金禾工作坊

经济学报告会

ª报告人：程蓓

ª报告题目：Chance-constrained financial index tracking models under the generalized hyperbolic distribution

ª时间：2012年11月14日 下午2:30~4:30

ª地点：西安交大文管大楼868教室

ª内容摘要：

To reflect the fat-tail and skew features of the risky assets’ return distribution, we adopt the multivariate generalized hyperbolic (GH) distribution to describe the return data. Then we establish a new active financial index tracking model which controls the downside risk through a probability constraint, and takes into account multiple market frictions. Since the new model can be transformed into a second-order conic program or a linear program, the derived index tracking problem can be easily solved in polynomial time. By using the normal variance-mean mixture definition of the GH distribution and the Chapman-Kolmogorov equation, the single-stage index tracking model is then extended to the multistage situation. Empirical results based on the CSI 300 index demonstrate the efficiency and practicality of our new tracking models and solution methods.

ª报告人简介：程蓓现为西安交大金禾经济研究中心博士候选人，主要研究领域为数理金融。

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