Mathematical Science Seminar: A new and simple investment strategy

Events

Agenda

  • Title: A new and simple investment strategy
  • Date: Friday 07 September 2018
  • Time: 15:00 -16:00
  • Venue: MB541

Speaker

Professor Ken Seng Tan
University of Waterloo

Abstract

The optimal construction of portfolio investment strategy has remained a fascinating topic since the ground breaking work of Harry Markowitz in 1952 who pioneered the mean-variance efficient portfolio theory (Nobel Prize for Economics 1990). More recently, the 1/N strategy, commonly known as the naïve investment strategy, has received much attention due to its simplicity and its effectiveness. Numerous studies have shown that none of the commonly known sophisticated investment strategies could consistently outperform the naïve strategy. Motivated by such studies, in this presentation we propose a new and simple investment strategy that balances between diversification and estimation errors. The effectiveness of our proposed strategy is demonstrated by a comprehensive empirical study, which shows that the naïve strategy as well as none of the commonly known sophisticated strategies could consistently outperform the proposed strategy.