统计与管理学院2017年学术报告第18期

【主  题】Expected utility maximizers invest in three funds not in two: a Stein type identity for multivariate generalized hyperbolic distribution

【报告人】Jing Yao, 教授

Vrije Universiteit Brussels, Brussels, Belgium

【时  间】 2017年04月25日（星期二）15:30－16:30

【地  点】 上海财经大学统计与管理学院大楼1208室

【摘  要】 Markowitz mean-variance optimization framework is consistent with expected utility maximization under the assumption that returns are multivariate elliptically distributed or when a quadratic utility function is employed. Both assumptions are questionable. By contrast, the multivariate generalized hyperbolic distribution is known to provide an excellent …fit to returns. By extending Stein’s (1973) seminal lemma to this context we are able to completely describe the optimal portfolio of an expected utility maximizer. As a consequence, it is shown that he invests in three funds instead of two (as in mean-variance optimization).

【邀请人】 冯兴东