2018年11月20日（周二）下午两点，清华大学经济管理学院金融系副主任张丽宏教授、香港中文大学系统工程与工程管理系何雪冬副教授受邀做客广外金融论坛第二十八讲，在我校南校区yh86银河国际会议室（院系办公室401室）开展了学术讲座，主题分别是“How Fintech Affects Financial Market?”和“Dynamic Mean-Variance Efficient Fractional Kelly Portfolio in a Stochastic Volatility Model”。本次讲座由yh86银河国际yh86银河国际、广东省普通高校创新团队项目“投资管理、期权定价和风险管理”联合主办，由yh86银河国际副院长姚海祥教授主持会议，易行健院长、张浩副院长、杨菁菁教授、张林副教授、邓超博士等yh86银河国际教师及众多研究生都参与了本次论坛的交流与学习。
张丽宏教授做讲解
张丽宏教授主要围绕“金融科技对金融市场的影响”进行了学术报告，文章使用了“网络促进的反馈交易均衡模型（An Equilibrium Model of Internet-Facilitated Feedback Trading）”，讨论当市场非有效的情况下，基于金融科技的反馈交易策略（Different feedback strategies）能够检查市场价格偏离基本面的程度。研究发现，市场内部人员使用反馈交易策略将会获取更高的利润；对于政策制定者而言，则尤为需要注意市场深度（Market depth），价格总会存在高估或低估的情况，正向的反馈交易策略会普遍减缓价格波动的趋势；而投资者需要特别留意市场高估的情况，原因在于当市场高估时，投资者不仅面临的风险高，并且资产组合的收益回报率低。
何雪东副教授做讲解
何雪东副教授分享了一个动态均值方差组合选择策略，讲述了当代理商（Agent）意图构建与“部分凯利组合（Fractional Kelly Portfolio）”相同期望收益的资产组合时，如何降低各时段组合回报波动率的问题。研究通过风险最小化得出了一个均衡策略的封闭解，并且证明了该均衡策略能够减小收益回报率的方差。此外，研究的另一个重要贡献是定义了“隐含风险厌恶系数（Implied risk aversion degree）”，该系数关于随机波动率因子呈现递减关系，同时相对于投资期限表现出指数型下降的关系。
现场热烈讨论
本次论坛过程中，两位教授和多位老师进行了热烈的交流，学生们认真听讲，受益匪浅。
主讲人简介：
1. Lihong Zhang is a professor of Finance in the School of Economics and Management at Tsinghua University. She holds a Ph.D. in Probability and Mathematical Statistics from the Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Science, and an M.S. in Probability and Mathematical Statistics and a B.S. in Probability and Mathematical Statistics from Nankai University. Before joining Tsinghua University, she conducted postdoctoral research in the School of Mathematical Science at Peking University. Lihong’s research interests are on issues related to financial economics, stochastic calculus and its applications, actuarial science, and risk management. Her research has appeared in MIS Quarterly and Insurance: Mathematics and Economics.
2. Xuedong He received the B.Sc. degree in Mathematics and Applied Mathematics from Peking University in 2005 and the Ph.D. degree in Mathematical Finance from the University of Oxford in 2009. He was an assistant professor at Columbia University in 2009 - 2015 and joined the Chinese University of Hong Kong as an associate professor in 2016.
Xuedong He’s research interests include portfolio selection and asset pricing in behavioral finance and economics and risk management. He has published papers in leading journals such as Management Science, Operations Research, Mathematical Finance, and Mathematics of Operations Research. He is serving as Associate Editor for Operations Research. He also organized clusters and sessions in international conferences such as the INFORMS Annual Meetings and the SIAM Financial Mathematics and Engineering Conferences.
