Managing a Fixed-income Portfolio

A Department of Finance and Risk Engineering and the Morton L. Topfer Chair Lecture Series Event

Presented by

Roger J-B Wets

Distinguished Research Professor of Mathematics
University of California, Davis

Abstract

This lecture will describe an alternative approach to mean-variance models that rely on (i) a more comprehensive description of the uncertainty that takes into account historical as well as market (term structures) information and (ii) a crude assessment of the risk aversion of the manager. The parameters for the alternative approach can be adjusted easily based on the projected distribution of the returns.

About the Presenter

Roger J-B Wets is a Distinguished Research Professor of Mathematics at the University of California, Davis. His main research interests have been stochastic optimization and variational analysis with particular focus on equilibrium problems in a stochastic environment and on non-parametric estimation. He is the recipient of a Guggenheim Fellowship, an Erskine Fellowship, the G.B. Dantzig Prize in Mathematical Programming for his contributions to stochastic programming and variational convergence and the Lanchester Prize (INFORMS) for the book Variational Analysis, which he co-authored with R.T. Rockafellar. He is a foreign member of the Ukrainian Academy of Sciences and has published nearly 200 journal articles. He holds a PhD in engineering sciences from the University of California at Berkeley and an honorary doctorate from the University of Vienna.