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主讲人 |
周闻宇 |
简介 |
<p>We propose a novel procedure to estimate the Minimum Spanning Set (MSS), which is the smallest subset of risky assets that spans the mean-variance efficient frontier of the full asset universe. We derive sufficient conditions for identification and establish the asymptotic properties of the estimator. Extensive Monte Carlo simulations demonstrate strong finite-sample performance. Applying our method to asset pricing data, we uncover the critical role of factor momentum, along with individual stock momentum and a set of established risk factors, in shaping the mean-variance frontier, and we further identify the underlying sources of their contributions.</p> |
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主讲人简介 |
<p>周闻宇，浙江大学国际联合商学院助理教授、博士生导师。主要研究领域为理论计量、实证金融与数字经济，相关成果发表于<em>Review of Economics and Statistics、Journal of Econometrics、Journal of Financial Economics、Marketing Science、Journal of Business & Economic Statistics</em>等学术期刊。主持国家自然科学基金、全国统计科学研究项目等科研项目。</p> |
期数 |
高级计量经济学与统计学系列讲座2026年秋季学期第六讲（总210讲） |
