2022
09.15
暨南经院国家金融学讲座第8期:舒连杰 教授(澳门大学)
主题:Portfolio Selection with Noisy Return Data主讲人:舒连杰 教授(澳门大学)主持人:王国长 教授(暨南大学)会议工具:腾讯会议(ID:763-994-732)会议时间:2022年9月19日(周一)10:00-11:30摘要In modern portfolio selection, financial investors in reality, especially institutional ones, routinely work with a large number of assets. Moreover, asset return data are often noisy. To meet these challenges, this paper develops a new latent factor model for high-dimensional portfolio selection under noisy asset returns. The new model employs a cellwise method f