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赵大萍 副教授:Return Forecast and Portfolio Selection in the Stock Market

本站小编 Free考研考试/2021-12-26



Academy of Mathematics and Systems Science, CAS
Colloquia & Seminars

Speaker: 赵大萍 副教授,首都经济贸易大学
Inviter:
Title:
Return Forecast and Portfolio Selection in the Stock Market
Time & Venue:
2021.12.09 15:30-16:30 内部讨论班
Abstract:
In this paper, based on the representation bias theory and current markets situation in China, a new hierarchy of stock measurement system is constructed and a corresponding set of criteria is also proposed. On each criterion, we try to measure the influence among stocks with adapted fuzzy AHP. Then the Hausdorff distance is applied to weight and compute the horizontal representation returns. For the forecast returns, according to representation behaviors, there is also a new computation method. Empirical results show that the representation bias information is useful to the return forecast as well as the portfolio selection.

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