Events

Alexander Shkolnik, CRMR Postdoctoral Scholar, to give contributed session at the International Conference on Monte Carlo Methods and Applications

Alexander Shkolnik, CRMR Postdoctoral Scholar, to give contributed session at the MCM 2017 International Conference on Monte Carlo Methods and Applications Session title: Compactness Approaches for Importance Sampling From the conference website: "Nine invited plenary speakers will give one-hour talks, with discussion. All other talks will last 30 minutes including questions and discussion. They will be split into sessions of 3 or 4 talks. Some special...

Co-Director Lisa Goldberg presented at NYU Tandon School of Engineering

The talk was titled "Identifying Financial Risk Factor with Sparse and Low-Rank Decompositions".

Start date: 2017-04-24 18:00:00 End date: 2017-04-24 19:00:00 Venue: Tandon School of Engineering Address: 6 Metrotech Center, New York, NY

Dr. Kyong Shik Eom at the Korea Exchange (KRX) in Busan, South Korea

Sponsored by the KRX Division of Derivatives Market, Dr. Kyong Shik Eom will lecture on the Changes in the U.S. and E.U. Capital Markets Environments and Recommendations for Korea. This year, the KOSPI 200 index options and futures markets have been dominated and possibly abused by foreign investors’ high-frequency trading (HFT). The KRX is very concerned about the possibility of unfair losses to individual domestic investors resulting from these foreign investors’ HFT. For this reason, the KRX is keenly interested in a speed bump like the one that the IEX adopted, as well as a deep...

Financial and Insurance Mathematics Seminar by ETH Zürich

CDAR Co-Director Lisa R. Goldberg to present a seminar titled "Identifying Financial Risk Factor with Sparse and Low-Rank Decompositions" (link to page). Abstract: We show how to use sparse and low-rank (SLR) matrix decompositions based on convex optimization to extract financial risk factors from a sample return covariance matrix. We provide an example that highlights the difference between this approach and the academic standard for financial factor identification, principal...

SF ESG Forum

The SF ESG Forum will be on Thursday March 9, 4:30-6:45pm, including networking at the end. The event is co-sponsored by: The Saint Mary’s College of California Elfenworks Center for Responsible Business, the U.C. Berkeley Haas School Center for Responsible Business and the U.C. Berkeley Consortium for Data Analytics in Risk (CDAR). Robert Eccles and Dan Hanson will kick off a discussion on "Impact Investing" and "What’s New--Measurement and Metrics":

Impact Investing/SI/ESG/RI/SRI: Definitional views and what they do (or perhaps don’t) mean Implementation and...

BSTARS Conference 2017

The Berkeley Statistics Annual Research Symposium (BSTARS) surveys the latest research developments in the department, with an emphasis on possible applications to statistical problems encountered in industry. The conference consists of keynote lectures, talks by PhD students about their thesis work, and presentations of industrial research by alliance members. Jasjeet S. Sekhon, the Robson Professor of Political Science and Statistics and Senior Fellow at the Berkeley Institute for Data Science, will deliver the keynote on Casual Inference in the...

Investment Symposium by Society of Actuaries

Session on Big Data by Robert Anderson and Gautham Sastri (link to website) There's no question that Big Data is the new engine driving innovation in the insurance industry. This includes improved customer service to reduced incidence of fraud, target marketing and more efficient pricing. But What about the investment space? Can the boundless reservoir of information help insurance investment professionals find alpha, generate extra yield or...

2017 Elfenworks Center for Responsible Business Conference

Harnessing the Power of Big Data for Social Good (link to website) The conference will present a dialogue on what Big Data means for businesses and non-profit organizations, the successes and challenges of collecting Big Data, how they are currently used or misused (or can be) by both for-profits and non-profits and identify promising areas for management research and education in Big Data. The conference will have two panels followed by a...

AI in Fintech Forum

Please register at: https://icme.stanford.edu/events/ai-fintech-forum Once registered you will receive an email with further details. This event is free of charge. The inaugural Artificial Intelligence in Fintech Forum at Stanford School of Engineering is sponsored by the Stanford Center for Financial and Risk Analytics, Stanford Institute for Computational & Mathematical Engineering (ICME), Stanford Management Science and Engineering, and White & Case. This event is organized...

Lisa Goldberg, Pete Hand and Alan Cummings, UC Berkeley & Aperio Group: The Tax-Loss Harvesting Life Cycle

The Tax-Loss Harvesting Life Cycle A 43-Year Retrospective of Equity Indexing Strategies for Taxable Investors Tax-loss harvesting aims to realize losses on individual stocks in conjunction with an investment objective such as index tracking. In this talk, we give a historical appraisal of the value of tax-loss harvesting to taxable investors with realized gains in their portfolios. Our study provides insight into the lifecycle of a tax-loss harvesting strategy, which has its youth, midlife, and golden years....