Birkbeck A&F Research Seminars – 5 February, 1:00–2:00 pm (UK time)
When:
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Venue:
Birkbeck Central
Birkbeck A&F Research Seminars – 5 February, 1:00–2:00 pm (UK time); Hybrid format
Invited Speaker: Dr. Asmerilda Hitaj, Associate Professor, University of Insubria, Varese, Italy.
Presentation Title: Robust bi-objective mean-CVaR portfolio selection (in collaboration with Elisa Mastrogiacomo & Elena Molho)
Hybrid format:
Meeting venue: BCB310
Abstract: A new approach to optimizing or hedging a portfolio of financial positions is presented and tested with applications to energy market. Motivated by uncertainty in the estimation of problem data we consider robust bi-objective optimization problems with mean and conditional value-at-risk objective functions where the underlying probability distribution of portfolio return is only known to belong to a certain set. To tackle the problem of uncertainty we consider two different approaches: in the first one, uncertainty is represented by an elliptic set centered at the sample estimators of mean and covariance matrix; in the second one, uncertainty takes into account experts beliefs. For both approaches, we derive analytical semi-closed-form solutions for the worst case mean-CVaR portfolio; in addition, we provide a characterization of the location of the robust Pareto frontier with respect to the corresponding original Pareto frontier.
Bio: Asmerilda Hitaj is an Associate Professor of Mathematical Methods for Economics, Finance, and Actuarial Sciences at the Department of Economics, University of Insubria. Her research focuses on quantitative finance, asset and liability management, robust and multi-objective optimization, portfolio allocation, risk and performance measures, and longevity risk. She has published in leading international journals such as Annals of Operations Research, Omega, International Statistical Review and International Review of Financial Analysis She has participated in and coordinated several research projects.
Contact name: Ellen Yu
Speakers-
Dr. Asmerilda Hitaj
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Bio: Dr. Asmerilda Hitaj is an Associate Professor of Mathematical Methods for Economics, Finance, and Actuarial Sciences at the Department of Economics, University of Insubria. Her research focuses on quantitative finance, asset and liability management, robust and multi-objective optimization, portfolio allocation, risk and performance measures, and longevity risk. She has published in leading international journals such as Annals of Operations Research, Omega, International Statistical Review and International Review of Financial Analysis She has participated in and coordinated several research projects.
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