Evolution of Portfolio Optimization
讲座名称：
Evolution of Portfolio Optimization
讲座时间：
2018-05-28
讲座人：
Lianjie Shu
形式：
校区：
兴庆校区
实践学分：
讲座内容：
报告题目：Evolution of Portfolio Optimization
报告时间：5月28日，星期一，下午4:00-5：00
报告地点：数学与统计学院北五楼319
报告人：Dr. Lianjie Shu, University of Macau
报告摘要：
The classical mean-variance portfolio model was originally proposed by Markowitz (1952). It has now undergone 65 years of development. In the mean-variance portfolio model, the mean and the covariance matrix of asset returns are often unknown and need to be estimated. However, the sampling errors have adverse effects on portfolio performance, leading to sub-optimal and unstable portfolio weights. Various strategies have been proposed to reduce the sampling errors. In this talk, both the traditional methods and some modern high-dimensional statistical approaches are widely reviewed. Moreover, a new approach based on the shrinkage of the sample eigenvalues is proposed, aimed at reducing the over-dispersion issue of the sample eigenvalues. The empirical studies show that the proposed approach can often achieve a lower out-of-sample variance and higher Sharpe ratio than the existing portfolio strategies in most real data sets.
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