• 演讲人： 周闻宇（浙江大学国际联合商学院）
• 时间：2022年10月28日 周五上午10：00
• 地点：浙江大学紫金港校区行政楼1417报告厅
• 主办单位：浙江大学数据科学研究中心

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.

联系人：高照省（zhaoxing_gao@zju.edu.cn）