讲座主题：Investment Strategy: Naïve vs Sophisticated

　　主讲人：Ken Seng Tan

　　讲座地点：A321

　　讲座时间：2019年1月7日上午09:00-12:00

　　主办单位：武汉大学经济与管理学院保险与精算系

　　个人简介：

　　Ken Seng Tan, Ph.D., ASA, CERA, is Sun Life Fellow in International Actuarial Science, Chief Actuarial Advisor of Risk Management, Economic Sustainability, and Actuarial Science Development in Indonesia (READI), and the Associate Director of the Waterloo Research institute in Insurance, Securities and Quantitative finance (WatRISQ). Formerly he held the Canada Research Chair Professor in Quantitative Risk Management (2005-2010) in the Department of Statistics and Actuarial Science, University of Waterloo, Canada. He is also the Hon. Director of China Institute for Actuarial Science, Central University of Finance and Economics, China. He was the elected council member of the SOA Education and Research Section 2007-2010. Currently, he is elected Council member of the SOA International Section, the co-editor of North American Actuarial Journal (NAAJ) and the Associate Editor of the Annals of Actuarial Science and Agricultural Finance Review. He has authored many research articles in actuarial science, insurance and finance, and he publishes in leading actuarial, finance and mathematics journals. Dr. Tan has received several awards, including the 1996-97 Redington Prize, the NAAJ Annual Prizes 2001 and 2003, and the 2012 Charles A. Hachemeister. In 2007 he was among the few actuaries to be granted the first Chartered Enterprise Risk Analyst (CERA) credential by the SOA, based on his years of leadership in the field of enterprise risk management.

　　讲座摘要：The optimal construction of portfolio investment strategy has remained a fascinating topic since the groundbreaking work of Harry Markowitz who pioneered the mean-variance efficient portfolio theory in 1952. More recently, the 1/N strategy, commonly known as the naïve investment strategy, has received much attention due to its simplicity and its effectiveness. Numerous studies have shown that none of the commonly known sophisticated investment strategies could consistently outperform the naïve strategy. Motivated by such studies, in this presentation we propose a new and simple investment strategy known as the Effective Portfolio Strategy, which balances the tradeoff between diversification and estimation errors. The effectiveness of our proposed strategy is demonstrated by a comprehensive empirical study, which shows that none of the naïve strategy and many other commonly known sophisticated strategies could consistently outperform our proposed strategy. This is a joint work with Kai Liu and Chow-wen Wang.