Speaker: Prof. Liang-Ching Lin (Department of Statistics, National Cheng Kung University)
Lecture Title: Modern Portfolio Theory based on the Interval-Valued Variables
Abstract:
Modern portfolio theory formalizes and extends the concept of diversification in investing, which suggests that holding a variety of financial assets is less risky than investing in a single type. In this talk, I will briefly introduce two renowned modern portfolio theories: Markowitz’s (1989) mean-variance portfolio selection and Merton’s (1969) maximum utility function. However, in financial economics, these two theories are traditionally developed based on the daily closing price. When modeling stock prices using only the daily closing price, valuable intra-daily information, such as maximum and minimum prices, may be overlooked.
In this study, we propose an innovative financial interval-valued time series model that incorporates daily maximum, minimum, and closing prices. The likelihood function and the corresponding maximum likelihood estimates (MLEs) are derived using stochastic differential equations and the Girsanov theorem. The efficiency of the proposed estimators is demonstrated through a simulation study. Finally, we apply the proposed method to modern portfolio theory based on Merton’s (1969) maximum utility function.
Date & Venue: April 28, 2025 (Monday) 10:00–12:00, College of Business, Room 2F02
Time：2025-03-21 09:39:15
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