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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