Stock picking and market timing are two critical skills in fund performance evaluation. Measuring these skills and examining the association often relies on a factor model. When daily returns are employed, heteroscedasticity and heavy tail have to be taken into account. This talk reviews the literature, defines a new nonparametric market timing measure to deal with heavy tails, develops a test for the zero market timing skill, and studies the association between skills.

6月19日
3:00pm - 4:00pm
地點
Room 4504 (Lifts 25/26)
講者/表演者
Prof. Liang PENG
Maurice R. Greenberg School of Risk Science, Georgia State University
主辦單位
Department of Mathematics
聯絡方法
付款詳情
對象
Alumni, Faculty and staff, PG students, UG students
語言
英語
其他活動
1月20日
研討會, 演講, 講座
IAS / School of Science Joint Lecture - A Journey to Defect Science and Engineering
Abstract A defect in a material is one of the most important concerns when it comes to modifying and tuning the properties and phenomena of materials. The speaker will review his study of defec...
1月6日
研討會, 演講, 講座
IAS / School of Science Joint Lecture - Innovations in Organo Rare-Earth and Titanium Chemistry: From Self-Healing Polymers to N2 Activation
Abstract In this lecture, the speaker will introduce their recent studies on the development of innovative organometallic complexes and catalysts aimed at realizing unprecedented chemical trans...