题目：Optimal Time Series Momentum and Reversal

　　报告人：Professor Li Youwei(School of Management of Queen's University Belfast)

　　Abstract: We develop a continuous-time asset price model to capture the time series momentum documented recently. The underlying stochastic delay model facilitates the analysis of effects of different time horizons used by momentum trading. By studying an optimal asset allocation problem, we find that the performance of time series momentum strategy can be significantly improved by combining with market fundamentals and timing opportunity with respect to market trend and volatility. The results also hold for different time horizons, the out-ofsample tests and with short-sale constraints. Furthermore, the outperformance of the optimal strategy is immune to market states, investor sentiment and market volatility.

　　时间：12月2日（周三）10:00-11:00

　　地点：首都师大北一区文科楼 510 教室

　　欢迎全体师生积极参加！