| 主讲人 |
Xinyu Zhang（张新雨） |
简介 |
<p>Recognizing that asset markets generally exhibit shared informational char acteristics, we develop a portfolio strategy based on transfer learning that lever ages cross-market information to enhance the investment performance of the market of interest. Our strategy asymptotically identifies and utilizes the in formative datasets, selectively incorporating valid information while discarding the misleading information. This enables our strategy to achieve the maximum Sharpe ratio asymptotically, while maintaining a variance no greater than that of the strategy solely relying on the data from the market of interest. The promis ing performance is demonstrated by numerical studies and empirical analysis of investments in H-shares and A-shares.</p> |
| 时间 |
2025-10-29 (Wednesday) 16:40-18:00 |
地点 |
Room N302, Economics Building |
| 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、邹至庄经济研究院 |
| 承办单位 |
厦门大学经济学院、王亚南经济研究院、邹至庄经济研究院 |
类型 |
系列讲座 |
| 联系人信息 |
林老师，电话2180723，邮箱yurenlin@xmu.edu.cn |
主持人 |
Kuangnan Fang |
| 专题网站 |
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专题 |
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| 主讲人简介 |
<p>Xinyu Zhang, Professor in Academy of Mathematics and Systems Science, CAS. His research is on model averaging and its interdisciplinary applications in economic forecasting, management statistics, and machine learning. He has published some papers in mainstream journals of statistics and econometrics.</p> |
期数 |
高级计量经济学与统计学系列讲座2025年秋季学期第四讲（总190讲） |
