报告题目：A Dynamic Structure for High Dimensional Covariance Matrices andIts Application in Portfolio 

Allocation

报告人：张文扬

时间：2018年4月10日  15 :00  

地点：图南楼1106会议室

主办单位：best365体育官网登录入口

报告摘要：

The estimation of high dimensional covariance matrix is an important subject instatistics and econometrics.

  Most of the existing methods assume thecovariance matrix is a constant matrix.  This assumption limites 

theapplication ofcovariance matrix estimation.  In many cases, the covariancematrix concerned is dynamic.

  In this talk, I am going to present a new type ofdynamic covariance matrices.  An estimation procedure

 of the proposed dynamiccovariance matrices will be described in this talk. Intensive simulationstudies

 are also conducted to show how well the proposed estimation methodswork.  Finally, I will show an example

 in which the proposed dynamic covariancematrices with the associated estimation procedure are used to 

allocateportfolio in an investment in stock market.  The return of the portfolioconstructed based our 

method seems very encouraging.

个人简介：

张文扬教授是英国顶尖大学约克大学的统计学首席教授。张文扬教授主要从事大数据分析，金融数据分析，高维数据分析，非参数建模、时间序列分析、空间数据分析，多层次建模，生存分析，结构方程模型等方向的研究。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)，曾经连续担任三届统计学三大国 际顶尖期刊之一 Journal of theAmerican Statistical Association 的副主编。