讲座题目：An Asset Pricing Approach to Estimating the Global Minimum Variance Portfolio
主讲人：韩耀 博士
讲座时间：11月10日下午2:00（若学院有会议，会议后开始）
讲座地点：香港宝典现场直播二楼东头报告厅
主讲人介绍：韩耀，香港宝典现场直播讲师。美国德州农工大学金融学博士，硕士。主要研究方向包括实证资产定价，投资组合管理，事件分析法，CEO行为分析及相关交叉研究。多次受邀在美国SWFA,FMA, MBAA等学术会议上进行专题汇报。
摘要：This study hypothesizes that low variance efficient portfolios are less affected by estimation errors than higher variance portfolios. Utilizing this insight, in combination with a new finding that G contains only long positions, we build G portfolios based on well-known asset pricing models. Out-of-sample analyses of U.S. stock returns in the sample period from 1968 to 2019 show that proposed G portfolios have relatively higher expected returns, lower variance, and higher Sharpe ratios than previous studies that traditionally use variance-covariance matrix estimation methods. Further results investigate sensitivity to extreme weights for individual stocks and different subperiods.
金融科技与监管中心，香港宝典现场直播