This paper focuses on portfolio selection with a systematic skewness constraint within the mean-variance framework. We derive the composition of efficient portfolios in our model, and analyze the properties of the efficient portfolios. We show that the required systematic skewness is achieved at the expense of mean-variance efficiency, and find that the more stringent the constraint, the greater the loss in efficiency. Our numerical analysis indicates that the constraint helps enhance the skewness of efficient portfolios. Finally, we analyze the determinants of market prices of systematic variance and skewness implied by our model.