Finance Seminar（2017-09）

Topic: Mean-Swap Variance, Portfolio Theory and Prospect Asset Pricing

Speaker: K. Victor Chow, West Virginia University

Time: Friday, 23 June, 11:30-13:00

Place: Room 217, Guanghua Building 2

Abstract:

Superior to the variance, "swap variance" summarizes the entire probability distribution of returns and is unbiased to distributional asymmetry. Retaining the same simplicity as mean-variance (MV) model, the mean-swap variance (MSwV) efficiency is necessary and sufficient for expected utility maximization. The MSwV portfolio optimization extends the MV model to a general framework incorporated with asymmetries in returns. The distinction between MSwV and MV characterizes the aggregated utility as a "domain-dependent" function with loss-aversion to the downside-asymmetries, risk-aversion to the symmetry, and increasing risk-aversion to the upside-asymmetries, respectively. A three-factor prospect asset pricing model is theoretically developed and is empirically robust.

Introduction:

Dr. Chow is a Distinguished Professor of Global Business and Finance, an Adjunct Professor of Economics, and Director of Center For Chinese Business in College of Business and Economics, West Virginal University. Dr. Chow teaches business finance, security analysis and portfolio management, banking firm management, and executive financial education. He is a researcher for portfolio and fund management, income distribution and taxes, stochastic dominance and statistical modeling, and Asian-Pacific financial markets. He also does financial consulting and planning for international investments and trades between the U.S., mainland China, and Taiwan. He holds a B.S. from Chinese Cultural University, Taiwan. He holds a M.A. and Ph.D. in University of Alabama.

//business.wvu.edu/faculty-staff/directory/profile?pid=186

Your participation is warmly welcomed!