题目：OPTIMALITY OF MOMENTUM AND REVERSAL

摘要：We develop a continuous-time asset price model to capture short-run momentum and long-run reversal in time series. By studying a dynamic asset allocation problem with time delay, we derive the optimal investment strategy in closed form and show that the combined time series momentum and reversal strategies are optimal. We then estimate the model to the S&P 500 and demonstrate that, by taking the timing opportunity with respect to trend in return and market volatility, the optimal strategies outperform not only pure momentum and pure mean reversion strategies, but also the market index and time series momentum strategy. Furthermore we show that the optimality also holds for the out-of-sample tests and with short-sale constraints and the outperformance is immune to market states, investor sentiment and market volatility.

演讲者简介：Xue-Zhong He 教授现任悉尼科技大学商学院（ UTS Business School ） 教授(Professor of Finance)，主要活跃于金融市场建模、异质信念下的资产定价和非线性经济动力学等领域，在Journal of Economic Dynamics and Control、Journal of Economic Behavior and Organization 、European Journal of Finance 、SIAM 、Journal of Evolutionary Economics和Quantitative Finance等国际主流学术期刊上发表文章40多篇，撰写了Handbook of Financial Markets: Dynamics and Evolution（Elsevier）、Handbook on Information Technology in Finance（Springer）等10余部学术书籍的部分章节。此外，Xue-Zhong He教授担任本领域三大顶尖国际学术期刊之一Journal of Economic Dynamics and Control的主编（Co-Editor）；还担任Journal of Economic Interaction and Coordination、Journal Differential Equations and Dynamical Systems 和Discrete Dynamics in Nature and Society 等国际学术期刊的副主编（Associate Editor）。

地点：学术会堂506

时间：2014年10月20日星期一上午10：00-11:30

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