报告人： 山东大学 陈增敬教授

报告时间：2023年7月17日下午16:00-17:30

报告地点：腾讯会议 613-412-158

 

报告摘要：In the security market, there are two pieces of advice that often affect the decisions of  stock investors. One is "don't put all your eggs in one basket", the other is "don't put your eggs in too many baskets". Therefore, an open question is how many baskets should eggs be put in? Although there are much literature trying to solve this problem, there is no satisfactory conclusion due to many different views on the exact criterion between diversified portfolios and over-diversified portfolios. In this paper, based on a new utility criterion that a well-diversified portfolio should achieve the maximal cumulative mean rate of return in a Black-Scholes market, we prove that security investors should consider investing in four securities. Intuitively speaking, eggs should be put only in four baskets.

 

报告人简介：陈增敬，教授，博士生导师，中泰证券金融研究院院长，2001年获教育部、国务院学位办全国百篇优秀博士论文奖，2003年获国家杰出青年基金，2004年入选人事部等七部委“首届新世纪百千万人才工程”国家级人选，2004年获山东省自然科学三等奖，2004年被教育部聘为“长江学者”特聘教授。研究方向为金融数学、计量经济学、概率统计、倒向随机微分方程。在概率论顶级期刊 Annals of Probability，Stochastic processes and their applications等发表多篇论文。尤其是2002年与Larry Epstein 合作的论文《连续时间下的模糊性、风险和资产收益》第一次清晰划分了模糊性与风险，该论文发表在经济学三大期刊Econometrica，至今仍是大陆培养学者在该期刊发表的唯一一篇论文。该论文也获得了国内最高经济学奖：2011年获第十四届孙冶方经济科学奖。陈教授也是获该奖的唯一一位数学教授。