{"54775":{"#nid":"54775","#data":{"type":"event","title":"Mean-variance portfolio optimization when means and covariances are unknown","body":[{"value":"\u003Cp\u003E\u003Cstrong\u003ETITLE:\u003C\/strong\u003E Mean-variance portfolio optimization when means and covariances\nare unknown\u003C\/p\u003E\u003Cp\u003E\u003Cstrong\u003ESPEAKER:\u003C\/strong\u003E Dr. Haipeng Xin\u003C\/p\u003E\u003Cp\u003E\u003Cstrong\u003EABSTRACT:\u003C\/strong\u003E\u003C\/p\u003E\u003Cp\u003EMarkowitz\u0027s celebrated mean-variance portfolio optimization theory\nassumes that the means and covariances of the underlying asset returns\nare known. In practice, they are unknown and have to be estimated from\nhistorical data. Plugging the estimates into the efficient frontier\n\u003Cbr \/\u003Ethat assumes known parameters has led to portfolios that may perform\npoorly and have counter-intuitive asset allocation weights; this has been\nreferred to as the ``Markowitz optimization enigma.\u0027\u0027 After reviewing\ndifferent approaches in the literature to address these difficulties, we\nexplain the root cause of the enigma and propose a new approach to resolve\n\u003Cbr \/\u003Eit. Not only is the new approach shown to provide substantial\nimprovements over previous methods, but it also allows flexible modeling\nto incorporate dynamic features and fundamental analysis of the training\nsample of historical data, as illustrated in simulation and empirical studies. \nThis is a joint work with Tze Leung Lai (Stanford University) and Zehao Chen \n(Bosera Funds).\n\u003Cbr \/\u003E\n\u003Cbr \/\u003EShort bio: Haipeng Xing graduated from the Department of Statistics at Stanford \nUniversity at 2005, and then jointed the Department of Statistics at Columbia \nUniversity. In 2008, he moved the Department of Applied Maths and Statistics at \nSUNY, Stony Brook. His research interests include financial econometrics and \nengineering, time series modeling and adaptive control, and change-point \nproblems.\u003C\/p\u003E","summary":null,"format":"limited_html"}],"field_subtitle":"","field_summary":[{"value":"\u003Cp\u003EMean-variance portfolio optimization when means and covariances\nare unknown\u003C\/p\u003E","format":"limited_html"}],"field_summary_sentence":[{"value":"Mean-variance portfolio optimization when means and covariances are unknown"}],"uid":"27187","created_gmt":"2010-03-04 12:15:48","changed_gmt":"2016-10-08 01:50:57","author":"Anita Race","boilerplate_text":"","field_publication":"","field_article_url":"","field_event_time":{"event_time_start":"2010-03-05T12:00:00-05:00","event_time_end":"2010-03-05T13:00:00-05:00","event_time_end_last":"2010-03-05T13:00:00-05:00","gmt_time_start":"2010-03-05 17:00:00","gmt_time_end":"2010-03-05 18:00:00","gmt_time_end_last":"2010-03-05 18:00:00","rrule":null,"timezone":"America\/New_York"},"extras":[],"groups":[{"id":"1242","name":"School of Industrial and Systems Engineering (ISYE)"}],"categories":[],"keywords":[],"core_research_areas":[],"news_room_topics":[],"event_categories":[{"id":"1795","name":"Seminar\/Lecture\/Colloquium"}],"invited_audience":[],"affiliations":[],"classification":[],"areas_of_expertise":[],"news_and_recent_appearances":[],"phone":[],"contact":[],"email":[],"slides":[],"orientation":[],"userdata":""}}}