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 RSVP to hugh@QWAFAFEW.org   QWAFAFEW Mailing…

Next Boston QWAFAFEW Meeting: Tuesday, 21 Oct 2014 Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org Mailing List  Model Risk Management: Using an infinitely scalable stress testing platform for effective model verification and validation A QWAFAFEW discussion led by: Sri Krishnamurthy, CFA,…

Next Boston QWAFAFEW Meeting: Tuesday, 16 Sep 2014 Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org Mailing List  Seeing The Big Picture: Financial Markets, Conflict and Corruption A QWAFAFEW discussion led by: Dan diBartolomeo Abstract In this presentation we explore the relationship…

Next Boston QWAFAFEW Meeting: Tuesday, 19 Aug 2014 Cryptocurrency Night Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org Mailing List  What is Bitcoin? A QWAFAFEW discussion arranged by Paul Huibers and led by: James D’Angelo Abstract This is an introductory talk on…

THE DIVERGENCE OF HIGH- AND LOW-FREQUENCY ESTIMATION: CAUSES AND CONSEQUENCES A QWAFAFEW discussion led by: MARK KRITZMAN, CFA With an assist from David Turkington, CFA Abstract Financial analysts typically estimate standard deviations and correlations from monthly or higher-frequency returns when determining the optimal composition of a portfolio.  Although it is…

Next Boston QWAFAFEW Meeting: Tuesday, 17 Jun 2014 Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org Mailing List  To Rebalance or Not to Rebalance: A Statistical Comparison of Terminal Wealth of Fixed-Weight and Buy-and-Hold Portfolios A QWAFAFEW discussion arranged by Dan diBartolomeo…

Boston QWAFAFEW Meeting: Tuesday, 20 May 2014 Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org Mailing List  Large Bets and Stock Market Crashes A QWAFAFEW discussion arranged by Mark Kritzman and led by: Anna Obizhaeva Co-authored with Pete Kyle Abstract For five…

Systematic Equity Strategies as Sources of Risk A QWAFAFEW discussion led by: Stanislav Radchenko, PhD With Larry Pohlman as discussant. Abstract Systematic Equity Strategies (SES) refer to the systematic (i.e., rules based or computed based) implementation of fundamental or technical investment anomalies/strategies. When represented as factors in risk models, they allow…