亚洲欧美中文日韩在线v日本,亚洲精品永久在线观看,亚洲av日韩av永久无码色欲,亚洲成a人片777777,亚洲人成网站在线播放942

中山大學(xué)嶺南學(xué)術(shù)論壇分經(jīng)濟(jì)學(xué)和金融學(xué)兩大系列，是定期邀請(qǐng)國內(nèi)外優(yōu)秀學(xué)者前來開展學(xué)術(shù)交流的平臺(tái)。每系列每個(gè)月定期舉辦2-3次。目前已經(jīng)成功舉辦多期，并得到了各界的高度評(píng)價(jià)。

保險(xiǎn)與金融工程教研室學(xué)術(shù)講座

報(bào)告題目

Green 嵌套式模擬及其在投資組合風(fēng)險(xiǎn)度量中的應(yīng)用

報(bào)告人

劉光梧

香港城市大學(xué)商學(xué)院 教授

主持人

劉彥初

中山大學(xué)嶺南學(xué)院 副教授

講座介紹

Nested simulation is a natural approach to tackle nested estimation problems in operations research and financial engineering. The outer-level simulation generates scenarios and the inner-level simulations are ran in each outer scenario to estimate the corresponding conditional expectation. The resulting sample of conditional expectations is then used to estimate different risk measures of interest. Despite its flexibility, nested simulation is notorious for its heavy computational burden.

We introduce a novel simulation procedure that reuses inner simulation outputs to improve the efficiency and accuracy in solving nested estimation problems. We analyze the convergence rates of the bias, variance, and MSE of the resulting estimator. In addition, central limit theorems and variance estimators are presented, which lead to asymptotically valid confidence intervals for the nested risk measure of interest. Numerical studies on two financial risk measurement problems show consistent results with the asymptotic analysis and show that the proposed approach outperforms the standard nested simulation and a state-of-art regression approach for nested estimation problems.

報(bào)告人介紹

劉光梧

Dr. Guangwu Liu is currently a professor in Department of Management Sciences, College of Business at City University of Hong Kong. His research interests include stochastic simulation and machine learning, with applications in financial engineering and risk management. He has published in journals including INFORMS Journal on Computing, Management Science, Operations Research, and Production and Operations Management. He currently serves as an associate editor for Naval Research Logistics and Operations Research.

主持人介紹

劉彥初

中山大學(xué)嶺南學(xué)院副院長(zhǎng)，金融學(xué)副教授，博士生導(dǎo)師。香港中文大學(xué)金融工程學(xué)博士、博士后，中國科學(xué)技術(shù)大學(xué)理學(xué)碩士與理學(xué)學(xué)士。主要研究興趣為金融工程，金融科技，以及相關(guān)應(yīng)用。在上述研究領(lǐng)域取得多項(xiàng)成果，并發(fā)表（或接收待發(fā)表）于《管理科學(xué)學(xué)報(bào)》，Operations Research，INFORMS Journal on Computing，Journal of Futures Markets，Journal of Economic Dynamics and Control，Quantitative Finance,European Journal of Operational Research，Insurance: Mathematics and Economics，IEEE Transactions on Engineering Management，Energy Policy，Technological Forecasting & Social Change，European Journal of Finance，Decision Sciences，Annals of Operations Research，Operations Research Letters，F(xiàn)inance Research Letters等國內(nèi)外主流學(xué)術(shù)期刊。主持國家自然科學(xué)基金，中山大學(xué)高?；究蒲袠I(yè)務(wù)費(fèi)青年教師重點(diǎn)培育項(xiàng)目，中國期貨業(yè)協(xié)會(huì)研究課題等科研基金。擔(dān)任中國運(yùn)籌學(xué)會(huì)金融工程與金融風(fēng)險(xiǎn)管理分會(huì)常務(wù)理事。相關(guān)研究曾獲得2017年第九屆中國決策科學(xué)學(xué)術(shù)年會(huì)優(yōu)秀論文獎(jiǎng)，第十四屆金融系統(tǒng)工程與工程管理國際年會(huì)(FSERM2016)優(yōu)秀論文獎(jiǎng)，嶺南學(xué)院董事會(huì)“杰出科研貢獻(xiàn)獎(jiǎng)”等獎(jiǎng)項(xiàng)。

時(shí) 間

2022年12月6日（周二）

中午12:30

語 言

中文+英文

騰訊會(huì)議ID

118-852-642