QCF/ISYE Seminar :: Mean--Semivariance Porfolio Selection: Single Period vs. Continuous Time

Event Details
  • Date/Time:
    • Monday May 23, 2005
      11:00 am - 12:00 am
  • Location: Groseclose 226
  • Phone:
  • URL:
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  • Fee(s):
    N/A
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Contact
Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
Summaries

Summary Sentence: QCF/ISYE Seminar :: Mean--Semivariance Porfolio Selection: Single Period vs. Continuous Time

Full Summary: QCF/ISYE Seminar :: Mean--Semivariance Porfolio Selection: Single Period vs. Continuous Time

Markowitz's mean-variance portfolio selection model becomes a mean-semivariance model if semivariance is used to replace variance as a risk measure. In this talk we first show that the mean--semivariance efficient strategies in a single period are ALWAYS attained irrespective of the market condition or the security return distribution.
In sharpe contrast to this, we prove that in the continuous time setting the mean--semivariance model NEVER achieves efficiency save for a trivial case. A more general continuous-time mean-risk model is also investigated thoroughly. This talk is based on joint papers with Hanqing Jin, Harry Markowitz, and Jia-An Yan.

Speaker biograhy:

Xun Yu Zhou (aka XYZ) got his BSc in pure mathematics in 1984 and his PhD in operations research and control theory in 1989, both from Fudan University. He did his postdoctoral researches at Kobe University (Science Faculty) and University of Toronto (Business School) from 1989 to 1993, and joined The Chinese University of Hong Kong (Engineering School) in 1993 where he is now a Professor. His research interests are in stochastic control, financial engineering and discrete-event manufacturing systems. He has published more than 70 journal papers, 1 research monograph, and 2 edited books. He is a Fellow of IEEE.
Other honors include SIAM Outstanding Paper Prize, Croucher Senior Fellowship, and Alexander von Humboldt Research Fellowship. He is or was on the editorial board of Operations Research (1999-), Mathematical Finance (2001-), and IEEE Transactions on Automatic Control (1999-2003).

Additional Information

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H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Seminar/Lecture/Colloquium
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Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:38am
  • Last Updated: Oct 7, 2016 - 9:52pm