[Statlist] Research seminar in statistics December 2nd 2016, GSEM University of Geneva

[Karen Longden Roure]

Dear All,

We are pleased to invite you to our next Research Seminar -

Looking forward to seeing you

Organisers :
E. Cantoni - D. La Vecchia - E. Ronchetti -
S. Sperlich - F. Trojani - M.-P. Victoria-Feser

Friday December 2nd  2016 at 11h15, Uni-Mail M5220

Sorting out your Investments: Sparse Portfolio Construction via the ordered L1-Norm
Sandra Paterlini - EBS Universit�t f�r Wirtschaft und Recht

ABSTRACT:
Since its introduction to the statistics literature, the desiring features of simultaneous model selection and estimation have gained Lasso a wide recognition in many fields, including financial portfolio optimization. Still, the Lasso has known shortcomings, such as a reduced recovery of sparse signal in high correlated data, due to random selection from a pool of equally correlated assets. In this paper, we study the properties of the recently developed Sorted L1-Penalized Estimation, called SLOPE, within the framework of correlated data. SLOPE relies on the idea of penalizing coefficients with a stronger signal more heavily and clumping equally correlated assets together. Empirical analysis on the SP100 and SP500 from 2004-2016 confirms the validity of SLOPE in developing effective investment strategies.

Authors: P. J. Kreme, S. Lee, M. Bogdan, S. Paterlini

Visit the website: http://www.stat-center.unige.ch/ressem.html

Karen Longden
Program Coordinator
MSc. in Management, MSc. in Economics, MSc. in Statistics
Universit� de Gen�ve, Uni-Mail
Facult� d'Economie & Management, GSEM


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