報告題目: A Statistical Explanation to Markowitz Optimization Enigma

主講人：袁明教授美國威斯康辛麥迪遜大學(xué)統(tǒng)計系

時間：12月27號，上午9:30-10:20

地點：bwin必贏唯一官網(wǎng)313會議室

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Abstract:

The renowned Markowitz mean-varianceportfolio analysis forms the foundation of modern investment science. However,the empirical performance of estimated mean-variance efficient portfoliosoftentimes does not come close to meet the expectation when there are more thanseveral assets in the investment universe. As many have observed recently, theymay even underperform the naive diversification which simply assigns equalweights across all assets. These findings inevitably cast a shadow on theusefulness of the Markowitz theory. To re-assert the practical value ofmean-variance analysis, we show here that this ``Markowitz optimizationenigma'' (Michaud, 1998) could be resolved by carefully balancing the tradeoffbetween the estimation error and systematic error through the so-calledsubspace mean-variance analysis. In addition to the consistent improvementobserved on real and simulated data sets, we prove that in a large market, itis possible to use this strategy to construct portfolio rules whose performanceclosely resemble that of theoretical mean-variance efficient portfolios.

主講人簡介：

袁教授2004年在美國威斯康辛麥迪遜大學(xué)統(tǒng)計系畢業(yè)獲得博士學(xué)位。之后進入美國佐治亞理工工業(yè)工程系作為助理教授。2013年起在美國威斯康辛麥迪遜大學(xué)統(tǒng)計系做教授。同時也是Morgridge Institute for Research的Senior Investigator。2009年獲得美國NSF的CAREER Award，2015年獲得IMS的Fellow.

信息管理與電子商務(wù)系

2016.12.23