2021年西安统计与数据科学论坛第十九场报告：

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.

讲座人简介：

Prof. Wenyang Zhang is a Chair in Statistics, at University of York, UK.  He is an expert in high dimensional/Big data analysis, financial data analysis, nonparametric modelling, nonlinear time series, survival analysis, functional data analysis, spatial data analysis, multi-level modelling, structural equation models.  He was a member of Research Section Committee of the Royal Statistical Society, UK.  He served for Journal of the American Statistical Association as an associate editor from 2008 to 2017.  He is now an associate editor of Journal of Business & Economic Statistics. Prof. Wenyang Zhang has published many high quality papers in top statistics journals with quite a few papers being highly cited.  One of his papers has been cited more than 2870 times, with another one cited more than 790 times.

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

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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

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会议 ID：889 7855 9926

会议密码：123456

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