Fan Yang - Colloquium Speaker

Assistant Professor Statistics & Actuarial Science, University of Waterloo, Canada
Date: 
Thursday, November 19, 2015 - 3:30pm
Colloquium Title: 
Optimal Portfolio Diversication
Location: 
Reception at 3:00 p.m. in 241 SH / Talk at 3:30 in 61 SH

FanAbstract: Interconnectedness of risks may result in high systematic risk. When the number of risks are fixed, maximizing diversication benefits can lower the portfolio risk. In this work, the risk concentration is used to maximize diversication benefits, which is applied to portfolio selection. Since explicit solutions to such optimization problems are generally not available, asymptotic analysis is conducted as an alternative way to study them. A consistent and asymptotic normal estimator of the asymptotic solution is established as well.

 

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