2024
12.12
暨南经院统计学系列Seminar第157期:舒连杰(澳门大学)
主题:Integrate Minds: An Ensemble Approach to High-Dimensional Portfolio Optimization主讲人:舒连杰澳门大学主持人:王国长暨南大学时间:2024年12月14日(周六)下午16:40-17:40地点:暨南大学石牌校区经济学院大楼(中惠楼)503室摘要Estimation errors in covariance matrices, which escalate with increased dimensionality, significantly undermine the effectiveness of portfolio optimization when these matrices are inverted. To address this challenge, we introduce a novel ensemble approach that builds upon the “divide-and-conquer” strategy and the principle of “two min