时间：2017年12月28日，15：00
地点：博学楼1030

题目：A Dynamic Structure for High Dimensional Covariance Matrices and Its Application in Portfolio Allocation
（高维协方差矩阵的动态结构及其在投资组合中的应用）

报告人：Prof. Wenyang Zhang（英国约克大学）

报告摘要：The estimation of high dimensional covariance matrix is an important subject in statistics and econometrics.  Most of the existing methods assume the covariance matrix is a constant matrix.  This assumption limites the application of covariance matrix estimation.  In many cases, the covariance matrix concerned is dynamic.  In this talk, I am going to present a new type of dynamic covariance matrices.  An estimation procedure of the proposed dynamic covariance matrices will be described in this talk.  Intensive simulation studies are also conducted to show how well the proposed estimation methods
work.  Finally, I will show an example in which the proposed dynamic covariance matrices with the associated estimation procedure are used to allocate portfolio in an investment in stock market.  The return of the portfolio constructed based our method seems very encouraging.