题目：A General Test for Functional Inequalities with An Application on Portfolio Evaluation
时间：11月23日下午14：30-16：00
主讲人：周闻宇 博士
地点：曹光彪楼502室
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论文摘要：
This paper develops a nonparametric test for general functional inequalities that include conditional moment inequalities as a special case. It is shown that the test controls size uniformly over a large class of distributions for observed data, importantly allowing for general forms of time series dependence. New results on uniform growing dimensional Gaussian coupling for general mixing ale processes are developed for this purpose, which readily accommodate most applications in economics and finance. The proposed method is applied in a portfolio evaluation context to test for “all-weather" portfolios with uniformly superior conditional Sharpe ratio functions.
报告人简介
周闻宇博士现任浙江大学国际联合电竞博彩
助理教授，浙江大学金融研究院研究员。他于2020年毕业于美国加州大学洛杉矶分校，获得经济学博士、统计学硕士和经济学硕士学位。他本科就读于北京大学，获得金融学学士和应用数学双学士学位。他的研究兴趣主要包括理论计量经济学、数字经济和中国经济相关问题。他的研究成果曾发表于Journal of Financial Economics、Journal of Financial Markets、Economics Letters、The Stata Journal等学术期刊，并有多篇工作论文正在审稿过程中。他还担任Journal of Econometrics, Journal of Business & Economic Statistics, Pacific-Basin Finance Journal, Economics Letters, Economic Modelling, China Finance Review International等学术期刊的匿名审稿人。
