Presentation Files

Boston QWAFAFEW Meeting: Tuesday, 17 Dec 2013

Estimating Long-Term Expected Returns: More Bad News for Equity Premia A QWAFAFEW discussion arranged by Mark Kritzman & led by: Eric  Jacquier Abstract Assessing future long-term (compound) expected returns is crucial to many aspects of portfolio management. Long-term expected returns obtain by compounding the one-period expected return. However, compounding an…

Boston QWAFAFEW Meeting: Tuesday, 19 Nov 2013

Higher-Frequency Analysis of Low-Frequency Data A QWAFAFEW discussion led by: Mark Szigety and Mickael Mallinger-Dogan Abstract Low-frequency data present significant challenges to investors because infrequent observations lead to imperfect intra-period understandings of market behavior, which in turn frustrate risk management, rebalancing, and portfolio monitoring.  Nowhere is this phenomenon more vexing…

QWAFAFEW Meeting: Tuesday, 20 Aug 2013

Abstract Since Haugen and Baker (1992), numerous papers have argued that low volatility equities strategies generate performance well above the expectations of equilibrium models such as CAPM.   A few papers have advanced theories on manager behavior such as focus on tracking error and aversion to leverage as potential explanations.  While…

Boston QWAFAFEW Meeting: Tuesday, 16 Jul 2013

Abstract Portfolio optimization is going through a revolution with the recent algorithmic advances in conic optimization. By generalizing quadratic optimization, conic optimization allows new ways of modeling and solving a broader class of risk optimization problems efficiently. In this talk, we will give a brief introduction to conic optimization and…

Boston QWAFAFEW Meeting: Tuesday, 18 Jun 2013

Informed investors recognize that hedging at least some of a portfolio’s currency exposure, in most cases, improves its quality, but the best approach for doing so is not often obvious. We investigate a variety of currency hedging strategies, including linear strategies, non-linear strategies, and combinations thereof, to help investors determine…

Next Boston QWAFAFEW Meeting: Tuesday, 19 Mar 2013

This talk will present a new framework for quantification of the coupling and interdependences between different financial markets. The employment of ideas and techniques from complexity science and the proposed theory of coupled and interdependent networks to understand and quantify the role of connections and dependencies within a system and…

Boston QWAFAFEW Meeting: Tuesday, 19 Feb 2013

Summary: Portfolio managers around the world regularly engage in efforts to improve. Improvement is motivated, by among other forces, the manager’s internal desire to excel, the expectations of client/investors and the demands of an ever changing market. Yet, managers report little confidence in their ability to improve. They invest tremendous…