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X-WR-CALNAME:Computational Optimisation Group
X-ORIGINAL-URL:http://optimisation.doc.ic.ac.uk
X-WR-CALDESC:Events for Computational Optimisation Group
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DTSTART:20120101T000000
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DTSTART;TZID=UTC:20130411T140000
DTEND;TZID=UTC:20130411T140000
DTSTAMP:20260430T164049
CREATED:20170124T102143Z
LAST-MODIFIED:20170124T102143Z
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SUMMARY:Seminar: Practical Portfolio Optimization
DESCRIPTION:Title: Practical Portfolio OptimizationSpeaker: Prof. Victor DeMiguelAffiliation: London Business SchoolLocation: CPSE seminar room (C615 Roderic Hill)Time: 2:00pm \nAbstract. The Nobel laureate Harry Markowitz showed that an investor who cares only about the mean and variance of portfolio returns should hold a portfolio on the efficient frontier. To implement these portfolios in practice\, one needs to estimate the means and covariances of asset returns. Traditionally\, the sample means and covariances have been used for this purpose. But due to estimation error\, the portfolios that rely on the sample estimates typically perform poorly out of sample. In this talk\, we will first illustrate the difficulties inherent in estimating mean-variance portfolios\, and then we will discuss several approaches that can be used to overcome these difficulties in practice. \nAbout the speaker. Victor DeMiguel is Professor of Management Science and Operations at London Business School. He holds a PhD in Management Science and Engineering from Stanford University\, and an MS in Industrial Engineering from Universidad Politecnica de Madrid. Victor's research  focuses on the design\, analysis\, and application of optimization models for managerial decision making. Applications include financial portfolio selection and competition modelling. His papers have been published in journals such as Management Science\, Operations Research\, and Mathematics of Operations Research. One of his most popular papers is “Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy”\, which received the Best Paper Award from the Institute for Quantitative Investment Research and was published in The Review of Financial Studies. Victor teaches the MBA courses Decision and Risk Analysis and Financial Modelling with Spreadsheets\, and the Strategic Decision Making module for Executive Education. He is the recipient of the Junior Faculty Teaching Award and the Outstanding Core Course Teaching Award at London Business School. More information about Victor DeMiguel can be found here:
URL:http://optimisation.doc.ic.ac.uk/event/seminar-practical-portfolio-optimization/
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DTSTART;TZID=UTC:20130417T170000
DTEND;TZID=UTC:20130417T170000
DTSTAMP:20260430T164049
CREATED:20170124T102143Z
LAST-MODIFIED:20170124T102143Z
UID:585-1366218000-1366218000@optimisation.doc.ic.ac.uk
SUMMARY:Seminar: On the Relation between Forecast Precision and Trading Profitability of Financial Analysts
DESCRIPTION:Title: On the Relation between Forecast Precision and Trading Profitability of Financial AnalystsSpeaker: Prof. Alex WeissensteinerAffiliation: DTU Management EngineeringLocation: Room 217 Huxley BuildingTime: 5:00pm \nAbstract. We analyze the relation between earning forecast accuracy and expected profitability of financial analysts. Modeling forecast errors with a multivariate Gaussian distribution\, a complete characterization of the payoff of each analyst is provided. In particular\, closed-form expressions for the probability density function\, for the expectation\, and\, more generally\, for moments of all orders are obtained. Our analysis shows that the relationship between forecast precision and trading profitability need not to be monotonic\, and that\, for any analyst\, the impact on his expected payoff of the correlation between his forecasts and those of the other market participants depends on the accuracy of his signals. Furthermore\, our model accommodates a unique full-communication equilibrium in the sense of Radner (1979). \nAbout the speaker. Alex finished his PhD in 2003 and received his “Habilitation” from the Leopold-Franzens University Innsbruck (Austria) in 2010\, where he worked as Assistant Professor. From 2010-2013 he worked atthe Free University of Bozen-Bolzano(Italy)\, School of Economics and Management.Hisfields of research are in the intersection of finance\, optimization and mathematical modeling. Themain topics covered by his scientific publications are: asset allocation\, asset-liability management\, stochastic (linear-) programming(SLP)\, and neural networks. Since February 2013 he is working as Professor for Financial Engineering at the Technical University of Denmark (DTU).
URL:http://optimisation.doc.ic.ac.uk/event/seminar-on-the-relation-between-forecast-precision-and-trading-profitability-of-financial-analysts/
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