西南财经大学举办学术讲座、学术论坛登记表

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1、西南财经大学举办学术讲座、学术论坛登记表单位（盖章）：　　经济学院　　　填表人：董朝华填表时间：2015/12/10学术活动类别√□学术讲座□学术论坛主题SemiparametricDynamicPortfolioChoicewith MultipleConditioningVariables主讲人（学术论坛需填写与会主要嘉宾）姓名ZudiLu国籍Australia工作单位UniversityofSouthampton研究方向Econometrics,financialeconometrics,statistics职务ChairProfessor联系方式（电邮）zudilu@gma

2、il.com人数规模35讲座语言中，英举办地点格致楼918主讲人简介（学术论坛需介绍与会主要嘉宾）ZudiLuisaProfessor/ChairinStatistics,inMathematicalSciencesAcademicUnitandSouthamptonStatisticalSciencesResearchInstitute(S3RI)atUniversityofSouthampton,UK.Hisresearchinterestincludesonlinearfinancialtimeseriesmodellingandfinancialstatistics/eco

3、nometrics；statisticalinference&computationfornonlinearspatial/temporalmodellingandprediction;appliedtemporal/spatialmodellingforfinancial,environmentalandsocioeconomicrisks;non-parametric/semi-parametricmodellingandstatisticallearning.·主要内容 Dynamicportfoliochoicehasbeenacentralandessentialobje

4、ctivefor investorsinactiveassetmanagement.Inthispaper,westudythedynamic portfoliochoicewithmultipleconditioningvariables,wherethedimension oftheconditioningvariablescanbeeitherfixedordivergingtoinfinity atcertainpolynomialrateofthesamplesize.Weproposeanovel data-drivenmethodtoestimatetheoptima

5、lportfoliochoice,motivatedby themodelaveragingmarginalregressionapproachsuggestedbyLi,Lintonand Lu(2015,JournalofEconometrics).Morespecifically,inordertoavoidthecurseofdimensionality associatedwiththemultivariatenonparametricregressionproblemandto makeitpracticallyimplementable,wefirstestimate

6、themarginaloptimal portfoliochoicebymaximisingtheconditionalutilityfunctionforeach univariateconditioningvariable,andthenconstructthejointdynamic optimalportfoliothroughtheweightedaverageofthemarginaloptimal portfolioacrossalltheconditioningvariables.Undersomeregularity conditions,weestablisht

7、helargesamplepropertiesforthedeveloped portfoliochoiceprocedure.Boththesimulationstudyandempirical applicationwelldemonstratethefinite-sampleperformanceoftheproposed methodology.本单位领导意见签字：年月日科研处意见签字：年月日本单位分管校领导意见签字：年月日附：1、报送登记表时，请提供与讲座相