意昂2金融論壇第48期：Black-Litterman Asset Allocation and Mean-Variance Portfolio...

題 目🖌：Black-Litterman Asset Allocation and Mean-Variance Portfolio Optimization when Means and Covariances of Asset Returns are Unkown

個人簡介：

Tze Leung Lai（黎子良）is professor of Statistics in the School of Humanities and Sciences, and by courtesy, of Health Research and Policy in the School of Medicine and of the Institute of Computational and Mathematical Engineering in the Engineering School of Stanford University. He is also Director of Financial Mathematics Program and the Financial and Risk Modeling Institute at Stanford, and Co-director of the Biostatistics Core of the Cancer Institute and the Center of Innovative Design at the School of Medicine. He received his B.A. (First Class Honours) in Mathematics from The University of Hong Kong in 1967 and his Ph.D. in Mathematical Statistics in 1971 from Columbia University, where he stayed on the faculty until he moved to Stanford University in 1987. He won the Committee of Presidents of Statistical Societies Award in 1983 and the Abraham Wald Prize in Sequential Analysis in 2005. He is an elected member of Academia Sinica, where he has been an Advisory Committee member of the Institute of Statistical Science since 1992.

He is also an Advisory Committee member of the Department of Statistics and Actuarial Science and of the Institute for Mathematical Research at HKU. He has published nine books, 280 papers, and has supervised 65 PhD students.