主講人：張文揚(yáng) 英國(guó)約克大學(xué)首席教授
時(shí)間：2022年10月24日18：00
地點(diǎn)：騰訊會(huì)議 540 862 352
舉辦單位：數(shù)理學(xué)院
主講人介紹：張文揚(yáng)教授是英國(guó)一流大學(xué)約克大學(xué)的統(tǒng)計(jì)學(xué)首席教授，統(tǒng)計(jì)學(xué)三大國(guó)際頂尖期刊之一 the Annals of Statistics 的副主編，商務(wù)和經(jīng)濟(jì)統(tǒng)計(jì)方面的國(guó)際頂尖期刊 Journal of Business & Economic Statistics 的副主編。張文揚(yáng)教授主要從事大數(shù)據(jù)分析，金融數(shù)據(jù)分析，高維數(shù)據(jù)分析，非參數(shù)建模、時(shí)間序列分析、空間數(shù)據(jù)分析，多層次建模，生存分析，結(jié)構(gòu)方程模型等方向的研究。他在國(guó)際頂尖學(xué)術(shù)期刊發(fā)表了很多非常有影響的學(xué)術(shù)論文，他關(guān)于A(yíng)BC方法的一篇論文被引用超過(guò)3000多次。他曾先后在英國(guó)倫敦政治經(jīng)濟(jì)學(xué)院、英國(guó) Kent 大學(xué)、英國(guó) Bath 大學(xué)、英國(guó) York 大學(xué)任教，現(xiàn)為英國(guó) York 大學(xué)統(tǒng)計(jì)學(xué)首席教授。他曾是英國(guó)皇家統(tǒng)計(jì)學(xué)會(huì)科研委員會(huì)委員(歷史上第三位華人擔(dān)任該委員會(huì)委員)，曾經(jīng)連續(xù)擔(dān)任三屆統(tǒng)計(jì)學(xué)三大國(guó)際頂尖期刊之一 Journal of the American Statistical Association 的副主編。
內(nèi)容介紹：Portfolio allocation is an important topic in financial data analysis. In this talk, based on the mean-variance optimization principle, I will present asynthetic 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.