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【科苑经管国际学术论坛】刘树成:Multiple Portfolio Optimization(10月24日)
发布时间:2018/10/23

 

科苑经管国际学术论坛第56期

 

报告题目:Multiple Portfolio Optimization

 

报告人:Shucheng Liu,Executive Director at MSCI

 

报告时间:2018年10月24日(周三)15:00—16:30

 

报告地点:中国科学院大学中关村校区教学楼N413

 

报告摘要:Money managers often need to make investment decisions for multiple portfolios. In the common practice, money managers make investment decisions for each portfolio separately by solving a single portfolio optimization problem. This approach to multiple portfolio optimization may lead suboptimal solutions. For example, the transaction cost for each individual portfolio may in fact be larger than those considered when doing single portfolio optimization. Also, it is hard to handle cross portfolio constraints if there is any.

 

In this talk, we introduce approaches for multiple portfolio optimization, including the total welfare maximization approach and Nash Equilibrium approach. In these approaches, investment decisions for all portfolios are made simultaneously, so the market impact from trades in other portfolios will be considered when making a decision for an individual portfolio. Also, cross portfolio constraints can also considered easily.

 

报告人简介:Dr. Shucheng Liu is an executive director at MSCI (Morgan Stanley Capital International) --- a worldwide leading provider of index and analytic tools for investment industry. He has more than 26 years working experience in research and development analytic tools for portfolio management and portfolio optimization. Dr. Liu has worked for Barra, Morgan Stanley, and MSCI. He has presented many times to clients or investment related meetings. He also presented in universities such as University of California at Berkeley, University of California at Irvine, Hohai University, and the Institute of Mathematics and System Engineering of the Chinese Academy of Sciences. Dr. Liu got a Ph.D. degree from Columbia University, M.S. degree from the Chinese Academy of Sciences, and B.S. from Nanjing University. He is also a CFA holder.