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Business Analytics Seminars

The seminars are on Fridays at 11am in Room 1050, Abercrombie Building (H70), unless otherwise specified.

The seminar organiser is Prof Junbin Gao.

Upcoming Seminars


23rd Feb 2018 - 11:00 am

Venue: Rm 4150 H70 Business School Abercrombie Bldg H70

Speaker: Prof Marc Paolella, Department of Banking and Finance; University of Zurich; Switzerland

Title: Large Scale Multivariate Modelling of Financial Asset Returns and Portfolio Optimization

There are several aspects of financial asset portfolio construction relevant for success. First, the methodology should be applicable to a reasonably large number of assets, at least on the order of 100. Second, calculations should be computationally feasible, straightforward, and fast. Third, realistic transaction costs need to be taken in account for the modelling paradigm to be genuinely applicable. Fourth, and arguably most importantly, the proposed methods should demonstrably outperform benchmark models such as the equally weighted portfolio, Markowitz IID and Markowitz using the DCC-GARCH model. A fifth "icing on the cake" is that the underlying stochastic process assumption is mathematically elegant, statistically coherent, and allows analytic computation of relevant risk measures for both passive and active risk management. The model structure to be shown satisfies all these criteria. Various potential new ideas will also be discussed, with the aim of enticing and motivating graduate students to improve upon the shown investment vehicles.