SpeakerDu Pei is currently an associate professor of quantum mathematics at the University of Southern Denmark. He obtained his Ph.D. in theoretical physics in 2016 from Caltech. His main research interests concern the geometric, algebraic and categorical properties of quantum field theory.AbstractThe existence of quantum field theories in higher dimensions predicts many hidden algebraic struct...
讲座摘要Using an augmented covariance matrix as a bridge, we prove that the covariance matrix of asset returns can be isomorphic to a block diagonalized matrix, which enables market portfolio as the first principal component by a quasi-PCA. This framework provides a bridge to connect the empirical and theoretical asset pricing models, and provides a novel explanation for the failure of estimate...