美国埃默里大学学者做客南开金融学术讲堂

2018年5月9日

本文为南开金融学术港原创，版权所有，转载请注明出处。

（通讯员 潘劼宁 常艺馨）2018年5月4日上午，由金融学院学术发展中心主办的南开金融学术讲堂第45讲在金融学院234教室举行。美国埃默里大学（Emory University）Goizueta商学院的金融学助理教授Francisco Barillas博士以“Real-timePortfolio Choice Implications of Asset Pricing Models”为题，给在座师生带来了精彩的学术报告。

Barillas博士在回顾相关文献的基础上，指出了单独以alpha为评价投资组合效果的问题和局限性。在此基础上，Barillas博士利用贝叶斯方法综合考虑数据估计中的不确定性与模型的不确定性，提出比较资产定价模型的新的方法。在实证检验的部分中，Barillas博士选取了1967至2016年间领域内具有代表性的10个因子，在剔除测度同样风险因素的不同指标的基础上，构建多个模型，选取不同的杠杆水平，对基于各个定价模型构建的投资组合的波动率与收益率与市场组合进行比较。在座师生积极参与，既加深了对资产定价领域的理解，又为研究的进一步完善提出有建设性的想法。

Barillas博士2010年毕业于纽约大学并获经济学博士学位，他的研究方向为资产定价，宏观金融以及金融计量。Barillas博士是一位非常高产的学者，他的多篇研究成果已经发表在经济和金融学领域的国际顶级学术期刊上，包括Journal of Finance，Review of FinancialStudies，Management Science，Journalof Economic Theory以及Journal of Economic Dynamics andControl等。

On 4 May, 2018, Dr. Francisco Barillas from Goizueta Business School at Emory University visited School of Finance at Nankai University and presented his paper “Real-time Portfolio Choice Implications of Asset Pricing Models”.

In his presentation, Dr. Barillas proposed a Bayesian asset allocation framework that accounts for model uncertainty. In the empirical part, Dr. Barillas and his coauthor choose 10 commonly used traded-factors and test the collection of all possible pricing. Under a wide range of beliefs about the extent of mispricing, they find that portfolios formed based on real-time comparison between all possible models lead to superior performance when compared with the sample tangency portfolio.Meanwhile, this approach also possesses better out-of-sample performance, even after one taking into account data mining issues.

Prof.Francisco Barillas joined the Goizueta Business School faculty in 2010 after receiving his PhD. from New York University. He holds an MSc in Economics from the University of British Columbia in Vancouver, Canada and has worked as an Economist at the Bank of Canada. His research has been published in top academic journals including Journal of Finance, Review of Financial Studies, Management Science, Journal of Economic Theory and Journal of Economic Dynamics and Control.

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