时间：2018年12月21日(周五)下午16:00-16:30
地点：中北校区理科大楼A1716报告厅
题目：Direct Local Linear Estimation for Sharpe Ratio Function in Heteroscedastic Regression Models
报告人：林红梅 上海对外经贸大学
摘要：
The heteroscedastic regression model has been widely used in financial econometrics which allows us to deal with nonlinearity and heteroscedasticity in financial time series. As the ratio of the mean and volatility functions, the Sharpe ratio is one of the most widely used risk/return measures in finance. In this paper we propose a new nonparametric method to estimate the Sharpe ratio function directly using local linear regression. We establish the asymptotic normality for the proposed estimator. Monte Carlo simulation studies show the proposed estimator has excellent finite-sample performance and outperform existing indirect method. We illustrate our method with a real data example.
个人简介：
上海对外经贸大学统计与信息学院青年教师，2016年毕业于华东师范大学统计学院。现主要从事非参半参回归分析、纵向数据分析以及潜变量模型等数理统计相关内容的研究，发表多篇SCI论文，主持国家自然科学基金青年项目。