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PRODID:-//AMSE//Event Calendar//FR
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UID:event-11715@amse-aixmarseille.fr
DTSTAMP:20260417T085946Z
CREATED:20260417T085946Z
LAST-MODIFIED:20260417T085946Z
STATUS:CONFIRMED
SEQUENCE:0
SUMMARY:finance seminar - Georges Hübner
DTSTART:20250114T093000Z
DTEND:20250114T110000Z
DESCRIPTION:Within the Modern Portfolio Theory framework\, personal portfol
 io choice is driven by the investor’s risk aversion. In practice\, this c
 riterion is usually replaced by a target volatility level\, potentially lea
 ding to similar allocation choices. Reconciling these two approaches leads 
 to the design of a performance measure that explicitly allows us to isolate
  a penalty for the portfolio unsuitability\, defined as the mismatch betwee
 n the actual and targeted portfolio risks. This penalty is particularly str
 ong for defensive investors and when the market risk premium is high. We al
 so show that the target volatility criterion leads to inadequate portfolio 
 choices when the market conditions change or when the investor is confronte
 d with a very risky active portfolio. We extend this approach to attitudes 
 towards extreme risks\, through the investor’s preference for skewness. T
 he resulting performance measurement framework involves a penalty for unsui
 tability that can be substantially aggravated\, especially for investors wh
 o simultaneously exhibit a strong aversion to volatility and asymmetry risk
 s. \\n\\nContact: Eric Girardin: eric.girardin[at]univ-amu.frGaël Leboeuf
 : gael.leboeuf[at]univ-amu.frChristelle Lecourt: christelle.lecourt[at]uni
 v-amu.fr\n\nPlus d'informations: https://amse-aixmarseille.fr/en/events/geo
 rges-h%C3%BCbner-2
LOCATION:MEGA
URL;VALUE=URI:https://amse-aixmarseille.fr/en/events/georges-h%C3%BCbner-2
CONTACT:Eric Girardin: eric.girardin[at]univ-amu.frGaël Leboeuf:&nbsp\;gae
 l.leboeuf[at]univ-amu.frChristelle Lecourt: christelle.lecourt[at]univ-amu.
 fr
TRANSP:OPAQUE
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