讲座主题：Optimising investment strategies for long-term savers and easing communication
主讲嘉宾：Professor Ioannis Kyriakou，Bayes Business School
讲座时间：2024年12月4日，下午2：00-3：30
讲座地点：中央财经大学沙河校区13号楼215会议室
嘉宾简介：Ioannis specializes in quantitative methods, focusing on the development of numerical techniques and their applications across various fields, including operations research, management science, finance, actuarial science, and sector studies. His expertise spans areas such as derivatives, risk management, shipping, commodities, pension product design and communication, stock returns forecasting, and mutual funds’ performance.
His recent research has been published in prominent journals, including Operations Research, European Journal of Operational Research, Mathematics of Operations Research, Journal of Financial and Quantitative Analysis, Review of Finance, European Financial Management, Tourism Management, Transportation Research Part A and Part E, among others. He currently serves as an Editor for the International Journal of Finance & Economics and as an Associate Editor for Decisions in Economics and Finance, and the Annals of Actuarial Science.
讲座摘要：We derive constrained optimal investment strategies for long-term savers who are interested in investing their funds in stocks, but are afraid of potentially losing, for example, their retirement income. We call this probability hedging as it is determined by the probability of landing up within bounds that are agreed from interaction with the investor. We show that our strategies can be derived under different utility functions and multifactor model assumptions. We prove that the probability measure varies with the utility function choice and that the logarithmic utility, in particular, results in an intuitive probability hedge under the physical measure. This makes it easier to communicate, without putting at risk the financial advice conducted by potentially misrepresenting the realism of the theoretical results. Our strategy is also shown to yield a better distribution of the terminal wealth than traditional hedging approaches.
