Ju-Yi Yen (Vanderbilt University, USA)

Asset allocation with non-Gaussian factors and exponential utilities
Friday 28 November 2008 at 16.15, JCMB 6206

Abstract

We build a multivariate portfolio model and analyze empirical results of the investment. A signal processing technique known as independent component analysis is applied to decompose multivariate financial time series into statistically independent components (ICs). These ICs are assumed to follow the pure jump non-Gaussian process. The process allows one to capture movements in skewness and kurtosis as well as volatility.

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