报告时间：12月25日10:00-12:00

报告地点：管楼G216

报告题目：Can Bayes Optimize Cointegrated Portfolios? Teaching Old Tricks to a New Dog

报告摘要

We show that the Bayesian optimization framework can be used to create cointegrated currency portfolio in the foreign exchange market. A salient feature of the Bayesian approach is the ability to perform online updating of the cointegrated portfolio weights as new data become available. We compare the robustness of the portfolio performance with the convention cointegration approach through the use of standard econometric tools like the Johansen test. We also demonstrate its practical application using the net effective exchange rate in Singapore as a case study.

报告人简介

Assistant Prof Liu Peng has a Ph.D. in Statistics and Data Science and a M.S. in Business Analytics from the National University of Singapore. Currently he is an Assistant Professor of Quantitative Finance (Practice) at the Lee Kong Chian School of Business, Singapore Management University. He is also an adjunct research fellow at the Institute of Operations Research and Analytics at National University of Singapore. He has over ten years of industry experience across multiple industries. His research highlights expertise in areas such as deep learning, sparse estimation, and Bayesian optimization with applications in Finance.