Charity Walk 17 October 2004 (Walk-Flyer.pdf by Charles River Public Internet Center)

Hello my friends, I’d like to invite you and your families to a fun and charitable afternoon on Sunday, October 17th in the beautiful historic town of Lexington.  There will be a 3-mile loop walk  to benefit Charles River Public Internet Center at 1pm, and then my husband John and I will host…

SKEW YOU, SAY THE BEHAVIORALISTS By Mark Kritzman Hedge funds and behavioral finance are hot topics in portfolio management. Hedge funds have grown to become a trillion dollar industry and the focus of seemingly endless journal articles. And behavioral finance devotees, once looked upon as members of the radical fringe,…

Abstract Hedge funds have return peculiarities not commonly associated with traditional investment vehicles. Specifically, hedge funds seem more inclined to produce return distributions with significantly non-normal skewness and kurtosis. There is also growing acceptance of the notion that investor preferences are better represented by bilinear utility functions or S-shaped value…

Most conventional financial models are intended to provide a point-estimate, often of an expected return. These estimates are necessary for portfolio construction and mean variance optimization. However, there is another potential way to frame financial outcomes. Rather than trying to model expected returns, the problem can be framed as an…

The May 20th 2004 meeting’s topic is: “MODELING FOREIGN CURRENCY MARKETS FOR RISK MANAGEMENT.” MR. MICHAEL WILCOX, CFA, is the President of Alford Associates, Inc., a research and consultancy firm specializing in foreign exchange analysis. Prior to founding Alford Associates, Mr. Wilcox was an international equity portfolio manager and the…

Handout for May 18 meeting in Boston

Abstract: Institutional fund managers generally rebalance using ad hoc methods such as calendar basis or tolerance band triggers. We propose a different framework that quantifies the cost of a rebalancing strategy in terms of risk-adjusted returns net of transaction costs. We then develop an optimal rebalancing strategy that actively seeks…