基地执行副主任孙宪明副教授近期在知名期刊Journal of Economic Dynamics and Control发表论文《Robust investment strategies with two risky assets》。

Abstract: In reality, investors are uncertain about the dynamics of the riskyasset returns(e.g., the expected returns and the correlation between the returns of two risky assets). Consequently, investors make robust investment decisions with special concerns on the expected returns and correlations. In this paper, we propose a hierarchical rule for robust investment between two risky assets: select the relatively safe asset first and then decide how much to invest in the relatively risky asset to hedge the ambiguity embedded in the relatively safe asset. After introducing criteria for relative riskiness and cross-hedging for investors with a constant relative risk averse (CRRA) utility, we find that a typical investor would equally invest in the two risky assets regardless of their correlation when they are indistinguishable from the riskiness perspective. Furthermore, the investor will take a long or short position on the relatively risky asset if it can work as the cross-hedging instrument due to their correlation; otherwise, it will not be traded at all. These results provide a unified explanation for the observed “under-diversification”, “home bias”, and “portfolio inertia” in financial markets from the cross-hedging point of view.

论文链接：https://doi.org/10.1016/j.jedc.2021.104275

教师简介

孙宪明，理学双博士，现任数字技术与现代金融学科创新引智基地执行副主任，中南财经政法大学金融工程系副教授，硕士研究生导师。获评湖北省“楚天学子”，中南财经政法大学“文澜青年学者”，主要研究兴趣有金融工程、金融科技及其相关领域。在Journal of Economic Dynamics and Control，Journal of Futures Markets，Journal of Computational and Applied Mathematics，Computational Economics，Statistics and Probability Letters等重要学术期刊发表论文10余篇。目前主持国家自然科学基金、中央高校基本科研业务经费项目等科研项目。相关研究曾获第十六届中国金融工程学年会优秀论文奖（2017）。