國內活動
NCTS Weekly Announcement
National Center for Theoretical Sciences
Weekly Announcement
January 22-January 26 (Please refer to the attachment for more details.)
NCTS office will be closed Jan. 27- Feb. 5 for Chinese New Year
2016 許振榮講座Chen - Jung Hsu Lectures
2016 許振榮講座Chen - Jung Hsu Lectures
Date: November 28 (Mon.) – 30(Wed.), 2016
Time: 10:30 – 12:00
Venue: Institute of Mathematics, Academia Sinica.
Lecture Hall, 6F, Astro-Math Building, (NTU Campus)
Speaker
Prof. Shigeru Mukai (RIMS, Kyoto University)
Title
Algebraic varieties and their symmetry
TIMS Seminar in Statistical Methodology_Yingying (Dec. 8, 2016)
TaidaInstitute for Mathematical Sciences
†††††TIMS Seminar in Statistical Methodology ……………
Speaker:Prof. Yingying Li (The Hong Kong University of Science and Technology)
Title:High Dimensional Minimum Variance Portfolio Estimation
Abstract:We study the estimation of high dimensional minimum variance portfolio (MVP). Two settings are considered: the low frequency setting where returns are modeled as \hbox{i.i.d.}, and the high frequency setting where returns can exhibit heteroskedasticity \emph{and} possibly be contaminated by microstructure noise. We first propose an estimator of the minimum variance, which provides a reference for comparison. More importantly, under some sparsity assumptions on the precision matrix, we propose an estimator of MVP, which asymptotically achieves the minimum variance. Simulation and empirical studies demonstrate that our proposed portfolio performs favorably. Based on joint work with Tony Cai, Jianchang Hu and Xinghua Zheng.
Date:Thursday, December 08, 2016
Time:10:30~12:30
Place:Room 103, Mathematics Research Center Building (ori. New Math. Bldg.), National Taiwan University
Organizing Committee:
Prof. Hung Chen (Department of Mathematics, NTU)
Prof. Chin-Tsang Chiang (Department of Mathematics, NTU)
第二十五屆微分方程研討會
第二十五屆微分方程研討會
The 25th Annual Workshop on Differential Equations
時間：2017年1月7日(週六)~8日(週日)
地點：國立交通大學科學一館
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