讲座简介：

时间：2015年12月3日（周四）下午4:00-6:00
地点：管理学院善思堂M202
演讲主题：Incorporating GISC and High Frequency Data into Portfolio Allocation and Risk Estimation
演讲嘉宾：范剑青 教授（普林斯顿大学，Joint work with Alex Furger and Dacheng Xiu）

Abstract：We document a striking block-diagonal pattern in the factor model residual covariances of the S&P 500 Equity Index constituents, after sorting the assets by their assigned Global Industry Classification Standard (GICS) codes. Cognizant of this structure, we propose combining a location-based thresholding approach based on sector inclusion with the Fama-French and SDPR sector Exchange Traded Funds (ETF's). We investigate the performance of our estimators in an out-of-sample portfolio allocation study. We find that our simple and positive-definite covariance matrix estimator yields strong empirical results under a variety of factor models and thresholding schemes. Conversely, we find that the Fama-French factor model is only suitable for covariance estimation when used in conjunction with our proposed thresholding technique. Theoretically, we provide justification for the empirical results by jointly analyzing the in-fill and diverging dimension asymptotic.

主讲人简介： Jianqing Fan is Frederick L. Moore '18 Professor of Finance, Professor of Statistics, and former Chairman of Department of Operations Research and Financial Engineering at the Princeton University. He previously held professorships at CUHK, UNC-Chapel Hill, and UCLA. He has authored or co-authored over 200 articles on financial econometrics, computational biology, and various aspects of theoretical and methodological statistics. His finance work focuses on the analysis of high-frequency data, portfolio allocation, risk management, time series, high-dimensional data, and non-parametric modelling. His published work has been recognised by the 2000 COPSS Presidents’ Award, the 2007 Morningside Gold Medal of Applied Mathematics, and a Guggenheim Fellowship in 2009, Academian of Academia Sinica 2012, Guy Medal in Silver, 2014. He is an Elected Fellow of the American Association for Advancement of Science, the Institute of Mathematical Statistics, and the American Statistical Association, and a past President of the Institute of Mathematical Statistics. He is the co-editor of Journal of Econometrics and associate editor of Journal of American Statistical Association, and past co-editor of Annals of Statistics and Probability Theory and Related Fields and has served as as co-editor of Econometrics Journal and as associate editor of Econometrica, and Journal of Financial Econometrics.