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    Seminar
    speaker Chunhui Xu, Chiba Institute of Technology time Wednesday, May 22, 09:00-10:30
    place Room K01, Guanghua Building 2

    Management Science and Information Systems' Seminar2019-09

    Title: Period Value at Risk - a risk measure considering uncertainty of investment times

    Speaker: Chunhui Xu, Chiba Institute of Technology

    Time: Wednesday, May 22, 09:00-10:30

    Location: Room K01, Guanghua Building 2

    Abstract:

    Investment  times in financial markets like stock markets are usually not fixed in  advance, uncertainty about investment times is an important issue in  many investment situations. However, traditional portfolio theory  focuses only on market uncertainty by fixing the times of investments,  our research on investment decision is featured by  considering uncertainty of investment times. This talk is to introduce  the Period Value at Risk, a risk measure we proposed for measuring  market risk due to the uncertainty of investment times and the  uncertainty of market. I will also talk about methods for computing PVaR  with simulations.

    Introduction:


     

    Prof.  Chunhui Xu is a Professor of department of Risk Science in Finance and  Management at Chiba Institute of Technology. He holds two doctorates from Huazhong University of Science and Technology (Decision Analysis) and Tokyo Institute of Technology (Management Science), a Master of Engineering and a Bachelor of Engineering  from Huazhong University of Science and Technology. His research areas  include Financial investment & Risk management, Decision Analysis  & Games.


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