Management Science and Information Systems' Seminar（2019-09）
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
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.
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.