数学科学学院学术报告[2024] 133号

(高水平大学建设系列报告1013号)

报告题目: High-Dimensional Sparse Index Tracking based on a Multi-step Convex Optimization Approach

报告人：舒连杰  教授（澳门大学）

报告时间：2024年12月14日上午9:40-10:20

讲座地点：深圳大学粤海校区汇星楼三号报告厅

报告内容： For financial index tracking, a sparse tracking portfolio with only a small number of assets is often desirable in practice to avoid small and illiquid positions and large transaction costs. Owing to its computational efficiency and variable selection properties, the regularization technique based on the least absolute shrinkage and selection operator (LASSO) has been widely discussed for high-dimensional sparse index tracking. However, a relatively large regularization parameter needs to be selected in LASSO to generate a very sparse solution. This could lead to relatively large biases in the estimates of the tracking portfolio weights, which would in turn deteriorate the out-of-sample tracking performance. Although non-convex penalties could be used to improve the bias issue of LASSO penalty, the resulting problem is non-convex optimization, which is often difficult and computationally intensive. Aimed at countervailing bias while preserving computational efficiency, this paper proposes a multi-step convex optimization approach based on the multi-step weighted LASSO (MSW-LASSO) for sparse index tracking. The proposed approach is very general and nests the traditional LASSO and its variations as special cases. Empirical results show that the proposed method can achieve smaller out-of-sample tracking

errors than the classical approaches based on LASSO regularization.

报告人简历：舒连杰博士目前是澳门大学工商管理学院的教授。目前担任Journal of Statistical Computation and Simulation 的副主编。他是工业与系统工程师学会和美国质量学会的高级会员。研究兴趣包括定量金融、高维统计和统计质量控制。他已经在各种学术期刊上发表了超过 70 篇论文，发表的期刊包括 Journal of Financial and Quantitative Analysis、Journal of Financial Econometrics、Journal of Empirical Finance、Quantitative Finance、Technometrics、Statistica Sinica、Naval Research Logistic、IISE Transactions。他在 2018 年获得了 IISE Transactions 的最

佳应用论文奖，并获得了澳门科学技术奖。

欢迎师生参加！

邀请人：数学科学学院（周彦）

　　　　　　　　　　　　　　　　　　　　　数学科学学院

　　　　　　　　　　　　　　　　　　　 2024年12月13日