Boston QWAFAFEW Meeting: Aug. 18, 2015 – Uncertain Covariance Models: Risk forecasts that know how accurate they are and where

Boston QWAFAFEW Meeting: Aug. 18, 2015

August 18, 2015 @ 6:15 pm – 9:00 pm

Download Presentation: Uncertain Covariance Boston 

Uploaded: Thu, September 24, 2015 – 1:51 AM

Boston QWAFAFEW Meeting: Tuesday, 18 Aug 2015

Time: 6:15 PM sharpe

3rd Floor of the Tennis & Racquet Club, 939 Boylston Street



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Uncertain Covariance Models:
Risk forecasts that know how accurate they are and where



A QWAFAFEW discussion led by:


Anish Shah




Covariance models of stock returns appear throughout the investment process – estimating portfolio risk, hedging, constructing risk/return optimized portfolios, and algorithmic trading.


Though practitioners might consider accuracy in predicting returns – e.g.: finding the portfolio with the best worst-case via robust optimization – covariance is treated as fixed and known, with no differentiation made between the easy and hard to predict.


The talk outlines a practical framework for expressing uncertain covariance ( and presents examples of uncertain covariance models in action improving investment decisions.




Anish Shah is with Investment Grade Modeling, LLC ( based in Boston, MA.


Earlier stops in his career include risk modeling and optimization at Northfield and ITG. He is a CFA charter holder and holds an MS in Operations Research from UC Berkeley and an MS in Applied Math from Brown, where he is ABD in their PhD program, concentrating in pattern theory.


Extra Bonus:


A love of music is not uncommon in math/science types. (Note that love is not the same as talent – many statisticians love baseball.) Anish’s hobby is flamenco guitar. Flamenco is the music of the Gypsies of Southern Spain, itinerant people of Northern Indian ancestry who arrived there in the 15th century. (See Anish had the good fortune two years ago to spend a month studying under two professional guitarists in Granada, Spain.


On request of QWAFAFEW management to help rehabilitate its more feral members, he has agreed to play a piece as part of the talk.


Extra Extra Bonus:

temporary menu upgrade, Burritos from Anna’s Taqueria.


Please RSVP


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Questions, comments:



Steerage Committee

Max Arai

Hugh Crowther (Treasurer)

Dan diBartolomeo

Steve Gaudette

Mark Kritzman

John Minahan

Donna Cool Murphy (Dinners)

Larry Pohlman

Dan Potter

Dan Rie

Evan Schulman

Michael Wilcox


The members of the Steerage Committee are responsible for coordinating the program content.

Program suggestions from members are always welcome..



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