Dr Lisa Goldberg (Director of Research, Aperio Group)
Thursday 13 June 2019, 18:00-19:00.
This event was live streamed, and the recording is available here.
The seminar will be followed by a reception for all registered participants.
Abstract
Betas have a material effect on weights and risk forecasts of optimised portfolios, but the betas we use in practice incorporate both the state of the market and estimation error. We construct better betas by measuring and mitigating the dispersion bias that arises from estimation error, leading to more accurate minimum variance portfolios. Our framework can be viewed as a formalisation of ad hoc shrinkage methods developed by Blume and Vasicek in the 1970s, and it marks a new direction in the theory of random matrices. The ideas in this presentation were developed in collaboration with Alex Papanicolaou, Alex Shkolnik and Simge Ulucam.
Speaker
Dr Lisa Goldberg is the Director of Research at Aperio Group and co-Director of the Consortium for Data Analytics in Risk and Adjunct Professor of Statistics and Economics at University of California, Berkeley. Lisa's interests include quantitative finance, impact investing, causal inference and sports statistics.
Venue
Citi Stirling Square
5-7 Carlton Gardens, London SW1Y 5AD
Please note we have reached capacity for this event. Please email @email if you would like to be added to the waitlist.