主 题：Follow the leader,or follow the loser?
主讲人：Prof. Kani Chen
主持人：林华珍教授
时 间：2015年11月6日上午10：30-11：30
地 点：颐德楼多媒体教室H414
主办单位：统计研究中心 统计学院 科研处
主讲人简介：
Kani Chen 香港科技大学教授 ，目前是Fellow of the Institute of Mathematical Statistics. Elected member of the International Statistical Institute。发表文章34篇，其中在统计学顶级期刊JASA、JRSS（B）、Annals of Statistics、Biometrika等顶级期刊上发表论文21篇，主持基金项目17项，累计资助金额730余万港币
内容提要：
It is always a mystery for portfolio managers whether following the leader or following the loser would achieve outstanding performance. Motivated by the universal portfolio and the aggregating algorithm, we propose the method of binary switch portfolio. The new method is based on a carefully designed classification rule and adaptively chooses the learning rate, a key tuning parameter in the aggregating algorithm, in an optimal fashion. We provide theoretical justification by giving a lower bound of the wealth, which is larger than that of the naive 1/N portfolio. Applications to real data show that the overall performance of the proposed binary switch portfolio is the best among several popular competing methods over varying time horizons and stock pools.
