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报告题目：Conditional value-at-risk under reward-penalty mechanism with applications to robust portfolio management

摘要：In this talk, we present robust portfolio selection models by incorporating a reward and penalty mechanism into portfolio management. We assume that the joint distribution of the losses of the underlying risky assets in a portfolio is uncertain but lies within a multivariate distribution set. Our goal is to identify optimal portfolio allocationss by minimizing the worst-case conditional value-at-risk (CVaR) of portfolio loss under the reward and penalty mechanism and distribution uncertainty. Our models can also be used to investigate the problem of how to balance portfolio losses with their associated downside risk in portfolio management. The core of such a robust portfolio selection model is the worst-case CVaR. We first derive an explicit closed-form expression for the worst-case CVaR under the reward-penalty mechanism, which generalizes several existing models and results regarding the worst-case CVaR. We then apply this expression to obtain optimal portfolio allocationss that minimize the worst-case CVaR under both a classical mean-covariance-based multivariate distribution set and a generalized mean-covariance-based multivariate distribution set. Additionally, we utilize real market data to illustrate the application of the proposed models and the corresponding optimal portfolio allocationss in portfolio management. Our empirical experiments show that portfolioses based on the proposed models have the potential to outperform those based on several existing related models. Furthermore, the results demonstrate that incorporating downside risk into portfolio loss helps better manage risk and can achieve higher investment returns than considering either downside risk or portfolio loss alone. Moreover, our experiments reveal the trade-off between improving expected portfolio return and controlling the worst-case portfolio CVaR.

报告人：蔡军(加拿大滑铁卢大学统计与精算科学系教授)

报告时间：2025年11月6日(周四)下午3：30-5：00

报告地点：图书馆1716会议室

主办单位：科技处，研究生部，数理与金融学院

蔡军：加拿大滑铁卢大学统计与精算科学系教授, 博士生导师。他的研究兴趣包括精算科学, 运筹学, 数理金融, 应用概率。目前，他的研究主要集中在保险和金融中的风险量化管理, 最优决策问题,模型不确定性下的风险分析。他的研究成果发表在多个相关领域的权威学术期刊上, 包括 Operations Research, European Journal of Operational Research, Mathematical Finance, Finance and Stochastics, Journal of Risk and Insurance, Insurance: Mathematics and Economics, Advances in Applied Probability, Journal of Multivariate Analysis, Stochastic Processes and their Applications。 他与中国科学技术大学毛甜甜共同荣获2020年国际精算协会 (IAA） Bob Alting von Geusau奖。 目前, 他还担任Insurance: Mathematics and Economics期刊的副主编。

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