Branko Urošević: Mean-capital optimization

V četrtek, 28. maja 2015, ob 14:30 bo v predavalnici 3.06 Fakultete za matematiko in fiziko Univerze v Ljubljani na Jadranski ulici 21 v Ljubljani potekalo predavanje prof. dr. Branka Uroševića (Ekonomska fakulteta Univerze v Beogradu) z naslovom Mean-capital optimization.

Povzetek predavanja: In the standard Markowitz approach of optimal portfolio selection expected return of a portfolio is traded off with standard deviation (variance). If we use regulatory capital (including the stress capital) as an appropriate measure of the portfolio cost (the amount needed to be set aside due to Basel 2 and Basel 2.5 regulations) for market risk, we have a much more complicated problem, one that involves nondifferentiable functions of VaR and backtesting of VaR. Our task is to solve this problem using a modification of the genetic algorithm techniques. As a result we can derive a new efficient investment frontier, one in which expected return is traded off of Basel capital charge of the portfolio.