A Dynamic Portfolio Allocation Procedure
Prof. Wenyang Zhang, The University of York报告时间：2016年3月16日(周三)下午16：00 -17:00报告地点：北航数学与系统科学ag平台app下载主 321学术交流厅报告摘要： In this is talk, I am going to present a dynamic portfolio allocation procedure based on a novel dynamic structure for the covariance matrix of the returns of the assets concerned. I will show the advantage of the proposed portfolio allocation over the existing ones, and highlight the importance of taking the dynamic structure into account when forming a portfolio allocation in investment. The results fromintensive simulation studies will be presented to show the performance of the proposed portfolio allocation procedure. Finally, I will show an empirical study based on a real data set. The findings from the study are very interesting.
Prof. Wenyang Zhang is a Chair in Statistics at the University of York in the UK, he is an associate editor of Journal of the American Statistical Association, one the the top three statistics journals, he was a member of the Editorial Board of IMS Lecture Notes - Monograph Series, and of the Research Section Committee of the Royal Statistical Society.