Speaker: Li-Hsien Sun
Affiliation: National Central University


We propose an optimal portfolio problem based on the mean variance criterion based on the relative performance with the feature of overconfidence. Namely, investors intend to maximize the distance between the average and minimize their own variance as well. In the meantime, they also consider the better return than the real one due to overconfidence. We illustrate systemic risk by applying the probability of the large number of defaults. Finally, the influence of overconfidence is discussed through numerical analysis.  

About Statistics, modelling and operations research seminars

Students, staff and visitors to UQ are welcome to attend our regular seminars.

The events are jointly run by our Operations research and Statistics and probability research groups.

The Statistics, modelling and operations research (SMOR) Seminar series seeks to celebrate and disseminate research and developments across the broad spectrum of quantitative sciences. The SMOR series provides a platform for communication of both theoretical and practical developments, as well as interdisciplinary topics relating to applied mathematics and statistics.


Zoom: https://uqz.zoom.us/j/85172010876