德州扑克大小

【学术预告】埃默里大学商德州扑克大小 金融学助理教授Francisco Barillas学术研讨会:如何对资产定价模型中的实时投资组合进行选择

时间: 2018-05-09 11:38 来源: 作者: 字号: 打印

主题: Real-time Portfolio Choice Implications of Asset Pricing Models如何对资产定价模型中的实时投资组合进行选择)

主讲人:Francisco Barillas, 埃默里大学商德州扑克大小 金融学助理教授

日期:201859日(周三)

时间:上午10:00 - 11:30

地点德州扑克大小 金融德州扑克大小 4号楼101教室

语言:英文

摘要:

There is a plethora of asset pricing factors that have been proposed in the literature. We study the problem of an investor who is confronted with this “zoo of factors” and wishes to find an optimal portfolio. We propose a Bayesian asset allocation framework that accounts for uncertainty about the correct pricing model. This entails an optimal degree of economic shrinkage that is beneficial for portfolio performance. Under a wide range of beliefs about the extent of mispricing, we find that considering all asset pricing models that can be formed from a given set of factors leads to real-time performance that is superior to that of the sample tangency portfolio. The superiority in out-of-sample performance is even stronger when some of the factors are redundant, as might be the case when a factor has been data mined.

主讲人简介:

Francisco Barillas joined the Goizueta Business School faculty in 2010 after receiving a PhD from New York University. He holds an MSc in Economics from the University of British Columbia in Vancouver, Canada. Moreover, he has worked as an Economist at the Bank of Canada. His current research focuses on portfolio choice, quantifies the impact of belief heterogeneity in asset markets and investigates the impact of macroeconomic fundamentals on the term structure of interest rates.