精品水蜜桃久久久久久久,成人国产精品动漫欧美一区,亚洲爆乳精品无码一区二区,精品人妻系列无码人妻免费视频,6080yyy午夜理论AA片,动漫精品无码一区二区三区,日韩欧美国产传媒第一区二区,国产91高潮操逼视频流白浆,97国内少妇偷人精品视频免费 ,亚洲国产成人精品久久久国产成人一区二区三区综合区精品久久久中文字幕一区,亚洲精品久久久一区黄无码国产a一级无码毛片一区二区三区,久久久无码国产精精品免费国国产欧美日本韩高清视频一区二区三区免费式,国产成人无码精品久久久免费,精品欧美国产一区二区三区不卡 ,国内精品久久久久久久影视麻豆|国产精品无码亚洲|无限国产资源好片2018|精品91自产拍在线观看|精品乱子伦一区二区三区掼蛋

講座通知:A Statistical Explanation to Markowitz Optimization Enigma 2016-12-23


報(bào)告題目: A Statistical Explanation to Markowitz Optimization Enigma

主講人:袁明教授美國(guó)威斯康辛麥迪遜大學(xué)統(tǒng)計(jì)系

時(shí)間:1227號(hào),上午9:30-10:20

地點(diǎn):bwin必贏唯一官網(wǎng)313會(huì)議室

歡迎廣大師生參加!

Abstract:

The renowned Markowitz mean-varianceportfolio analysis forms the foundation of modern investment science. However,the empirical performance of estimated mean-variance efficient portfoliosoftentimes does not come close to meet the expectation when there are more thanseveral assets in the investment universe. As many have observed recently, theymay even underperform the naive diversification which simply assigns equalweights across all assets. These findings inevitably cast a shadow on theusefulness of the Markowitz theory. To re-assert the practical value ofmean-variance analysis, we show here that this ``Markowitz optimizationenigma'' (Michaud, 1998) could be resolved by carefully balancing the tradeoffbetween the estimation error and systematic error through the so-calledsubspace mean-variance analysis. In addition to the consistent improvementobserved on real and simulated data sets, we prove that in a large market, itis possible to use this strategy to construct portfolio rules whose performanceclosely resemble that of theoretical mean-variance efficient portfolios.

主講人簡(jiǎn)介:

袁教授2004年在美國(guó)威斯康辛麥迪遜大學(xué)統(tǒng)計(jì)系畢業(yè)獲得博士學(xué)位。之后進(jìn)入美國(guó)佐治亞理工工業(yè)工程系作為助理教授。2013年起在美國(guó)威斯康辛麥迪遜大學(xué)統(tǒng)計(jì)系做教授。同時(shí)也是Morgridge Institute for ResearchSenior Investigator。2009年獲得美國(guó)NSFCAREER Award2015年獲得IMSFellow.


信息管理與電子商務(wù)系

2016.12.23


岳西县| 克什克腾旗| 尚义县| 揭西县| 康平县| 米易县| 秦安县| 卓资县| 延寿县| 阳朔县| 仙游县| 左云县| 历史| 安岳县| 瑞昌市| 娱乐| 随州市| 文化| 招远市| 蓝田县| 陇西县| 义乌市| 绵竹市| 陇南市| 霍林郭勒市| 嘉义市| 麦盖提县| 巴林左旗| 威海市| 开封县| 综艺| 琼中| 古蔺县| 蓬溪县| 海晏县| 莱州市| 深州市| 屏东县| 五华县| 泊头市| 乐安县|