Nov 03, 2017
CDAR Co-Director Lisa Goldberg presented research on "Effective sample bias correction for minimum variance portfolios" at the 2017 Swissquote Conference on FinTech. Read more here.
Oct 16, 2017
The third annual CDAR Symposium, presented in partnership with State Street, will convene on October 27, 2017 from 8:45am to 5:30pm at UC Berkeley’s Memorial Stadium.
Our conference series explores innovation in data science, highlighting applications to risk management. This year’s topics are Impact Investing and Fintech, and confirmed speakers include Kay Giesecke, Adair Morse, Alex Papanicolaou, Alex Shkolnik, Philip Stark, and Kewei Tang.
Sep 13, 2017
Dr. Kyong Shik Eom will give a series of lectures at The Graduate School of Business at Korea University (October 10th), the Korea Exchange (October 11th), and the Korea Securities Association (October 13th). The title of lectures is “Changes in the Regulatory and Technological Environments for Capital Markets in the U.S. and Europe: Lessons for Korea.” His book, with the same title in Korean, will be published in early December, 2017 by the Korea Exchange.
Aug 24, 2017
The Consortium for Data Analytics in Risk (CDAR) is delighted to announce a new founding member: the Southwestern University of Finance and Economics (SWUFE) based in Chengdu, Sichuan, China. SWUFE joins a growing network of faculty and researchers from UC Berkeley, Stanford, State Street, and financial management firms and technology development companies large and small.
SWUFE’s membership in CDAR will involve collaborative research projects applying data analytics methodologies to questions and problems in finance today, and student and faculty exchanges between our two institutions. We welcome SWUFE to CDAR, and look forward to a long-lasting, productive relationship.
Jun 02, 2017
Do Steph Curry and Klay Thompson have Hot Hands? Alon Daks, Nishant Desai, and CDAR co-director Lisa Goldberg analyze the hot handedness of the Warriors. From the paper: "Relying on the original hot hand study for inspiration, applying Miller and Sanjurjo’s insightful small sample correction, and availing ourselves of the easy-to-use tools of modern data science, we analyzed the shooting records of Splash Brothers Steph Curry and Klay Thompson". Visit the link above to see the current state of the research.
Jun 01, 2017
Controlling Shareholders’ Value, Long-Run Firm Value and Short-Term Performance (link to paper) Hyung Cheol Kang, CDAR Co-director Robert M. Anderson, CRMR Affiliated Researcher Kyong Shik Eom, and Sang Koo Kang propose a new determinant of firm value within a business group. Read more about our work in ESG-Related Investing.
May 30, 2017
The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk (link to pdf) CDAR Co-Director Lisa Goldberg and co-authors Stephen W. Bianchi and Allan C. Rosenberg measure the impact of estimation error on latent factor model forecasts of portfolio risk and factor exposures. The paper was published in Special Issue 2017 (Vol 43, No. 5) of the Journal of Portfolio Management. Read more about our work in Equity Investment Strategy.
May 30, 2017
The Implied Futures Financing Rate (link to paper) CDAR co-directors Robert M. Anderson and Lisa R. Goldberg and coauthor Nicholas L. Gunther explore the cost of implicit leverage associated with an S&P 500 Index futures contract and derive an implied financing rate. Read more about our research in the Futures-Implied Rate.
Feb 21, 2017
Drawdown: From Practice to Theory and Back Again (link to pdf). CDAR Co-Director Lisa Goldberg and co-author Ola Mahmoud, a postdoctoral fellow and lecturer at the University of St Gallen and Affiliated Researcher at UC Berkeley’s Center for Risk Management Research, have developed a mathematically and economically sound path dependent risk measure capturing drawdown: Conditional Expected Drawdown (CED). The paper will appear in Mathematics and Financial Economics. Read more about our work in Drawdown Risk.
Oct 22, 2016
Is it Mathematics or is it Software? (link to full pdf article) In Notices of the American Mathematical Society, CDAR Co-Director Lisa Goldberg explores the concepts and issues surrounding