Dr Huamao Wang from School of Mathematics will present a working paper “Momentum and Reversion or Uncertainty in Dynamic Asset Allocation” at the conference “Finance and Commodities” at The University of St. Andrews between the 12th and 14th July 2013.
The conference aims to bring together leading experts in the field of Finance, with reference in particular to the economic and financial modelling of commodities and natural resources.
Plenary speakers include Eduardo Schwartz (UCLA Anderson School of Management), Alexander Eydeland (Morgan Stanley), Helyette Geman (Birkbeck, University of London and John Hopkins University), Andrew Lyasoff (Boston University School of Management) and Ronnie Sircar (Operations Research and Financial Engineering Department, Princeton)
Dr Huamao Wang from SMSAS will present a working paper “Momentum and Reversion or Uncertainty in Dynamic Asset Allocation”.
Empirical studies reveal that the stock return demonstrates short-run momentum and long-run mean reversion. Previous studies characterize both features explicitly by stochastic dynamics of state variables. While another direction of literature implicitly captures them via the filter estimate of uncertain expected rate of return under partial information. The paper provides an evaluation of the two strategies in a continuous-time state dependent dynamic asset allocation problem. Their benefits and drawbacks are revealed from the aspects of allocation to stocks, the economic value of hedging time variation or parameter uncertainty.