主 讲 人：西南财经大学统计学院/金融安全协同创新中心 范国斌 博士

题 目：The Timing of Portfolio Adjustments:a Regime-Switching Approach





Abstract：The fact that the relationships among the returns of financial assets tend to be nonlinear and time-varying has important implications for asset allocation. To describe these two features, this paper first combines a copula function with the Markov switching technique to model the dependence structure across assets and then builds on this Markov Switching Copula model to present a procedure for the timing of portfolio adjustments. Our empirical evidence confirms that the dependence structure between high-risk and low-risk stocks in the Shanghai and Shenzhen markets is not static but switches between regimes over the course of the sample horizon considered in this paper. More importantly, as a result of such regime-switching characteristics of their dependence structure, our analysis of the out-of-sample asset allocation performance indicates that employing the procedure proposed in this paper to identify regime changes and decide when to adjust portfolio weights allows investors with the Constant Relative Risk Aversion utility to achieve both higher realized returns and higher certainty equivalent rate of returns than does the use of strategies based on static models.





时 间：2014年12月3日 14：30—16：00

地 点：光华楼1911会议室

主办单位：金融安全协同创新中心


主讲人简介：

　　范国斌，毕业于电子科技大学经济与管理学院管理科学与工程专业，2012年取得博士学位。其间，交流到法国马赛数量经济研究中心（GREQAM）进行学习研究，受欧盟居里夫人奖学金（EST Marie Curie Fellowship）资助。

2012年至今，在西南财经大学统计学院数量经济研究所从事研究、教学工作，主要研究领域包含金融计量、金融市场风险管理与金融投资等。其间独立或与他人合作在国内外著名经济金融类学术期刊上发表学术论文数篇。主持国家自然科学青年基金项目和教育部人文社会科学研究青年基金项目各一项；作为主研人员参与国家自科基金和省部级项目多项。
（金融安全协同创新中心学术沙龙为开放式学术交流活动，我们欢迎并邀请广大师生参与中心举办的各场次学术沙龙！）