时间：2020年11月20日（周五）10:00-11：30
地点：中北校区理科大楼A302
讲座主题：Timing Idiosyncratic Volatility and Dynamic Asset Allocation
主讲人：石芸，华东师范大学紫江青年学者，研究员
Abstract：We solve a portfolio selection problem when both expected return, idiosyncratic volatility, and transaction cost are time-varying. Our optimal strategy suggests trading partially toward a dynamic aim portfolio, which is a weighted average of expected future tangency portfolio and is highly influenced by the common fluctuation of idiosyncratic volatility (CIV). When CIV is high, the investor would invest less and trade less frequently to avoid risk and transaction cost. Moreover, the investor trades more closely to the aim portfolio with a more persistent CIV signal. Our strategy outperforms alternative strategies empirically and the benefits mainly come from timing idiosyncratic volatility.
报告人简介：
石芸，华东师范大学紫江青年学者，研究员，香港中文大学博士，主要从事行为金融与金融工程的交叉领域研究。目前，在包括Operations Research等期刊发表论文十余篇。入选上海市浦江人才计划，主持国家自然科学项目2项。