报告题目：Systemic Risk of Optioned Portfolio: Controllability and Optimization

报告人：朱书尚 教授 中山大学

邀请人：赵志华

报告时间：2023年6月16日（周五）下午3:00-5:20

腾讯会议ID：670-778-045

报告人简介：朱书尚，湖南人，本科（1997）和硕士（2000）毕业于湘潭大学，2003年毕业于中国科学院系统科学研究所，获管理学博士学位。2003年7月到2012年1月于复旦大学管理学院任教。2012年1月，以省部级人才身份加入中山大学，现任中山大学管理学院财务与投资系教授/博士生导师。多次到香港中文大学、京都大学做访问交流。当前研究兴趣主要包括投资组合管理、Forward-Looking收益预测、系统性风险传染机制与测度、风险值优化、随机优化等。在国内外专业学术期刊上发表论文60余篇，其中包括在Operations Research, INFORMS Journal on Computing, Mathematical Finance, IEEE Transactions on Automatic Control, Journal of Economic Dynamics and Control, Journal of Banking and Finance, Journal of Financial Stability, Quantitative Finance, Journal of Computational Finance,《管理科学学报》和《金融研究》等期刊上发表的多篇论文。现任中国运筹学会理事、中国运筹学会金融工程与金融风险管理分会常务理事、副理事长；中国系统工程学会金融系统工程专业委员会委员；中国优选法统筹法与经济数学研究会经济数学与管理数学分会常务理事；中国优选法统筹法与经济数学研究会量化金融与保险分会常务理事。

报告摘要：Diversification plays an important role in financial theory and lays the foundation for financial risk management. However, its role is greatly weakened for the portfolio only containing underlying assets when systemic risk events occur. In this paper, we study portfolio selection against systemic risk from the perspective of individual investors. With the typical systemic risk measure CoVaR, we first demonstrate that the systemic risk of pure stock portfolio cannot be well controlled by diversification due to the contagion effect caused by the relatively high correlations between stocks and the seesaw effect caused by distresses of different stocks. Next, we illustrate that the introduction of options into the portfolio can alleviate these two adverse effects and make the systemic risk become controllable. Then, we show that the optimization problem of optioned portfolio can be reformulated as a second-order cone program (SOCP) that allows for efficient computation. Finally, we carry out simulations and empirical tests to illustrate the theoretical findings.