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：2018年5月9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.
