High Dimensional Minimum Variance Portfolio Estimation

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主讲人	Yingying Li	简介	<p><span lang="EN-US" style="font-size: 10.5pt; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">We study the estimation of high dimensional minimum variance portfolio (MVP).Under the high frequency setting, returns can exhibit heteroskedasticity and possibly be contaminated by microstructure noise. Under some sparsity assumptions on the precision matrix, we propose an estimator of MVP, which asymptotically achieves the minimum variance. Simulation and empirical studies demonstrate that our proposed portfolio performs favorably.&nbsp;</span></p>
时间	2017-04-14(Friday)16:40-18:10	地点	经济楼N302
讲座语言	English	主办单位	厦门大学经济学院、王亚南经济研究院
承办单位	厦门大学经济学院金融系	类型	系列讲座
联系人信息		主持人	谢沛霖助理教授
专题网站		专题
主讲人简介	<p><span style="font-size: smaller;"><span lang="EN-US" style="font-family: 微软雅黑, sans-serif;">Prof.Li Yingying is an associate professor in the Department of ISOM and Department of Finance, Hong Kong University of Science and Technology. As an expert in financial econometrics, she has published papers in several top-tier journals, including Econometrica, Journal of Financial Economics, Journal of Econometrics, Journal of the American Statistical Association, and Annals of Statistics, among others.</span></span></p>	期数	厦门大学金融经济学系列讲座2017春第四讲 （总第31讲）

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