主 题：Estimation of High DimensionalDynamic Covariance Matrix and Its Application in Portfolio Allocation
主讲人：Professor Zhang Wenyang, York University UK
主持人：统计学院 龚金国副教授
时 间：2015年7月7日上午10:30-11:30
地 点：通博楼B座212会议室
主 办：统计学院 科研处
主讲人简介：
张文扬教授本科毕业于四川大学数学系，后师从统计大师范剑青教授。主要从事非参数统计、时间序列分析、生存分析等方向的研究。曾先后在英国伦敦政治经济学院、英国Kent大学、英国Bath大学、英国York大学任教，现为英国York大学统计学首席教授。他曾是英国皇家统计学会科研委员会委员（历史上仅有三位华人担任该委员会委员），目前是统计学四大国际顶尖期刊之一Journal of the AmericanStatistical Association的副主编。在《Journal of the AmericanStatistical Association》、《The Annals of Statistics》、《 Journal of the Royal Statistical Society, Series B 》等国际一流期刊发表论文数十篇。
论文摘要：
The estimation of highdimensional covariance matrix is an important subject in statistics andeconometrics. Most of the existingmethods assume the covariance matrix is a constant matrix. This assumption limits the application ofcovariance matrix estimation. In manycases, the covariance matrix concerned is dynamic. In this talk, I am going to present a newtype of dynamic covariance matrices. Anestimation procedure of the proposed dynamic covariance matrices will bedescribed in this talk. Intensivesimulation studies are also conducted to show how well the proposed estimationmethods work. Finally, I will show anexample in which the proposed dynamic covariance matrices with the associatedestimation procedure are used to allocate portfolio in an investment in stockmarket. The return of the portfolioconstructed based our method seems very encouraging.
