王晓璐 | Optimal Portfolio Choice with Estimation Risk: the Case without a Risk-free Asset

时间:2018-07-17浏览:10设置

讲座时间: 7月18日(周三),下午1:30

讲座地点:理科大楼A302会议室

讲座人王晓璐(Iowa State University,副教授,tenured in 2016)

讲座题目:Optimal Portfolio Choice with Estimation Risk: the Case without a Risk-free Asset

讲座主持人张敏

论文简介For the popular mean-variance portfolio choice problem in the case without a risk-free asset,we develop a new optimal portfolio rule that is designed to mitigate estimation risk. We compare its out-of-sample performance, both theoretically and empirically, with that of other portfolio rules. In both calibrations and real datasets, we show that our new rule performs well relative to others.Our results suggest the importance of explicitly taking into account the impact of estimation risk when forming an optimal portfolio. In addition, we derive the exact distribution of the out-ofsample returns and provide the explicit expression of the out-of-sample expected utility of various optimal portfolio rules, which offers analytical insights into portfolio construction and performance evaluation.
讲座人简介
王晓璐副教授2010年毕业于多伦多大学Rotman商学院,获得金融学博士学位。同年,她加入Iowa State University(美国)商学院金融系,2016年获得终身教职(tenure)。王晓璐副教授的研究方向和兴趣为:实证资产定价(asset pricing),金融计量,金融经济,机构投资者等金融研究主流领域。王晓璐副教授在国际知名经济学杂志Journal of Econometrics, Econometric Theory, Journal of Accounting, Auditng and Finance,和 The Accounting Review上发表了多篇论文。

返回原图
/