題目：Leveraged Portfolio Selection under Liquidity Risk: Model, Theory,
and Computation
主講人：Chanaka Edirisinghe, 美國倫斯勒理工學(xué)院 講席教授, Lally管理學(xué)院學(xué)術(shù)副院長
主持人：陳靖楠 副教授
時(shí)間：
2018年7月9日19:00-21:00
地點(diǎn)： 北航新主樓A座618
摘要：
When a financial portfolio is rebalanced under market conditions to
satisfy leverage and other restrictions, asset illiquidity adversely-impacts
trading prices, and hence, the portfolio's performance. Using a continuous-time
trading model, we study the Pareto-efficiency between risk-adjusted return,
leverage, and target return. We show analytically that the Sharpe-maximizing
unlevered portfolio is no longer a tangency portfolio, and
proportionate-leveraging is not an optimal strategy under liquidity risk. As
target return increases, the required minimum portfolio-leverage increases at
an increasing-rate, while the Sharpe-Leverage frontiers are
progressively-dominated. These results contrast with the classical portfolio
theory that assumes no liquidity risk, and our empirical analysis using ETF
asset-data verifies that ignoring liquidity impact may lead to severe portfolio
under-performance.
If time permits, I will also consider a specific situation involving only
de-leveraging, where the model is simplified to maximize portfolio’s expected
value under leverage and margin limits. This leads to a separable model, but it
is extremely difficult to solve due to non-convexity. I will present a new and
general dual cutting plane technique that solves the Lagrangian dual
more-efficiently. The sensitivities of the optimal deleveraging strategy to
leverage and margin limits will be discussed in the context of the above data
set.
當(dāng)調(diào)整投資組合以滿足杠桿和其他限制時(shí)，資產(chǎn)流動(dòng)性對交易價(jià)格會(huì)產(chǎn)生不利影響，進(jìn)而影響投資組合的表現(xiàn)。運(yùn)用連續(xù)時(shí)間的交易模型，我們研究風(fēng)險(xiǎn)調(diào)整收益率、杠桿率和目標(biāo)收益率之間的帕累托效率。我們的解析結(jié)果表明，夏普率最大化的無杠桿投資組合不再是切向投資組合，在流動(dòng)性風(fēng)險(xiǎn)下按比例加杠桿也不再是最優(yōu)策略。隨著目標(biāo)收益的增加，所需的最低投資組合杠桿率以遞增的速度增長，而夏普杠桿前沿逐漸被主導(dǎo)。這些結(jié)果與忽略流動(dòng)性風(fēng)險(xiǎn)的經(jīng)典的投資組合理論不同，并且我們基于ETF資產(chǎn)數(shù)據(jù)的實(shí)證分析證實(shí)忽略資產(chǎn)流動(dòng)性會(huì)嚴(yán)重影響投資組合表現(xiàn)。
如果時(shí)間允許，我還會(huì)考慮一個(gè)特定的情況，只涉及去杠桿化，其中模型被簡化以最大化投資組合在杠桿率和保證金限制下的預(yù)期價(jià)值。這導(dǎo)致了一個(gè)可分離的模型，但是由于其非凸性，求解非常困難。我將提出一個(gè)新的一般的雙切割平面技術(shù)，更有效地解決拉格朗日對偶問題并討論最佳去杠桿化策略對杠桿率和保證金限制的敏感性。
主講人簡介：
Dr. Chanaka Edirisinghe holds a BS (Mechanical Engineering), an M.Eng
(Industrial Engineering and Management), and a Ph.D. (Management Science) from
University of British Columbia, Canada. He has published extensively in
operations research and finance, focusing on quantitative finance topics, as
well as stochastic and quadratic optimization. His research appears in
Management Science, Operations Research, Mathematical Programming, Mathematics
of Operations Research, as well as in Journal of Financial and Quantitative
Analysis, Journal of Banking and Finance, and Quantitative Finance, among
others. He received the Citation of Excellence Award by Emerald Management Reviews
in 2009 for publishing one of the top 50 management research articles in the
world. He was a former Vice Chair of Financial Services Section, as well as
Optimization Society of INFORMS, and he was the General Chair of the INFORMS
2016 annual conference.
Chanaka Edirisinghe教授于加拿大英屬哥倫比亞大學(xué)獲得管理科學(xué)博士學(xué)位、工程學(xué)碩士學(xué)位及工業(yè)機(jī)械工程學(xué)士學(xué)位，并在運(yùn)籌學(xué)和金融學(xué)領(lǐng)域發(fā)表了大量文章，他專注于量化金融、隨機(jī)和二次優(yōu)化。他在Management Science,
Operations Research, Mathematical Programming, Mathematics of Operations
Research, Journal of Financial and Quantitative Analysis, Journal of Banking
and Finance, Quantitative Finance
等雜志上發(fā)表過文章，并于2009年獲得Emerald Management Reviews頒發(fā)的Citation of Excellence Award。他曾擔(dān)任美國運(yùn)籌與管理科學(xué)協(xié)會(huì)（INFORMS）金融服務(wù)分會(huì)和優(yōu)化分會(huì)副主席，并且擔(dān)任INFORMS 2016年會(huì)的大會(huì)主席。
編輯：宋超
