Seminar series
Date
Thu, 21 Feb 2013
Time
13:00 -
14:00
Location
DH 1st floor SR
Speaker
Raphael Hauser
Organisation
Mathematics (Oxford)
We consider the problem of optimizing a portfolio of medium to low frequency
quant strategies under heavy tailed distributions. Approaching this problem by modelling
returns through mixture distributions, we derive robust and relative robust methodologies
and discuss conic optimization approaches to solving these models.