A General Test for Functional Inequalities
Holder： Wenyu Zhou(Zhejiang University)
Time：2024-05-30 15:10-17:00
Location：Room 217, Guanghua Building 2
Abstract:
This paper develops a nonparametric test for general functional inequalities that include conditional moment inequalities as a special case. It is shown that the test controls size uniformly over a large class of distributions for observed data, importantly allowing for general forms of time series dependence. New results on uniform growing dimensional Gaussian coupling for general mixingale processes are developed for this purpose, which readily accommodate most applications in economics and finance. The proposed method is applied in a portfolio evaluation context to test for “all-weather” portfolios with uniformly superior conditional Sharpe ratio functions.
About the Speaker:
Dr. Wenyu Zhou currently serves as an Assistant Professor at the International Business School of Zhejiang University. He received his Ph.D. in Economics from the University of California, Los Angeles, and his B.A. in Finance and B.S. in Applied Mathematics from Peking University. His research primarily focuses on financial econometrics and digital economics, with particular interests in nonparametric estimation and inference.
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