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Next Boston QWAFAFEW Event, 21 July 2020

July 21 @ 7:00 pm - 8:00 pm

| Free

QWAFAFEW Meeting: 21 July 2020

FREE Event

BETTER PORTFOLIOS WITH HIGHER MOMENTS

A QWAFAFEW discussion led by:

Jarrod Wilcox

Abstract:
Maximizing expected log leveraged return is a direct expected utility approach complementary to Markowitz’s mean-variance portfolio construction.  An implementation of Rubinstein’s generalized log utility, it is growth-optimal for surplus over financial obligations.  Its added value is in guidance on appropriate risk aversion, matching products with suitable investors, and in shielding against tail risk.  Option positions are first class citizens within its comprehension.  Here it is used to explain Black-Scholes implied volatility anomalies.  Additionally, the recommended toolset includes modeling the security return joint probability distribution by a matrix of observed and hypothetical returns, rather than by intermediate statistics, enabling flexibility across probability distributions and their enhancement with various techniques.  Optimization code is simple and practical.

Bio:
Jarrod Wilcox is President of Wealthmate, Inc.  After a career in teaching, management consulting, institutional investing, and high net worth investment advice, he is now developing software to make financial decision-making more productive.  His books include Investing by the Numbers, and as coauthor, Financial Advice and Investment Decisions, A Manifesto for Change.  Jarrod is also known for gambler’s ruin bankruptcy prediction, the PB-ROE stock valuation model, and the discretionary wealth approach for linking financial planning to investing.
Time: 7:00 PM sharpe
Register is required. Register in advance for this meeting here:

https://us02web.zoom.us/meeting/register/tZYtcOCupjwjEtFtMONrJy0MftHI3L33xDdA
After registering, you will receive a confirmation email containing information about joining the meeting.

This event will be steamed on Zoom and recorded and made available on YouTube.  By registering you consent to this.

Steerage Committee:
Hugh Crowther
Dan diBartolomeo
Mike Dunn
Steve Gaudette
Sri Krishnamurthy
Mark Kritzman
John Minahan
Donna Cool Murphy
Larry Pohlman
Dan Potter
Dan Rie
Evan Schulman
Michael Schwartzman
Michael Wilcox

The members of the Steerage Committee are responsible for coordinating the program content.

Program suggestions from members are always welcome.

Details

Date:
July 21
Time:
7:00 pm - 8:00 pm
Cost:
Free

Organizer

Hugh
Email:
hugh@QWAFAFEW.org

Venue

ZOOM & YouTube