報告題目：A synthetic regression model for large portfolio allocation
報 告 人：李高榮 教授
所在單位：北京師範大學
報告時間：2022年8月17日 星期三 10:00-11:00
報告地點：騰訊會議400-373-973
校内聯系人：程建華 chengjh@jlu.edu.cn
報告摘要：Portfolio allocation is an important topic in financial data analysis. In this article, based on the mean-variance optimization principle, we propose a synthetic regression model for construction of portfolio allocation, and an easy to implement approach to generate the synthetic sample for the model. Compared with the regression approach in existing literature for portfolio allocation, the proposed method of generating the synthetic sample provides more accurate approximation for the synthetic response variable when the number of assets under consideration is large. Due to the embedded leave-one-out idea, the synthetic sample generated by the proposed method has weaker within sample correlation, which makes the resulting portfolio allocation more close to the optimal one. This intuitive conclusion is theoretically confirmed to be true by the asymptotic properties established in this article. We have also conducted intensive simulation studies in this article to compare the proposed method with the existing ones, and found the proposed method works better. Finally, we apply the proposed method to real datasets. The yielded returns look very encouraging.
報告人簡介：李高榮，北京師範大學統計學院教授，博士生導師。全國工業統計學教學研究會常務理事、中國現場統計研究會第十一屆理事、中國概率統計學會第十一屆理事、中國工業互聯網研究院技術專家委員會專家。主要研究方向是非參數統計、高維統計、統計學習、縱向數據、測量誤差數據和因果推斷等。迄今為止，在Annals of Statistics, Journal of the American Statistical Association, Journal of Business & Economic Statistics, Statistics and Computing, 《中國科學：數學》和《統計研究》等學術期刊上發表學術論文90多篇。在科學出版社出版3部著作：《縱向數據半參數模型》、《現代測量誤差模型》(入選“現代數學基礎叢書”系列)和《多元統計分析》(入選“統計與數據科學叢書”系列)。入選北京市屬高等學校人才強教深化計劃“中青年骨幹人才培養計劃”，北京市優秀人才培養資助計劃和北京工業大學“京華人才”支持計劃。主持國家自然科學基金、北京市自然科學基金和北京市教委科技計劃面上項目等國家和省部級科研項目10多項。
