主题：Optimal time series momentum and reversal
时间：2015年12月27日(晚上) 19:30-21:00
地点：南校区教学楼B座407室
主讲人：何学中（Xuezhong He）（University of Technology Sydney Professor）
主办单位：金融学院
讲座内容摘要：
We develop acontinuous-time asset price model to capture the time series momentumdocumented recently. The underlying stochastic delay model facilitates theanalysis of effects of different time horizons used by momentum trading. Bystudying an optimal asset allocation problem, we find that the performance oftime series momentum strategy can be significantly improved by combining withmarket fundamentals and timing opportunity with respect to market trend andvolatility. The results also hold for different time horizons, the out-ofsample tests and with short-sale constraints. Furthermore, the outperformanceof the optimal strategy is immune to market states, investor sentiment andmarket volatility.
主讲嘉宾简介：
悉尼科技大学商学院教授、著名SSCI经济学国际期刊《Journal of Economic Dynamics and Control》主编。
