一、学术报告：
报告名称：Mean-Risk Portfolio Choice with Weighted VaR and Law-Invariant Coherent Risk Measures
报告简介：We study a continuous-time mean-risk portfolio choice problem in which an agent, with or without the bankruptcy constraint, chooses among the portfolios that achieve an exogenously given expected terminal wealth target with the objective of minimizing the risk of his portfolio. The risk is measured either by a so-called weighted VaR risk measure, which is a generalization of value-at-risk and conditional value-at-risk, or by a law-invariant coherent risk measure.
时 间：2015年6月11日（星期四）14:30
地 点：燕山校区三号楼报告厅
二、短期课程：
课程名称：Portfolio Selection Theory
课程简介：This short course aims to introduce standard theories on portfolio selection and some non-standared ones at the cutting edge. The course will start from single-period model, followed by the Black-Scholes continuous time model. A new part will be introduced for the behavioural portfolio selection and the general quantile formulation.
课程目录：①Single-period Models: Expected Utility and Mean-Variance;
②Stochastic Process and Stochastic Calculus;
③Continuous-time Market Model: Black-Scholes Markets;
④Portfolio Selection and Stochastic Control;
⑤Martingale/Dual Approach;
⑥Behavioural portfolio selection and Quantile formulation.
时 间：2015年6月13日（星期六）8:30-12:00；14:00-17:30
2015年6月14日（星期日）14:00-17:30
地 点：燕山校区一号教学楼1505教室
讲学人简介：
金含清，牛津大学金融数学研究中心副教授，香港中文大学博士、博士后，主要从事金融数学、金融统计、行为金融学等方面的研究，在Journal of Economic Theory，Mathematical Finance等高水平杂志上发表了10余篇高水平的论文。金博士2001年毕业于南开大学数学专业，获得硕士学位；2004年毕业于香港中文大学金融工程专业，获得博士学位；2004-2006年于香港中文大学从事博士后研究工作；2006年就职于新加坡国立大学；2008年就职于牛津大学。
主办单位：统计学院、科研处
欢迎全校师生参加。
