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Next Boston QWAFAFEW Meeting:  Tuesday, 15 May 2018

May 15, 2018 @ 6:00 pm - 8:00 pm

| $30
 

Next Boston QWAFAFEW Meeting: 
Tuesday, 15 May 2018Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to hugh@QWAFAFEW.org

Mailing List and Payment Link: https://boston.qwafafew.org/

Standards, Ethics, and Estimation Error in Portfolio Optimality

A QWAFAFEW discussion led by: 

Richard Michaud, PhD

Abstract

Ever since Michaud (1989), estimation error has been understood as the reason for ambiguity and instability in Markowitz mean-variance (MV) portfolio optimization.  Jobson and Korkie (1981) have shown that MV optimization can be far worse than equal weighting.  Managers typically doubt the optimality of computed optimized portfolios and use various ad hoc methods for altering inputs and constraining solutions to engineer “acceptable” portfolios for clients and investment policy committees.  The problem is not Markowitz theory or the inputs but the endemic instability of the MV optimizer with estimated risk-return inputs.  Monte Carlo methods demonstrate the high uncertainty of MV optimized portfolios in practice.  The Michaud MV optimizer (Michaud 1998, Michaud and Michaud 2008), tested by Markowitz and Usmen (2003), confirm simulated out-of-sample enhanced investment value.  The procedure has been successfully used to manage strategic multi-asset global ETF portfolios for over thirteen years.   

Bio
Dr. Richard Michaud is the President of New Frontier. His research and consulting has focused on asset allocation, investment strategies, global investment management, optimization, stock valuation, and trading costs. He earned a PhD in Mathematics from Boston University and has taught investment management at Columbia University. He is the author of Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation (Harvard University Press, 1998 and Oxford University Press, 2008) and many refereed academic and professional articles. He is the co-holder of four U.S. patents in portfolio optimization and asset management. He is a Graham and Dodd Scroll winner for his work on optimization, a former editorial board member of the Financial Analysts Journal and a member of the editorial board of the Journal of Investment Management.

Please RSVP hugh@QWAFAFEW.org
Mailing List and Payment Link: https://boston.qwafafew.org/

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:
153GtwqHHxdHaTh8i1SC1UmZUuFpXN6wye
Please send a separate email identifying your anonymous payment.

By check:
Executive Management Associates
12 Academy Avenue
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).  The $30 guest fee can be paid by bitcoin, cash or check at the door, no credit cards at the meeting. Please bring exact change (eg: two twenties = $40 Guest Fee).

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

Questions, comments:

 

Steerage Committee
Hugh Crowther
Dan diBartolomeo
Mike Dunn
Steve Gaudette
Sri Krishnamurthy
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

Mailing List and Payment Link: https://boston.qwafafew.org/

 

 

 

 

 

Find Out More

Details

Date:
May 15, 2018
Time:
6:00 pm - 8:00 pm
Cost:
$30

Organizer

Hugh
Email:
hugh@QWAFAFEW.org

Venue

Tennis & Racquet Club
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
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