讲座题目：Portfolio Choice with Subset Combination of Characteristics

地点：线上

时间：2021年12月7日(周二)12:30–13:30

主讲人：吴轲

主讲人简介：

吴轲，中国人民大学财政金融学院副教授，博士生导师，中国人民大学“杰出学者”青年学者。吴轲博士2006年在华人博彩策略论坛 取得经济学和商务英语双学士学位，2008年获得印第安纳大学经济学硕士学位，2015年获得埃默里大学经济学博士学位。2011年至2014年，他在美联储亚特兰大分行任兼职研究分析师，2015年9月起任教于中国人民大学汉青研究院，讲授实证资产定价、金融科技、金融大数据分析等课程。他的研究主要集中于实证资产定价、投资组合管理、金融计量及机器学习方法等，研究成果发表在Journal of Financial and Quantitative Analysis, Journal of Applied Econometrics等国际一流期刊，并获得了国家自然科学基金青年基金和面上项目的资助。

讲座内容简介：

This paper proposes a novel portfolio strategy over individual stocks based on subset combination of a large number of characteristics documented to predict return. Akin to the forecast combination literature, we exploit all characteristics by combining parametric rules that include a particular subset of characteristics holding fixed the number of inclusions. The choice of subset dimension governs the shrinkage of estimated parametric rule that includes all characteristics and trades off the efficiency and robustness of portfolio decision. Empirical application to US individual stocks using 92 characteristics shows that subset combination strategy achieves desirable return properties. It outperforms characteristics-sparse strategies based on machine learning and alternative strategies based on principal component analysis. The subset combination strategy is adapted to both mean-variance and CRRA utility and its portfolio value remains in the presence of transaction costs and post-publication decay of anomalies.

会议方式：腾讯会议

会议ID：688 809 770