报告题目：A Network View on Portfolio Risk
内容摘要：Portfolio performance depends on interactions inside the network of assets. In high dimensions, these interactions are rare and sparse, therefore an inherent and indispensable portfolio risk, network risk, is difficult to quantify. Here a portfolio risk decomposition method is proposed that leads to analytical solutions that provide insights into the accounts for network and idiosyncratic risks. The technical platform is based on Dantzig-type estimator for covariance matrix and eigenvector centrality, which helps reduce estimation error in high-dimensional cases for portfolio optimization.Empirical results show that the network portfolio approach outperforms existing methods out-of-sample on a real dataset and demonstrate the solidity and reliability of our network portfolio and estimation methods from a practical perspective.
主讲人简介：Rui Ren is a scientific researcher at the Chair of Statistics and Data Science at the University of Augsburg and affiliated with the IDA Institute Digital Assets. She was granted the Marie Skłodowska-Curie Individual Fellowship within the EU Horizon 2020 Program at the Humboldt-Universität zu Berlin from January 2021 to December 2022. She received her PhD in management science from the University of Chinese Academy of Sciences in 2019. Her research interests focus on risk analytics, financial economics and statistics.
报告时间：2025年6月17日(周二)，16:30-18:00
线下地点：厦门大学经济楼C108
线上地点：腾讯会议 ID：798 371 283
