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学者姓名：吴伟平
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Abstract ：
从"新文科建设"的角度出发,如何完善金融学科的创新改革是一个亟待解决的重大课题.近几年来,随着云技术、区块链和人工智能等科学技术的飞速发展,我国金融体系已经发生了翻天覆地的变化,金融学等人文学科教育建设面临着新时代的挑战和新的历史使命.未来,金融学科应进一步加强交叉学科的建设与研究,与时俱进改革创新传统的人才培养模式,培育适应经济社会全面发展所需的复合型和创新型金融人才.
Keyword ：
人才培养模式 人才培养模式 教学改革 教学改革 新文科建设 新文科建设 金融学科 金融学科
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| GB/T 7714 | 吴伟平 , 钟群超 , 林雨 . "新文科建设"下金融学科人才培养模式的创新改革研究 [J]. | 新金融世界 , 2024 , 23 (2) : 147-149 . |
| MLA | 吴伟平 等. ""新文科建设"下金融学科人才培养模式的创新改革研究" . | 新金融世界 23 . 2 (2024) : 147-149 . |
| APA | 吴伟平 , 钟群超 , 林雨 . "新文科建设"下金融学科人才培养模式的创新改革研究 . | 新金融世界 , 2024 , 23 (2) , 147-149 . |
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近年来,越来越多的投资者将环境、社会、治理(ESG)等因素纳入到投资决策过程中,基于ESG投资理念的投资模式逐渐盛行,但现有基于ESG投资理念的决策模型的研究忽视了社会责任投资者管理损失左尾的需求.基于此,文章综合考虑收益波动及发生小概率极端事件引致的损失,利用方差和谱风险两种迥异风险度量,构造可兼顾管理对称中心风险和非对称下偏风险的混合风险测度,以塑造更有利的期末财富概率分布.进一步地,将该混合风险测度应用于可持续投资决策中,在现实交易约束限制下,构建反映投资者社会价值观且可管理两种不同特征风险的均值-混合风险投资组合选择模型,并将其等价表述为二次约束凸规划问题以计算最优可持续投资策略及有效前沿.数值分析表明,在卖空约束下,较之基于ESG投资理念的均值-方差模型,混合风险测度模型可在不降低投资组合可持续性水平前提下改善金融财务方面表现,且投资者管理下偏风险的偏好程度与可持续投资表现成正相关关系.此外,ESG负面筛选策略降低了最优投资组合的分散化程度,导致投资风险增大,从而使得可持续投资的业绩表现欠佳.同时,反映投资者风险厌恶程度的权重参数也显著影响了可持续投资表现.因此,投资者应谨慎采取ESG负面筛选策略,并需依据自身风险厌恶程度选择恰当的权重函数,从而提高财务效益及社会效益.
Keyword ：
ESG-SR有效前沿 ESG-SR有效前沿 可持续投资 可持续投资 谱风险测度 谱风险测度 锥约束 锥约束 风险管理 风险管理
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| GB/T 7714 | 冯玲 , 林雨 , 钟群超 et al. 混合风险测度下基于ESG投资理念的投资组合选择 [J]. | 系统科学与数学 , 2024 , 44 (8) : 2236-2256 . |
| MLA | 冯玲 et al. "混合风险测度下基于ESG投资理念的投资组合选择" . | 系统科学与数学 44 . 8 (2024) : 2236-2256 . |
| APA | 冯玲 , 林雨 , 钟群超 , 吴伟平 . 混合风险测度下基于ESG投资理念的投资组合选择 . | 系统科学与数学 , 2024 , 44 (8) , 2236-2256 . |
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Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to their remarkable efficacy. We propose a novel multivariate utility-based mechanism that unifies several existing automated market-making schemes. Using this mechanism, we establish the convergence results for markets comprised of risk-averse traders who have heterogeneous beliefs and repeatedly interact with the market maker. We demonstrate that the resulting limiting wealth distribution aligns with the Pareto efficient frontier defined by the utilities of all market participants. With the help of this result, we establish analytical and numerical results for the limiting price in different market models. Specifically, we show that the limiting price converges to the geometric mean of agent beliefs in exponential utility-based markets. In risk measure-based markets, we construct a family of risk measures that satisfy the convergence criteria and prove that the price converges to a unique level represented by the weighted power mean of agent beliefs. In broader markets with constant relative risk aversion utilities, we reveal that the limiting price can be characterized by systems of equations that encapsulate agent beliefs, risk parameters, and wealth. Despite the impact of traders' trading sequences on the limiting price, we establish a price invariance result for markets with a large trader population. Using this result, we propose an efficient approximation scheme for the limiting price. Numerical experiments demonstrate that the accuracy of this approximation scheme outperforms existing approximation methods across various scenarios. Our findings serve to aid market designers in better tailoring and adjusting the marketmaking mechanism for more effective opinion elicitation.
Keyword ：
dynamic mechanisms dynamic mechanisms information elicitation information elicitation prediction markets prediction markets
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| GB/T 7714 | Gao, Jianjun , Wang, Zizhuo , Wu, Weiping et al. Price Interpretability of Prediction Markets: A Convergence Analysis [J]. | OPERATIONS RESEARCH , 2024 . |
| MLA | Gao, Jianjun et al. "Price Interpretability of Prediction Markets: A Convergence Analysis" . | OPERATIONS RESEARCH (2024) . |
| APA | Gao, Jianjun , Wang, Zizhuo , Wu, Weiping , Yu, Dian . Price Interpretability of Prediction Markets: A Convergence Analysis . | OPERATIONS RESEARCH , 2024 . |
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Recognizing the importance of incorporating different risk measures in the portfolio management model, this paper examines the dynamic mean-risk portfolio optimization problem using both variance and value at risk (VaR) as risk measures. By employing the martingale approach and integrating the quantile optimization technique, we provide a solution framework for this problem. We demonstrate that, under a general market setting, the optimal terminal wealth may exhibit different patterns. When the market parameters are deterministic, we derive the closed-form solution for this problem. Examples are provided to illustrate the solution procedure of our method and demonstrate the benefits of our dynamic portfolio model compared to its static counterpart. © 2024 by the authors.
Keyword ：
continuous-time models continuous-time models dynamic mean–variance portfolio selection dynamic mean–variance portfolio selection martingale approach martingale approach stochastic optimization stochastic optimization value at risk value at risk
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| GB/T 7714 | Wang, T. , Pan, Q. , Wu, W. et al. Dynamic Mean–Variance Portfolio Optimization with Value-at-Risk Constraint in Continuous Time [J]. | Mathematics , 2024 , 12 (14) . |
| MLA | Wang, T. et al. "Dynamic Mean–Variance Portfolio Optimization with Value-at-Risk Constraint in Continuous Time" . | Mathematics 12 . 14 (2024) . |
| APA | Wang, T. , Pan, Q. , Wu, W. , Gao, J. , Zhou, K. . Dynamic Mean–Variance Portfolio Optimization with Value-at-Risk Constraint in Continuous Time . | Mathematics , 2024 , 12 (14) . |
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Even though it has long been agreed that the interest rate is driven by a stochastic process, most of the existing studies on dynamic mean-downside risk portfolio op-timization problem focuses on deterministic interest rates. This work investigates a continuous-time mean-downside risk portfolio optimization problem with a stochastic interest rate. More specifically, we introduce the Vasicek interest rate model and choose some common downside risk measures to model our risk measures, such as, the lower -partial moments(LPM), value-at-risk(VaR) and conditional value-at-risk(CVaR). By using the martingale method and the inverse Fourier Transformation, we successfully derive the semi-analytical optimal portfolio policies and the optimal wealth processes for the mean-downside risk measures with stochastic interest rate. Finally, we provide some illustrative examples to show how the stochastic interest rate affects the investment behavior of investors with mean-downside risk preferences.(c) 2023 Elsevier B.V. All rights reserved.
Keyword ：
Continuous time models Continuous time models Downside risk Downside risk Partial differential equations Partial differential equations Portfolio optimization Portfolio optimization Stochastic interest rates Stochastic interest rates
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| GB/T 7714 | Wu, Weiping , Zhou, Ke , Li, Zhicheng et al. Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time [J]. | JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS , 2023 , 427 . |
| MLA | Wu, Weiping et al. "Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time" . | JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 427 (2023) . |
| APA | Wu, Weiping , Zhou, Ke , Li, Zhicheng , Tang, Zhenpeng . Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time . | JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS , 2023 , 427 . |
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This paper studies the multi-period mean-variance (MV) asset-liability portfolio management problem (MVAL), in which the portfolio is constructed by risky assets and liability. It is worth mentioning that the impact of general correlation is considered, i.e., the random returns of risky assets and the liability are not only statistically correlated to each other but also correlated to themselves in different time periods. Such a model with a general correlation structure extends the classical multi-period MVAL models with assumption of independent returns. The authors derive the explicit portfolio policy and the MV efficient frontier for this problem. Moreover, a numerical example is presented to illustrate the efficiency of the proposed solution scheme.
Keyword ：
Asset-liability management Asset-liability management dynamic programming dynamic programming mean-variance mean-variance multi-period portfolio multi-period portfolio stochastic correlated returns stochastic correlated returns
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| GB/T 7714 | Wu Xianping , Wu Weiping , Lin Yu . The Impact of General Correlation Under Multi-Period Mean-Variance Asset-Liability Portfolio Management [J]. | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY , 2023 , 36 (6) : 2515-2535 . |
| MLA | Wu Xianping et al. "The Impact of General Correlation Under Multi-Period Mean-Variance Asset-Liability Portfolio Management" . | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 36 . 6 (2023) : 2515-2535 . |
| APA | Wu Xianping , Wu Weiping , Lin Yu . The Impact of General Correlation Under Multi-Period Mean-Variance Asset-Liability Portfolio Management . | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY , 2023 , 36 (6) , 2515-2535 . |
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Abstract ：
This paper studies the multi-period mean-variance(MV)asset-liability portfolio manage-ment problem(MVAL),in which the portfolio is constructed by risky assets and liability.It is worth mentioning that the impact of general correlation is considered,i.e.,the random returns of risky assets and the liability are not only statistically correlated to each other but also correlated to themselves in different time periods.Such a model with a general correlation structure extends the classical multi-period MVAL models with assumption of independent returns.The authors derive the explicit portfolio policy and the MV efficient frontier for this problem.Moreover,a numerical example is presented to illustrate the efficiency of the proposed solution scheme.
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| GB/T 7714 | WU Xianping , WU Weiping , LIN Yu . The Impact of General Correlation Under Multi-Period Mean-Variance Asset-Liability Portfolio Management [J]. | 系统科学与复杂性学报（英文版） , 2023 , 36 (6) : 2515-2535 . |
| MLA | WU Xianping et al. "The Impact of General Correlation Under Multi-Period Mean-Variance Asset-Liability Portfolio Management" . | 系统科学与复杂性学报（英文版） 36 . 6 (2023) : 2515-2535 . |
| APA | WU Xianping , WU Weiping , LIN Yu . The Impact of General Correlation Under Multi-Period Mean-Variance Asset-Liability Portfolio Management . | 系统科学与复杂性学报（英文版） , 2023 , 36 (6) , 2515-2535 . |
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Abstract ：
投资者对金融资产的供求往往随着市场波动而不断变化,并随时进行下达和取消订单等交易行为,故而市场的流动性在本质上是随机波动的.因此,本文研究了当市场深度随机变化时,限价指令簿市场中多资产的最优执行问题,并采用动态规划的方法给出了最优执行策略及最小执行成本的解析表达式.结果表明,最优执行策略是关于位移和剩余头寸的线性函数,而最优执行成本则是关于初始资产购买量的非线性函数.数值算例显示,当投资者忽略市场深度的随机波动特征及资产价格的相互交叉影响时,将会导致支付较大的交易成本,从而降低投资的福利水平.
Keyword ：
价格相关影响 价格相关影响 动态规划 动态规划 最优执行问题 最优执行问题 限价指令簿 限价指令簿 随机流动性 随机流动性
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| GB/T 7714 | 冯玲 , 林雨 , 吴伟平 et al. 随机市场深度下多资产的最优执行问题 [J]. | 系统工程理论与实践 , 2022 , 42 (07) : 1811-1825 . |
| MLA | 冯玲 et al. "随机市场深度下多资产的最优执行问题" . | 系统工程理论与实践 42 . 07 (2022) : 1811-1825 . |
| APA | 冯玲 , 林雨 , 吴伟平 , 王曈瑶 . 随机市场深度下多资产的最优执行问题 . | 系统工程理论与实践 , 2022 , 42 (07) , 1811-1825 . |
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The supply and demand of financial assets for investors, who can place and cancel limit orders at any time, often changes continuously with market fluctuations. And it causes the randomness of market liquidity. This paper studies the optimal portfolio execution problem with the stochastic market depth in the limit order book (LOB) market. We develop successfully the analytical optimal execution strategy and minimum execution cost for such a problem by using the dynamic programming method. The revealed results show that the obtained optimal execution strategy is a linear function with respect to the displacement and remaining position. Moreover, the optimal execution cost is a non-linear function of the initial asset quantity. The numerical examples show that the investor would pay higher transaction costs and reduce the level of investment welfare when they ignore the random fluctuation characteristics of market depth and the cross-effect between asset prices. © 2022 Systems Engineering Society of China. All rights reserved.
Keyword ：
Commerce Commerce Costs Costs Dynamic programming Dynamic programming Functions Functions Investments Investments Stochastic systems Stochastic systems
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| GB/T 7714 | Feng, Ling , Lin, Yu , Wu, Weiping et al. The optimal portfolio execution problem with the stochastic market depth [J]. | System Engineering Theory and Practice , 2022 , 42 (7) : 1811-1825 . |
| MLA | Feng, Ling et al. "The optimal portfolio execution problem with the stochastic market depth" . | System Engineering Theory and Practice 42 . 7 (2022) : 1811-1825 . |
| APA | Feng, Ling , Lin, Yu , Wu, Weiping , Wang, Tongyao . The optimal portfolio execution problem with the stochastic market depth . | System Engineering Theory and Practice , 2022 , 42 (7) , 1811-1825 . |
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This paper revisits the dynamic MV portfolio selection problem with cone constraints in continuous-time. We first reformulate our constrained MV portfolio selection model into a special constrained LQ optimal control model and develop the optimal portfolio policy of our model. In addition, we provide an alternative method to resolve this dynamic MV portfolio selection problem with cone constraints. More specifically, instead of solving the correspondent HJB equation directly, we develop the optimal solution for this problem by using the special properties of value function induced from its model structure, such as the monotonicity and convexity of value function. Finally, we provide an example to illustrate how to use our solution in real application. The illustrative example demonstrates that our dynamic MV portfolio policy dominates the static MV portfolio policy. © 2021 by the authors. Licensee MDPI, Basel, Switzerland.
Keyword ：
Continuous time systems Continuous time systems
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| GB/T 7714 | Wu, Weiping , Wu, Lifen , Xue, Ruobing et al. Constrained dynamic mean-variance portfolio selection in continuous-time [J]. | Algorithms , 2021 , 14 (8) . |
| MLA | Wu, Weiping et al. "Constrained dynamic mean-variance portfolio selection in continuous-time" . | Algorithms 14 . 8 (2021) . |
| APA | Wu, Weiping , Wu, Lifen , Xue, Ruobing , Pang, Shan . Constrained dynamic mean-variance portfolio selection in continuous-time . | Algorithms , 2021 , 14 (8) . |
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