Topic: Return Distribution Predictability and Distribution-based Portfolio Selection

Speaker: Min Zhu(School of Economics and Finance, Queensland University of Technology)

Time: 16:00-17:30, Dec. 4 (Wed.), 2013

Venue: Wangdaohan Conference Room, Lingnan Hall

Language: English



The inquiries to return predictability are traditionally limited to conditional mean, while literature on portfolio selection is replete with moment-based analysis with up to the fourth moment being considered. This paper develops a distribution-based framework for both return prediction and portfolio selection. More specifically, a time-varying return distribution is modelled through quantile regressions and copulas, using quantile regressions to extract information in marginal distributions and copulas to capture dependence structure. A preference function which captures higher moments is proposed for portfolio selection. An empirical application highlights the additional information provided by the distributional approach which cannot be captured by the traditional moment-based methods.


Speaker's Resume/UploadFiles/xsbg/2013/12/201312021436409231.pdf