Events

Kellie Ottoboni, UC Berkeley: "Simple Random Sampling: Not So Simple"

The theory of inference from simple random samples (SRSs) is fundamental in statistics; many statistical techniques and formulae assume that the data are an SRS. True random samples are rare; in practice, people tend to draw samples by using pseudo-random number generators (PRNGs) and algorithms that map a set of pseudo-random numbers into a subset of the population. Most statisticians take for granted that the software they use "does the right thing," producing samples that can be treated as if they are SRSs. In fact, the PRNG and the algorithm for drawing samples matter enormously. We...

Arnav Sheth, Saint Mary's College of California: Leveraging Herd Behavior in Foreign Exchange Markets

We examine the relationship between equity and foreign exchange markets at, and around, the WM/Reuters benchmark exchange rate known as the the `Fix'. Execution at the Fix is a service offered by brokers (normally banks) provided they obtain the trade order until a certain time prior to 4pm GMT (11 amEastern Time). This benchmark is used to value derivative contracts, measure portfolio tracking error for foreign benchmark equity indexes, and provide a reference exchange rate for purchasing foreign stocks. Given the importance of the Fix in...

Markus Pelger, Stanford University: Estimating Latent Asset-Pricing Factors

We develop an estimator for latent factors in a large-dimensional panel of financial data that can explain expected excess returns. Statistical factor analysis based on Principal Component Analysis (PCA) has problems identifying factors with a small variance that are important for asset pricing. Our estimator searches for factors with a high Sharpe-ratio that can explain both the expected return and covariance structure. We derive the statistical properties of the new estimator and show that our estimator can find asset-pricing factors, which cannot be detected with PCA, even if a large...

Berkeley–Columbia Meeting in Engineering and Statistics 

The Berkeley-Columbia Meeting provides an interdisciplinary forum for research in Engineering, Finance, Mathematics and Statistics. CDAR’s Co-Directors, Robert Anderson and Lisa Goldberg, gave talks on PCA with Model Misspecification and Identifying Financial Risk Factors with a Low-Rank Sparse Decomposition, respectively. The inaugural session of the conference was hosted by UC Berkeley.

Start date: 2016-03-24 08:00:00 End date: 2016-03-25 17:00:00 Organizer website: Organizer website:...

2016 Joint Mathematics Meetings (JMM)

Lisa Goldberg participated in the panel discussion: Mathematical careers beyond academia, organized by the AMS Committee on Science Policy, during the Friday proceedings at the Washington State Convention Center.

Start date: 2016-01-06 08:00:00 End date: 2016-01-09 17:00:00 Organizer website: http://jointmathematicsmeetings.org/meetings/national/jmm2016/2181_progr...

Lisa Goldberg: Optimizing Value (Forthcoming in the Journal of Portfolio Management), Northfield’s 28th Annual Research Conference

Since Graham and Dodd (1934), top finance professionals have argued that value investing— the orderly pursuit of underpriced securities—delivers a premium by outperforming the market over time. Today, value strategies are popular with equity investors. However, there is no single way to construct a value strategy, and the magnitude of the value premium depends on the value metric used, the implementation, and the investment period. In this study, we investigate how the choice of accounting metric and implementation affect the performance of a value strategy. Our study generated several...

KOSDAQ 20th Anniversary Forum

Kyong Shik Eom, CDAR Affiliated Researcher, to be the single keynote speaker for the KOSDAQ 20th Anniversary Forum November 22, 2016 at the Korea Exchange (KRX) (link to KRX and Korea Capital Market Institute) The KRX and the Korea Capital Market Institute (KCMI) co-sponsor this forum. After his speech, 10 panelists will discuss how to strengthen the KOSDAQ's functioning for the future.

Start date: 2016-11-22 08:00:00...

Bob Anderson: Determinants of Levered Portfolio Performance, Pension Investment Association of Canada (PIAC)

Many Canadian pension funds use leverage to reduce the risk inherent in the asset-liability imbalance, to employ risk parity strategies, or to enhance asset returns, often tactically changing the amount of applied leverage. A recent article co-written by Robert Anderson documents the sources of levered portfolio performance including the impact of trading costs and covariance with excess return on the underlying assets.

Start date: 2015-09-30 08:00:00 End date: 2015-10-02 17:00:00

2016 INFORMS Annual Meeting

Alex Papanicolaou, CDAR Postdoctoral Researcher, gave a talk at the 2016 INFORMS Annual Meeting at the Music City Center & Omni Nashville HotelThe INFORMS 2016 featured plenaries and keynotes; panel discussions; tutorials; and thousands of oral and poster presentations from leading academics, industry experts, students, and representatives of government agencies. Alex presented on Machine Learning in Finance.

Start date: 2016-11-13 08:00:00 End date: 2016-11-16 17:00:00 Organizer website: Organizer website:...

The Center for Responsible Business @ Haas School of Business: Corporate Sustainability and Materiality: Strategy, Practice, and Implementation

How do companies and investment funds implement corporate sustainability in a strategic and material way? This Center for Responsible Business Peterson Speaker Series will dive into case studies and learnings from academia, a company, and an investment fund. Register here. Speakers: Divya Mankikar, Head of ESG Integration, Investment Officer III, CalPERS George Serafeim, Jakurski Family Associate Professor, Harvard Business School; Senior Partner...