A Synthetic Regression Model for Large Portfolio Allocation
讲座名称：
A Synthetic Regression Model for Large Portfolio Allocation
讲座时间：
2021-11-17
讲座人：
Wenyang Zhang
形式：
校区：
兴庆校区
实践学分：
讲座内容：
【CSIAM青年学者论坛】【CSIAM大数据与人工智能专委会青年论坛】【西安统计与数据科学论坛】英国约克大学（University of York）Wenyang Zhang教授学术报告通知
讲座题目：A Synthetic Regression Model for Large Portfolio Allocation
讲座时间：2021年11月17日，星期三，上午10:00-12:00（北京时间）
腾讯会议 ID：889 7855 9926
会议密码：123456
讲座人：Prof. Wenyang Zhang,University of York, UK
讲座简介：
Portfolio allocation is an important topic in financial data analysis. In this talk, based on the mean-variance optimization principle, I will present 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. I will show this intuitive conclusion is theoretically confirmed to be true by the asymptotic properties established. I will also show intensive simulation studies to compare the proposed method with the existing ones, and illustrate the proposed method works better. Finally, I will apply the proposed method to real data sets, and show very encouraging yielded returns.
组织者：
李润泽 美国宾州州立大学统计系冠名讲座教授
孟德宇 西安交通大学教授
赵熙乐 电子科技大学教授
姜丹丹 西安交通大学教授
姜丹丹 邀请您参加腾讯会议
会议主题：姜丹丹预定的会议
会议时间：2021/10/19-2021/11/30 10:00-12:00(GMT+08:00) 中国标准时间 - 北京, 每周二、周三
点击链接入会，或添加至会议列表：
https://meeting.tencent.com/dm/4bMlil7Jkn4Z
会议 ID：889 7855 9926
会议密码：123456
手机一键拨号入会
+8675536550000,,88978559926# (中国大陆)
+85230018898,,,2,88978559926# (中国香港)
根据您的位置拨号
+8675536550000 (中国大陆)
+85230018898 (中国香港)
复制该信息，打开手机腾讯会议即可参与
相关视频