Statistical Analysis in Portfolio Construction
Project Description

The statistical estimation of the mean and variance of the asset returns are particularly important for portfolio selection. When the dimension of the variables are high, the conventional estimation methodologies are likely to break down. In this project, we explore various statistical methodologies in an attempt to obtain estimation with improved accuracy.

Supervisor
CHEN Kani
Quota
3
Course type
UROP1000
UROP1100
UROP2100
UROP3100
Applicant's Roles

The applicant will read relevant articles published recently in statistics journals and present some of them. He/she will carry out a large scale numerical work, including simulation and collection and analysis of real data.

Applicant's Learning Objectives

The applicant will learn some new statistical techniques.

Complexity of the project
Challenging