主题：Integrate Minds: An Ensemble Approach to High-Dimensional Portfolio Optimization
主讲人：舒连杰 澳门大学
主持人：王国长 88858cc永利官网
时间：2024年12月14日（周六）下午16:40-17:40
地点：88858cc永利官网石牌校区88858cc永利官网大楼（中惠楼）503室
摘要
Estimation errors in covariance matrices, which escalate with increased dimensionality, significantly undermine the effectiveness of portfolio optimization when these matrices are inverted. To address this challenge, we introduce a novel ensemble approach that builds upon the “divide-and-conquer” strategy and the principle of “two minds are better than one”. This method employs a two-step process: initially constructing base models, which are subsequently integrated into a strong model. Our approach enhances estimation stability and accuracy through dimension reduction by asset grouping, noise reduction via cross-model averaging, and the incorporation of diverse information from ensemble members. Comparative evaluations demonstrate that our method consistently outperforms competing strategies in terms of reducing portfolio risk and improving net Sharpe ratios.
主讲人简介
舒连杰博士系澳门大学工商管理学院教授。他1998年获得西安交通大学机械工程和自动化学士学位后，获国家教委推荐赴香港科技大学工业工程及工程管理系直博。2002年加入澳门大学工商管理学院助理教授，舒博士以第一作者或通讯作者在金融工程、工业工程、质量工程或统计领域等国际期刊（如Journal of Financial Quantitative Analysis、Quantitative Finance、IISE Transaction、Journal of Quality Technology、Naval Research Logistics、Statistics in Medicine等）发表60多篇高水平研究论文。其主要研究兴趣为：资产组合优化、高维统计和监控,质量控制和管理,和统计计算。舒教授目前担任Journal of Statistical Computation and Simulation副主编。
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校对| 王国长
责编| 彭 毅
初审| 姜云卢
终审发布| 何凌云
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