Dynamic Portfolio Optimization Problems in Finance and Insurance.

金融和保险中的动态投资组合优化问题。

• 批准号: RGPIN-2019-04746
• 负责人: EscobarAnel, Marcos
• 金额: $ 1.46万
• 依托单位: University of Western Ontario
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2019
• 资助国家: 加拿大
• 起止时间: 2019-01-01 至 2020-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=677137
• 关键词: Dynamic; Portfolio; Optimization; Problems; Finance

This proposal advances mathematics with a focus on developing better investment strategies for the banking and insurance sectors. The key objective is to find "simple" strategies, i.e. expressible in simple mathematical terms, to realistic and difficult problems such that investors are better protected against today's complex and rapidly changing circumstances. My work will provide a truly integral analysis of new investment strategies along the following three directions:******· Tackle increasing presence of government and institutional regulations in the insurance and banking sectors, like for example: LICAT for Canadian Insurance companies (effective 2018), Solvency II (effective 2016) for European insurance companies and Basel III (2013) for the banking sector worldwide. My objective is to find strategies that maximize the performance for investors while fulfilling regulations.***· The behaviour of stocks in financial markets is becoming more complex in the recent times. This can be observed via the increasing number of so called "stylized facts" reported in the literature, for example: sudden jumps in volatilities and correlations. I will develop advanced stochastic models capable of capturing these new behaviours and will find investment strategies that benefit from it.***· I will take into account the fact that many of the parameters defining standard and new models are really difficult to estimate from data. This uncertainty on the parameters of the model is known as ambiguity or model misspecification. My objective is to continue finding investment strategies that are resilient to model mis-specification.******Investment strategies capable of maximizing investor performance while taking all the difficulties described on the previous three directions into account would be a truly comprehensive analysis. My results would allow researchers to study many currently used strategies from the viewpoint of a suboptimal performance, i.e. Investors will be able to answer the question: how much they can save once optimal strategies are adopted. I expect these results to have a significant impact thanks to more efficient/accurate assessment of financial risks and a deeper understanding of the impact of regulations. This will increase trust among financial institutions and with regulators, leading to a healthier economic environment in Canada, applicable globally.

这一建议推进了数学，重点是为银行和保险业制定更好的投资策略。主要目标是找到“简单”的策略，即用简单的数学术语来表达，以解决现实和困难的问题，从而更好地保护投资者免受当今复杂和迅速变化的环境的影响。我的工作将沿着以下三个方向沿着提供新的投资策略的真正完整的分析：**·应对保险和银行业日益增加的政府和机构法规，例如：加拿大保险公司LICAT（2018年生效），欧洲保险公司偿付能力II（2016年生效）和全球银行业巴塞尔III（2013年）。我的目标是找到策略，最大限度地提高投资者的业绩，同时满足法规要求。*· 股票在金融市场上的行为最近变得越来越复杂。这可以通过文献中报道的越来越多的所谓“程式化事实”来观察，例如：波动率和相关性的突然跳跃。我将开发能够捕捉这些新行为的高级随机模型，并找到从中受益的投资策略。 我将考虑到这样一个事实，即定义标准和新模型的许多参数确实很难从数据中估计。模型参数的这种不确定性被称为模糊性或模型错误指定。我的目标是继续寻找能够抵御模型错误设定的投资策略。能够最大限度地提高投资者业绩，同时考虑到上述三个方向的所有困难的投资战略将是一个真正全面的分析。我的研究结果将允许研究人员从次优性能的角度研究许多目前使用的策略，即投资者将能够回答这个问题：一旦采用最佳策略，他们可以节省多少钱。我希望这些结果能够产生重大影响，这要归功于对金融风险的更有效/准确的评估以及对法规影响的更深入理解。这将增加金融机构和监管机构之间的信任，从而为加拿大创造一个更健康的经济环境，并在全球范围内适用。