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574 ! Wed, 8/1/2012, 2:00 PM - 3:50 PM CC-Room 30E
Optimal Portfolios, Clustering, and Change Points — Contributed Papers
Business and Economic Statistics Section
Chair(s): Jason Duan, The University of Texas at Austin
2:05 PM Optimal Orthogonal Portfolios with Conditioning Information Andrew Siegel, University of Washington ; Wayne E. Ferson, University of Southern California
2:20 PM Inference on Optimal Portfolio Weights Using Generalized Pivotal Quantity Yuanyuan Zhu, The University of Hong Kong ; Philip L.H. Yu, The University of Hong Kong ; Thomas Mathew, University of Maryland Baltimore County
2:35 PM Utilizing ARC Length to Cluster Stocks According to Risk Ferebee Tunno, Arkansas State University ; Tharanga Wickramarachchi, Clemson University
2:50 PM Insider Trading and Strategies: A Simulation Study Feng Liu, University of North Carolina at Chapel Hill
3:05 PM Day of the Week Effect on Turkish Foreign Exchange Market Volatility During the Global Financial Crisis Ece Oral, Central Bank of the Republic of Turkey
3:20 PM A New Algorithm for Multiple Change-points estimation in Time Series Chun-Yip Yau, Chinese University of Hong Kong ; Ngai Hang Chan, Chinese University of Hong Kong ; Rongmao Zhang, Zhejiang University
3:35 PM Arc Length as a Measure of Risk Tharanga Wickramarachchi, Clemson University ; Colin Gallagher, Clemson University ; Robert Lund, Clemson University

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