讲座人：Raymond Kan教授

讲座主题：On the Economic Value of Alphas

摘要：In this paper, we examine the benefit of incorporating test assets with nonzero alphas into an optimal portfolio when the mean and covariance matrix of asset returns are estimated with errors. Under the normality assumption, we derive the distribution of the return of a portfolio that is optimized based on the sample mean and covariance matrix. We show that as long as the benchmarks are not ex ante efficient, this sample optimal portfolio will generate positive alpha relative to the benchmarks. However, due to estimation errors, we need a very long estimation window for the sample optimal portfolio to outperform the benchmarks. We further consider a strategy that optimally combines the risk-free asset, the sample optimal portfolio, and the benchmark portfolios. This combining strategy persistently outperforms the benchmarks, providing a reliable way to realize the economic value of nonzero alphas.

讲座时间：2014年11月17日，周一，14:00开始

讲座地点：学院南路校区学术会堂604会议室

讲座人简介：Raymond Kan教授是多伦多大学罗特曼管理学院金融学教授，研究兴趣包括资产定价、投资组合管理及计算统计。他的研究成果发表在Journal of Finance, Review of Financial Studies, Journal of Financial Economics以及Journal of Econometrics等国际顶级学术期刊。目前担任Journal of Financial Econometrics编辑委员会成员。

本次论坛参加人员范围：会计学院教师、博士生、本硕博连读生以及本科生学术创新实验班成员。

[编辑]：孙颖