Mini-conference on ”Optimal portfolios in the high-dimensional setting”

The winner of the Cramér prize for the best PhD thesis written 2022 in (mathematical) statistics is Erik Thorsén with his thesis ‘Optimal portfolios in the high-dimensional setting: Estimation and assessment of uncertainty’. In connection to the Cramér society’s spring meeting March 28, we invite you to participate in a mini-conference (online/Zoom) on the topic of the thesis. 

Zoom: https://liu-se.zoom.us/j/63653662971

Tuesday, March 28 (Swedish time)

• 12.55-13.00 Opening and prize ceremony
• 13.00-13.30 Erik Thorsén (Stockholm University, Sweden) – High dimensional optimal portfolios: an introduction and a shrinkage based solution
• 13.35-14.05 Nestor Parolya (Delft University, The Netherlands) – Optimal shrinkage-based portfolio selection in high-dimensions
• 14.10-14.40 Thomas Holgersson (Linnaeus University, Sweden) – Trailing the Bias of Regularized Portfolio Estimators
• 14.50-15.20 Taras Bodnar (Stockholm University, Sweden) – Shrinkage-based test on high dimensional mean-variance portfolio
• 15.25-15.55 Raymond Kan (University of Toronto, Canada) – The distribution of out-of-sample returns of estimated optimal portfolios (joint work with Nathan Lassance and Xiaolu Wang)