澳門大學工商管理學院金融科技學術沙龍論壇
UM FBA FinTech Academic Salon Forum
Seminar Talk – 005
Date: 12 April 2023(Wednesday)
Time: 1:00-2:00 p.m.
Venue: E22 FBA Lobby
Moderator: Prof. Alex Sili ZHOU, Associate Professor of Finance
Presentation 1: Fintech and Green Finance in Banking: A Conditional Love Story
Ms. Zhaoyan LIU, PhD student, FBA
Abstract
While Fintech and green finance are central issues of the current policy agenda, they have been treated as separate in the literature. Our study connects Fintech and green finance by identifying that Fintech involvement can alleviate information asymmetry in green lending. Focusing on a sample of all Chinese listed banks over 2010-2019, the study finds that the impacts of Fintech on banks’ green lending activities depend critically on bank size and governance quality. Remarkably, the existence of “digital divide” among banks is the main reason that the positive effect of Fintech is biased toward large banks.
Speaker
Ms. Zhaoyan LIU is a second-year PhD student, supervised by Prof. Maggie FU. She has several years of experience in the banking industry. Her research includes corporate governance, green finance, and ESG.
Presentation 2: Improving high-dimensional portfolio selections through robust hedge regression
Mr. Wenliang DING, PhD student, FBA
Abstract
The Glasso applied to portfolio selection achieves significant risk reduction and boosts certainty-equivalent returns (CER) in high dimensions through sparse estimation against hedge trades Goto & Xu (2015). However, the sample covariance matrix used as input for the Glasso analysis is susceptible to data outliers. This input is replaced in our Glasso by a Kendall-type robust estimator (Glasso-K). Such new robust Glasso inherits the original Glasso’s risk reduction advantage while dealing well with data contamination. The Glasso-K is found to outperform the Glasso in main aspects, especially in the CER due to its induced better-conditioned covariance, less-frequent turnover, and more-diversified portfolios.
Speaker
Mr. Wenliang DING is a fourth-year PhD student in the FBA, supervised by Prof. Lianjie SHU. His research interest includes Statistical Learning and Quantitative Finance.
All are welcome!
