Mathematical Colloquium: John Maheu - Beyond Conditional Second Moments: Does Nonparametric Density Modelling Matter to Portfolio Allocation?
King's Building, Strand Campus, London
The Department of Mathematics is hosting a series of colloquia, open for all to attend.
On 23 May 2024, Professor John Maheu from the DeGroote School of Business, Canada will give a talk. The talk will be held in person and streamed via Microsoft Teams. The location for the in-person event is K0.18, Ground Floor, King's Building, Strand Campus, King's College London.
A drinks reception in the same room will take place after the talk.
Beyond Conditional Second Moments: Does Nonparametric Density Modelling Matter to Portfolio Allocation?
Abstract
This talk will discuss Bayesian methods of inference and develop flexible models for financial applications. One approach to flexible modeling is Bayesian nonparametric methods which use an infinite mixture model. A Dirichlet process mixture and an infinite hidden Markov model, a time-dependent version of the former, will be reviewed. Another important feature of financial data is heteroskedasticity. A popular class of specifications for the evolution of the conditional covariance of asset returns is the multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model. We will discuss an approach to combine an infinite mixture model with MGARCH dynamics suitable to capture the complex distribution of financial data. The talk will conclude with applications of these models to portfolio choice problems to evaluate their usefulness.
About the speaker
John Maheu is Professor of Finance and Business Economics at the DeGroote School of Business, McMaster University, Canada. Professor Maheu got his PhD in Economics in 1998 at Queen's Univeristy (Canada) and hold several positions at University of Alberta, Toronto and McMaster University. He received several distinctions including the 2021 Faculty Research Excellence Awards from McMaster University.
King’s Mathematical Colloquium
This is the main periodic mathematical event at King's College London. Internationally prestigious speakers from all areas of Pure and Applied Mathematics provide an overview of their research topics, introduce their current investigations, and give their perspective on future advancements in the field. The Colloquium is aimed at a general mathematical audience: students and researchers from all fields of mathematics and physics can hear about new stimulating ideas and relevant research problems.
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