Comparison and Evaluation of Long-Term Performance of Investment Strategies
Prof. Raymond KAN
National Bank Financial Professor in Capital Markets
Professor of Finance
University of Toronto
Date: 28 June 2024 (Friday)
Time: 10:30 am – 12:00 pm
Venue: E22-G015
Host: Prof. Endong YANG, Assistant Professor in Finance
Abstract
Many finance papers present a plot of the cumulative wealth of various investment strategies. However, it is not entirely clear on how to conduct a statistical analysis on the terminal wealth of these investment strategies. In this paper, we characterize the statistical properties of the ratio and difference of terminal wealths of two investment strategies. The analysis is then extended to study the statistical properties of the minimum/maximum ratio of terminal wealths when multiple investment strategies are involved. For an investor with a given investment horizon, he is more interested in holding a portfolio with the highest expected utility based on the terminal wealth at the preferred investment horizon. We provide a statistical test that allows researchers to conduct a comparison of expected utility of two competing investment strategies for a given investment horizon. The test is extended to deal with the comparison of multiple investment strategies.
Speaker
Prof. KAN is the National Bank Financial Professor in Capital Markets and a Professor of Finance at Rotman School of Management, University of Toronto. His research interests include empirical asset pricing, portfolio management, and computational statistics. His research has been published in many top journals including the Econometrica, Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Management Science, Journal of Econometrics, Journal of Financial and Quantitative Analysis. Raymond currently serves on the editorial board of Journal of Financial Econometrics.
All are welcome!
