题目: Robust Long-Term Interest Rate Risk Hedging in Incomplete Bond Markets
主讲人: 沈牧龄
时间：2015年11月4日（周三）下午1:30
地点：国际经管学院会议室（诚明楼三层）
主办方：国际经济管理学院
摘要:
We introduce a robust investment strategy to hedge long dated liabilities under model misspecification and incomplete bond markets. A robust agent who worries about misspecified bond premia follows a min-max expected shortfall criterion to protect against model uncertainty. We employ a backward least squares Monte Carlo method to solve this dynamic robust optimization problem. We find that both naive and robust optimal portfolios depend on the hedging horizon and current funding ratio. The robust policy suggests to take more risk when the current funding ratio is low. The robust yield curve derived through the minimum assets required to eliminate shortfall risk is lower than the naive one.
主讲人简介：沈牧龄，2015年毕业于荷兰Tilburg University，获得金融学博士。现担任首都经济贸易大学国际经济管理学院助理教。主要研究领域为资产定价、养老金风险管理、最佳投资组合。
