讲座题目：Matching Quantiles Estimation and Portfolio Selection
讲座嘉宾：姚琦伟 英国伦敦政治经济学院教授、上海社会科学院特聘教授
讲座时间：2016年4月12日周二13：30
讲座地点：上海社科国际创新基地五楼二会议室
Abstract: Motivated by a backtesting problem for counterparty credit risk
management, we propose a new Matching Quantiles Estimation (MQE) method,
for selecting representative portfolios. An iterative procedure based on
the ordinary least squares estimation is proposed to compute the
MQE. The convergence of the algorithm and the asymptotic properties of
the estimation are established. A new measure and an associated
statistical test are proposed to assess the goodness-of-match.
The finite sample properties are illustrated numerically by both
simulation and a real data example on selecting a counterparty
representative portfolio. The proposed MQE also finds applications in
portfolio tracking, which demonstrates the potential usefulness of
combing the MQE with the LASSO.