Legend:
CC = Vancouver Convention Centre F = Fairmont Waterfront Vancouver
* = applied session ! = JSM meeting theme
Activity Details
|
|
|
|
574 * !
|
Wed, 8/1/2018,
2:00 PM -
3:50 PM
|
CC-East 17
|
|
Statistical Inference in Finance — Topic Contributed Papers
|
|
Section on Statistics in Marketing, Korean International Statistical Society
|
|
Organizer(s): Kiseop Lee, Purdue University
|
|
Chair(s): Kiseop Lee, Purdue University
|
|
2:05 PM
|
High-Dimensional Markowitz Portfolio Optimization Problem: Empirical Comparison of Covariance Matrix Estimators
Johan Lim, Seoul National University; Young-Geun Choi, Fred Hutchinson Cancer Research Center; Sujung Choi, Soongsil University
|
|
2:25 PM
|
Mean Reversion Trading via Penalized Maximum Likelihood Estimation and Optimization
Jize Zhang, University of Washington, Seattle; Aleksandr Aravkin, University of Washington, Seattle; Tim Leung, University of Washington, Seattle
|
|
2:45 PM
|
Nonlinear Factor Decomposition for Financial Data by Deep Generative Model
Yongdai Kim, Seoul National University, Korea
|
|
3:05 PM
|
An Exact Auxiliary- Variable Gibbs Sampler for Stochastic Differential Equations
Vinayak P Rao, Purdue University
|
|
3:25 PM
|
On a Class of Full-Range Tail Dependence Copulas with Insurance Applications
Jianxi Su, Purdue University; Lei Hua, Northern Illinois University
|
|
3:45 PM
|
Floor Discussion
|
|
