About the Speaker:

Professor Wong’s research interests are in a variety of areas, such as Financial Economics, Econometrics, Mathematical Economics, Behavioral Economics, Operational Research, Time Series Analysis, Bayesian Theory and Decision Theory. He is a prolific author with publications in many international journals such as Journal of Economic Behavior and Organization, European Journal of Operational Research, International Journal of Finance, Applied Economics, Economics Letters, among others.

Abstract:

We first summarize our contributions in stochastic dominance (SD) theories including SD for risk averters and risk seekers, SD for investors with S-shaped and reverse S-shaped utility functions, convex SD, SD for profit and risk, SD for location-scale family, new SD statistics, the relationships between SD and Value at Risk, a study of relationships between SD and majorization theory, and a study of the diversification preferences for Markowitz investors and prospect investors.

We then summarize our contributions in mean-variance analysis including making Markowitz's portfolio principle become practically useful, applying Markowitz's portfolio principle to self-financing portfolios, developing the multiple Sharpe Ratios and the mean-variance test, and study the relationships between MV and SD. Subsequently, we will discuss some applications of our SD and MV theories in the areas of Economics and Finance, including international trade, risk analysis, fund and portfolio management, momentum strategies, calendar anomalies, and internet bubbles, etc.

Reservation:

Admission is free.  Please reply to Christina, e-mail: achristina@ntu.edu.sg or Tel: 6790-5689 to confirm your attendance.