FBA Salon Series on Fintech and Financial Markets – 013
Prof. Yi DING
Assistant Professor of Business Economics
University of Macau
Date: 11 September 2024 (Wednesday)
Time: 13:00 to 14:00 pm
Venue: E22 Lobby
Moderator: Prof. Rachel Xiaorong MA, Associate Professor of Finance
Abstract
We develop a statistical framework to learn the high-dimensional stochastic discount factor (SDF) from a large set of characteristic-based portfolios. Specifically, we use the MAXSER method proposed in Ao et al. (2019) to screen for potentially useful factors, and develop a statistical inference theory for further factor selection and final SDF portfolio construction. Applying our approach to 194 characteristic-based portfolios, we find that our SDF estimator performs well in achieving a high Sharpe ratio and explaining the cross-section of expected returns of various portfolios.
Speaker
Prof. Ding is an Assistant Professor of Business Economics at the Faculty of Business Administration in University of Macau. Her research focuses on the study of financial big data, financial econometrics, and high-dimensional statistics. Prof. Ding has published papers in top academic journals such as The Annals of Statistics, Journal of the American Statistical Association and Journal of Econometrics. She has been the principal investigator of research projects funded by the Hong Kong Research Grant Council, and the National Natural Science Foundation of China.
All are welcome!
