科学研究 | Quick Navigation
学术交流
当前位置: 网站首页 >> 科学研究 >> 学术交流 >> 正文

北京师范大学李高荣教授学术报告

发布人:    发布时间:2023-10-31    【打印此页】


报告题目:A Synthetic Regression Model for Large Portfolio Allocation

报 告 人:李高荣 教授

工作单位:北京师范大学统计学院

报告时间:2023-11-3  16:30-18:30;

报告地点:bat365在线平台网站305

报告摘要:

Portfolio allocation is an important topic in financial data analysis. In this article, based on the mean-variance optimization principle, we propose a synthetic regression model for construction of portfolio allocation, and an easy to implement approach to generate the synthetic sample for the model. Compared with the regression approach in existing literature for portfolio allocation, the proposed method of generating the synthetic sample provides more accurate approximation for the synthetic response variable when the number of assets under consideration is large. Due to the embedded leave-one-out idea, the synthetic sample generated by the proposed method has weaker within sample correlation, which makes the resulting portfolio allocation more close to the optimal one. This intuitive conclusion is theoretically confirmed to be true by the asymptotic properties established in this article. We have also conducted intensive simulation studies in this article to compare the proposed method with the existing ones, and found the proposed method works better. Finally, we apply the proposed method to real datasets. The yielded returns look very encouraging.

报告人简介:

李高荣,北京师范大学统计学院教授,博士生导师,北京师范大学第十二届“最受本科生欢迎的十佳教师”。主要研究方向是非参数统计、高维统计、统计学习、纵向数据、测量误差数据和因果推断等。迄今为止,在Annals of Statistics, Journal of the American Statistical   Association, Journal of Business & Economic Statistics, Statistics and   Computing, 《中国科学:数学》和《统计研究》等学术期刊上发表学术论文100多篇。在科学出版社出版3部著作:《纵向数据半参数模型》、《现代测量误差模型》(入选“现代数学基础丛书”系列)和《多元统计分析》(入选“统计与数据科学丛书”系列,2023年荣获北京高校优质本科教材)。主持国家自然科学基金、北京市自然科学基金和北京市教委科技计划面上项目等国家和省部级科研项目10多项。


上一条:吴家宏教授2023年系列报告

下一条:河南大学薛留根教授学术报告

bat365官网登录入口 中国 河南焦作 高新区 世纪路2001号 [454000]
版权所有 bat365(中国)在线平台官方网站-登录入口