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Seminar
Department of Systems Engineering and Engineering Management
The Chinese
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Title |
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Location, Location,
Location: Asset Pricing Models with Spatial Interaction |
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Speaker |
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Prof. Steven Kou |
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Department of IEOR |
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Date |
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Apr. 15th, 2011 (Friday) |
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Time |
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4:45 p.m. - 5:45 p.m. |
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Venue |
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Room 513 |
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William M.W. Mong Engineering
Building |
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(Engineering Building Complex Phase 2) |
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CUHK |
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Abstract:
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It is common knowledge that spatial interaction is important in the real estate market, as housing prices are significantly affected by the prices of the neighbors. Although there has recently been some work using spatial statistics in empirical studies of housing markets, to the best of our knowledge, there is little theoretical work connecting classical asset pricing models, such as mean-variance portfolio choice, the capital asset pricing model (CAPM), and arbitrage pricing theory (APT), with spatial statistics. In addition to propose asset pricing models with spatial interaction, we derive estimators and test statistics needed to implement the models. An empirical test using the Case-Shiller U.S. regional real estate indices is also given in the paper. This is a joint work with Xianhua Peng and Haowen Zhong. |
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Biography:
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Steven Kou is
Professor of Industrial Engineering and Operations Research at His main research interests are: Financial Engineering,
Applied Probability, Contingency Tables in Medicine, Election Markets. |
************************* ALL ARE WELCOME ************************
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Host |
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Prof. Chen Nan |
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Tel |
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(852) 2603-5505 |
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Enquiries |
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Prof. Nan Chen or Prof. Sean X. Zhou |
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Department of Systems Engineering and Engineering
Management |
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CUHK |
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Website |
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