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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 List 

 

 

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

 

 

A QWAFAFEW discussion led by:

 

Anish Shah

 

Abstract

 

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 (http://ssrn.com/abstract=2616109) and presents examples of uncertain covariance models in action improving investment decisions.

 

Bio

 

Anish Shah is with Investment Grade Modeling, LLC (http://investmentgrademodeling.com) 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. (Seehttp://video.newyorker.com/watch/notes-from-all-over-solea-the-flamenco-of-seville) 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:

A temporary menu upgrade, Burritos from Anna’s Taqueria.

 

Please RSVP hugh@QWAFAFEW.org

 

QWAFAFEW Mailing List

 

 

 

All annual dues ($150) should be paid to Boston QWAFAFEW by credit card, Bitcoin or check.

By credit card (PayPal)

http://qwafafew.org/BostonPayDues.html

 

By Bitcoin

Send us Bitcoin, our address is:

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Please send a separate email identifying your anonymous payment.

 

By check:

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Atkinson, NH  03811

bostonqwafafewbilling@gmail.com

 

 

Please RSVP for all meetings you plan to attend: hugh@QWAFAFEW.org

Guests who do not RSVP may have to wait to enter the meeting, due to space constraints (capacity=100, BFD).

 

Guest fees ($30) can be paid through EMA (check or PayPal, bring receipt) or bitcoin (at address above). We still allow walk-ins (space permitting). The $30 guest fee can be paid by bitcoin, cash or check at the door, no credit cards at the meeting.

 

As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee

 

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..

 

 

RSVP to: hugh@QWAFAFEW.org

Details

Date:
August 18, 2015
Time:
6:15 pm - 9:00 pm