The Leibniz Institute SAFE regularly welcomes distinguished academics for research visits in Frankfurt as part of the SAFE Visitors Program. From 10-16 November, Hashem Pesaran from the University of Southern California and Fellow of Trinity College, Cambridge shared his ideas and insights with students and researchers with an informal exchange of thoughts, an IMFS-SAFE Policy Talk and teaching engagements.
The Policy Talk Constructing Portfolios in the Presence of Strong Risk Factors held by Pesaran on 13 November offered new and interesting perspectives. In the talk, organized in collaboration with the Institute for Monetary and Financial Stability (IMFS), Pesaran used a recent research paper of his to discuss how "phi-portfolios," constructed by leveraging strong risk factors, can outperform traditional investment strategies. His insights bridged theory and practice, providing a fresh perspective on portfolio optimization and market efficiency.
Collaboration in international research
A focus of Pesarans visit was the exchange of thoughts and ideas by networking with local researchers from SAFE and Goethe University. In teaching three PhD-Level-mini courses and delivering a SAFE Research Seminar, he offered new perspectives and insights to junior researchers. In the seminar titled High-Dimensional Forecasting with Known Knowns and Known Unknowns, Pesaran explored cutting-edge approaches to leveraging high-dimensional data in forecasting. In the mini courses titled Big Data Analytics: Alternative Approaches and New Perspectives, he discussed techniques such as machine learning, econometrics, and global vector autoregressions together with PhD students and researchers.
SAFE is grateful to Hashem Pesaran for his visit and his contributions to its academic community. In fostering collaboration between SAFE researchers and students and leading international researchers, the SAFE Visitors Program ensures a constant exchange of ideas. International researchers are encouraged to explore this opportunity to contribute to and benefit from the vibrant research environment at SAFE and Goethe University.
