金融学院学术讲座信息--Mutual fund performance evaluation by modified Sharpe ratio based on asymmetric power distribution

讲座题目：Mutual fund performance evaluation by modified Sharpe ratio based on asymmetric power distribution

主讲人：赖永增教授

讲座时间：2017年10月26日10：00—11：30

讲座地点：金融学院楼422会议室

讲座摘要： Abstract: Investing in mutual funds is very popular in the financial industry. How to select funds to achieve higher returns is important to investors. In this talk, we discuss evaluation of mutual fund performance by classical Sharpe ratio and two other modified Sharpe ratios based on the standard deviation and the Value-at-Risk from the family of asymmetric power distributions. We conduct empirical study on mutual fund performance using real data from north America and China markets. We also introduce two measures to compare theoretical rankings obtained by the Sharpe ratios and real rankings. Our results reveal that the theoretical rankings by using the two modified Shape ratios are closer to the real rankings than those obtained by the classical Sharpe ratio in most of the cases.

主讲人简介

赖永增是加拿大劳瑞尔大学金融数学系的全职教授， 他于1983年和1988年分别在中山大学获得学士学位和硕士学位，于2000年在美国克莱蒙研究生院获得博士学位，2000年5月至2002年6月是美国滑铁卢大学金融高级研究中心和统计与精算学系做博士后研究员。2002年6月到现在一直在加拿大劳瑞尔大学做教授。他的研究领域是金融数学，具体研究方向是：衍生产品的定价与风险管理、金融计算、 投资组合优化、 随机分析在金融保险中的应用、微分方程在金融和经济学中的应用、蒙特卡洛和拟蒙特卡洛仿真方法及应用。他在重要的国际期刊及会议录上已经发表了40多篇论文。