San Francisco Chapter Meeting Announcement
Meeting was held on January 12, 2009
Venue:
101 California St
San Francisco, CA 94111 (415) 788-4101 Bio: Jason Morton worked in M&A at Credit Suisse before receiving an M.A. in Economics from the University of Michigan and a Ph.D. in Mathematics from U.C. Berkeley. He managed the $50M endowment of an educational nonprofit for five years and served as the director of research for a fund of hedge funds for two. He is currently a researcher at Stanford University, where he studies the geometry of statistical dependence with applications to machine learning and finance. Topic: Tools for higher-order portfolio optimization
Abstract: For a single asset or portfolio of assets, we are used to looking at the skewness and kurtosis of returns to understand aspects of risk not
captured by standard deviation alone. For multiple assets, we often rely on the covariance matrix to describe the dependence relationship among assets. However, just as standard deviation is an incomplete description of the riskiness of individual assets, the covariance matrix is an incomplete description of the dependence structure for multiple assets. Analogously to the (2-way) covariance matrix, the multivariate version of skewness and kurtosis are 3-way and 4-way objects called cumulant tensors. They can be used to model higher-order dependence and perform portfolio optimization that accounts for skewness and kurtosis as well as mean and variance. One can also build factor models using these objects. Factor models (e.g. "principal cumulant component analysis") also help make it practical to estimate the large number of variables involved and perform optimization. This approach is well suited to asset classes that exhibit non-normal returns and non-normal dependence structure but still have single-peaked return distributions. The original slides of the presentation are attached to this page. Jason posts updated version of the slides at the following URL: http://math.stanford.edu/~jason/qwafafew.pdf Use the acteva link below to register for the meeting or to purchase annual membership. QWAFAFEW members who have already paid their 2009 dues do not need to register. http://www.acteva.com/booking.cfm?bevaid=172071 The link is valid only before the meeting. San Francisco QWAFAFEW Steering Committee (Alphabetical Order)
Ralph Goldsticker, Mellon Capital Management
Rosy Macedo, Thomas J Watson Fellowship Program Robert Maxim, Duff & Phelps Matt O'Hara, Barclays Global Investors Jim Quinn, Quantal International - SF chapter chairman Irene Rusman, Oracle Seth Stafford, Oracle
Membership & Inquiries Annual membership
fee is a $50. Members will enjoy free attendance at meetings. To be
added/removed to the SF QWAFAFEW mailing list please send email to mailinglist.sf@qwafafew.org.
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January 2009 Meeting |