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
Uncertain Covariance Models:
Risk forecasts that know how accurate they are and where
A QWAFAFEW discussion led by:
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.
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.
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.
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