主 题：A Gradual Non-convexification Penalty Method for Minimizing VaR
主讲人：Prof. Thomas F. Coleman
主持人：统计学院 鲁万波教授
时 间：2014年9月18日下午14:30—15:30
地 点：通博楼B座212学术会议室
主办单位：统计学院 科研处
主讲人简介：
Prof. Coleman is Ophelia Lazaridis University Research Chair from University of Waterloo as well as director of WATRISQ (Waterloo Research Institute in Insurance, Securities, and Quantitative Finance). He has published more than 100 articles which have appeared in top field journals, such as Journal of Banking and Finance, Journal of Computational Finance, Insurance: Mathematics and Economics.
内容提要：
Computing an optimal portfolio with minimum value-at-risk (VaR) is computationally challenging since there are many local minimizers. We consider a nonlinearly constrained optimization formulation directly based on VaR definition in which VaR is defined by a probabilistic inequality constraint. Computational comparisons will be presented to illustrate the accuracy and efficiency of the proposed method.
