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  • 统计与管理学院2017年学术报告第12

     

    【主 题】Estimation of High Dimensional Dynamic Covariance Matrix and Its Application in Portfolio Allocation

    【报告人】Wenyang Zhang, 教授

    The University of York

    【时  间】 2017年03月27日(星期一)16:00-17:00

    【地  点】 上海财经大学统计与管理学院大楼1208室

    【摘  要】The estimation of high dimensional covariance matrix is an important subject in statistics and econometrics. Most of the existing methods assume the covariance matrix is a constant matrix. This assumption limites the application of covariance matrix estimation. In many cases, the covariance matrix concerned is dynamic. In this talk, I am going to present a new type of dynamic covariance matrices.  An estimation procedure of the proposed dynamic covariance matrices will be described in this talk. Intensive simulationstudies are also conducted to show how well the proposed estimation methodswork.  Finally, I will show an example in which the proposed dynamic covariance matrices with the associated estimation procedure are used to allocate portfolio in an investment in stock market. The return of the portfolio constructed based our method seems very encouraging.

    【邀请人】 黄涛