Speaker

　　Title

　　Time

　　Venue

N224

　　Abstract

　　We establish the first axiomatic theory for diversification indices using six intuitive axioms -- non-negativity, location invariance, scale invariance, rationality, normalization, and continuity -- together with risk measures. The unique class of indices satisfying these axioms, called the diversification quotients (DQs), are defined based on a parametric family of risk measures. DQ has many attractive properties, and it can address several theoretical and practical limitations of existing indices. In particular, for the popular risk measures Value-at-Risk and Expected Shortfall, DQ admits simple formulas, it is efficient to optimize in portfolio selection, and it can properly capture tail heaviness and common shocks which are neglected by traditional diversification indices. When illustrated with financial data, DQ is intuitive to interpret, and its performance is competitive against other diversification indices. 

　　Affiliation

　　 Dr. Ruodu Wang is University Research Chair, Sun Life Fellow, and Professor at the University of Waterloo in Canada. He received his PhD in Mathematics (2012) from the Georgia Institute of Technology, after completing his Bachelor (2006) and Master’s (2009) degrees at Peking University. He serves on the editorial board of seven leading journals in actuarial science, operations research and mathematical economics, including Co-Editor of the European Actuarial Journal, Co-Editor of ASTIN Bulletin - The Journal of the International Actuarial Association, and Associate Editor of Mathematics of Operations Research. He is an affiliated member of RiskLab at ETH Zurich. He is the inaugural winner of the SOA Actuarial Science Early Career Award (2021) from the Society of Actuaries, and a Fellow of the Institute of Mathematical Statistics (elected 2022).