Title: Two Simple Portfolio Strategies

Abstract: 

This talk analyzes the properties of two popular portfolio strategies. The first one is the Fixed Weight Rebalanced strategy where the portfolio is rebalanced at periodic intervals to maintain fixed weights in each asset. The second one is the Buy and Hold strategy where the initial portfolio is held without trading until the end of the investment horizon. We assume that the asset returns follow a correlated multivariate lognormal distribution. This enables us to derive expressions for the first four moments of the terminal distribution under each strategy. We examine the asymptotic properties of the Fixed Weight strategy under two different limits. The first is when the number of rebalancing dates increases for a fixed investment horizon. The second is when the number of assets in the portfolio increases. We discuss the implications of these results for practical investment management.

Lecturer: Phelim Boyle

Date/Time: 9:00 – 10:00AM, 26 Oct, 2020

Online Platform: ZOOM：763 086 2328

Brief introduction of the lecturer: 

Phelim Boyle is a professor at Wilfrid Laurier University in Canada and Fellow of the Royal Society of Canada,Academy of Science. He is a consultant of the Irish Science Foundation and current member of the Canadian Actuarial Standards Committee. He has published more than 90 papers and 3 monographs, and was invited to deliver keynote speeches at conferences in 25 different countries. He has served as visiting professor at 20 universities including University of California at Berkeley, University of Cambridge, University of Melbourne, University of Hong Kong and University of Tokyo. He has won many awards and honors, such as Honorary Fellow of Society of Actuaries in Ireland(2006), International Association of Financial Engineers Financial Engineer of the Year (2005), International Association of Actuaries Centennial Gold Award (1995). He has held many positions in schools and government departments, such as Founding Scientific Director of the Institute for Quantitative Finance and Insurance. (2003-2006, the institute has developed into the Institute of Waterloo Insurance, Securities and Quantitative Finance), Advisor to the Hall Commission of Inquiry into Canadian Railway Pension Plans. Boyle has made pioneering contributions to quantitative finance and his ideas have transformed how insurance companies handle financial risk. His research has influenced financial practice by providing sophisticated tools for financial institutions to better manage their risks.