搜索
返回主站
English
  • 学院概况
    • 概览
    • 院长致辞
    • 刊物
    • 常见问题
    • 联系我们
  • 项目设置
    • 简介
    • 本科生
      • 数据科学与大数据技术
      • 统计学
      • 计算机科学与技术
      • 金融工程
    • 硕士研究生
      • 金融工程理学硕士
      • 数据科学理学硕士
    • 博士研究生
      • 数据科学博士
  • 师资力量
    • 教职人员
    • 访问人员
    • 博士后
    • 博士生
  • 新闻与活动
    • 新闻
    • 大型会议
      • Mostly OM 2019
      • Optimization 2019
    • 学术活动
  • 人才招聘
    • 教职人员
    • 博士后
  • 职业发展
    • 升学就业
    • 国际交流
  • 学院概况
    • 概览
    • 院长致辞
    • 刊物
    • 常见问题
    • 联系我们
  • 项目设置
    • 简介
    • 本科生
      • 数据科学与大数据技术
      • 统计学
      • 计算机科学与技术
      • 金融工程
    • 硕士研究生
      • 金融工程理学硕士
      • 数据科学理学硕士
    • 博士研究生
      • 数据科学博士
  • 师资力量
    • 教职人员
    • 访问人员
    • 博士后
    • 博士生
  • 新闻与活动
    • 新闻
    • 大型会议
      • Mostly OM 2019
      • Optimization 2019
    • 学术活动
  • 人才招聘
    • 教职人员
    • 博士后
  • 职业发展
    • 升学就业
    • 国际交流
返回主站
English

面包屑

  • 首页
  • 新闻与活动
  • 学术活动

【学术活动】Mean-Variance Portfolio Management with Functional Optimization

2020-11-25 学术活动

主题: Mean-Variance Portfolio Management with Functional Optimization

报告人: Prof. Ka Wai Tsang

时间:12:00 pm - 01:00 pm, Wednesday, November 25, 2020         

地点:道远楼501    

 

摘要

 

The cornerstones of quantitative finance are asset returns, interest rates, and volatilities. They appear in many fundamental formulas in finance. In this tutorial, we consider their interplay and the underlying statistical issues in a classical topic in quantitative finance, namely portfolio theory. In the classical Markowitz’s portfolio theory, the expectation and the variance of the returns of the underlying assets are assumed to be known. However, in practice, they are estimated by past values of the returns. Moreover, the successful applications of various time series models in the financial market also imply that the current returns depend on their past values. Therefore, it is natural to consider the weight vector of the portfolio as a function of past values. In this tutorial, I will introduce a functional optimization approach to portfolio optimization problems by treating the unknown weight vector as a function of past values instead of treating them as fixed unknown coefficients in the majority of studies.

 

简介

 

 

Prof. Ka Wai Tsang received his B.S. and M.Phil. in Mathematics from the Chinese University of Hong Kong in 2007 and 2009, his M.S. degree in Financial Mathematics in 2011 and his PhD in Computational and Mathematical Engineering in 2015 from Stanford University. He has joined the Chinese University of Hong Kong, Shenzhen since 2015 and has taught various statistics courses, including Financial Data Analysis and Statistical Modelling in Financial Market. He also taught courses for the Stanford’s Quantitative Methods in Finance Graduate Certificate as a visiting instructor at Stanford's Department of Statistics. His research areas include computational mathematics, financial engineering and data analytics, statistical inference and adaptive clinical design.

 

关注我们
关于我们
  • 概览 项目 师资力量
传媒聚焦
  • 新闻速递 学术活动 刊物
联系
  • 招聘 校园地图 联系我们
相关网站
  • 教务处 招生办 图书馆 香港中文大学
版权所有 © 2021 香港中文大学(深圳)数据科学学院