Prof. YunbiAn from Odette School of Business at the University of Windsor visited BUAASEM, and gave a seminar, “Dynamic portfolio optimization with ambiguityaversion”, on 8th November, 2016. Prof. Shangmei Zhao chaired this seminar. Deanand Prof. Ying Fan attended this seminar. Other participants were Prof. LiyanHan, Prof. Ping Li, Prof. Jiping Yang, Prof. Jiantao Zhou, Dr. Junhuan Zhang,Dr. Yigang Wei and several postgraduate students.
Prof. Anpresented one of his working papers at the seminar. This working paperinvestigates portfolio selection in the presence of transaction costs andambiguity about return predictability. They derive the optimal dynamic tradingrule in closed form using the robust optimization method, and characterize itsproperties and the unique mechanism through which ambiguity aversion impactsthe optimal robust strategy. In addition to the two trading principles documentedin Gârleanu and Pedersen (2013), their model further implies that the robuststrategy is to aim for a low expected loss. Ambiguity-averse investors tradetoward an aim portfolio that gives less weight to highly volatilereturn-predicting factors, and loads less on the securities that have large andcostly positions in the existing portfolio. Using data on various commodityfutures, they show that the robust strategy outperforms the correspondingnon-robust strategy in out-of-sample tests.
After Prof. An’stalk, he answered the questions and shared his experiences on journal submissionsand publications. At last, Prof. An had a good discussion with us. This seminaris fruitful, and it will be helpful for our journal submissions andpublications in the future.
Bio:Prof. Yunbi An received his PhD in Finance at Queens University at Kingston.Currently, Prof. An is a professor of Finance at the Odette School of Businessof University of Windsor. Prof. An’s research interests include financialderivatives, portfolio management, risk management, and corporate finance. Hehas published more than 20 papers in finance journals including Journal ofBanking and Finance, Financial Management, Journal of International Money andFinance, and Journal of Futures Markets.
By: Dr. JunhuanZHANG, Department of Finance, BUAA SEM
