Please join us for the next installment of the Bloomberg Quant Seminar Series.
The seminar takes place every month and covers a wide range of topics in quantitative finance.
In this session, chaired by Bruno Dupire, Marcos Lopez de Prado will present his current research, followed by several “lightning talks” of 5 min each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics.
Register and secure your spot for the next session of the BBQ Seminar Monday, April 25, 2016
|5:00 PM||Check-in,Bloomberg, 731 Lexington Avenue, New York, NY 10022|
|5:30 PM||BUILDING DIVERSIFIED PORTFOLIOS THAT OUTPERFORM OUT-OF-SAMPLE|
Marcos Lopez de Prado, Senior Managing Director, Guggenheim Partners, and Research Fellow, Lawrence Berkeley National Laboratory
We introduce the Hierarchical Risk Parity (HRP) approach. HRP portfolios address three major concerns of quadratic optimizers in general and Markowitz’s CLA in particular: Instability, concentration and underperformance. HRP applies modern mathematics (graph theory and machine learning techniques) to build a diversified portfolio based on the information contained in the covariance matrix. However, unlike quadratic optimizers, HRP does not require the invertibility of the covariance matrix. In fact, HRP can compute a portfolio on an ill-degenerated or even a singular covariance matrix, an impossible feat for quadratic optimizers. Monte Carlo experiments show that HRP delivers lower out-of-sample variance than CLA, even though minimum-variance is CLA’s optimization objective. HRP also produces less risky portfolios out-of-sample compared to traditional risk parity methods.
|6:15 PM||Lightning Talks|
A lightning talk is a very short presentation lasting only 5 minutes. Several ones will be delivered in a single session by different speakers in quick succession.
Bruno Dupire, The Pi Path
Bani Arora, Gold
Aurelien Cassignes, Path Integrals
Ivailo Dimov, Elections
Jan Dash, Carbon Clock
|7:00 PM||Cocktail Reception|
Please ensure you rsvp prior to the event as we will not be accepting walk-ins on-site.
WHEN & WHERE
Monday, April 25, 2016
5:00 PM — 8:00 PM
731 Lexington Avenue
New York, NY - 10022