Events

SEM217: Alex Papanicolaou, UC Berkeley: Minimum Conditional Expected Drawdown Portfolios

Tuesday, April 11th @ 11:00-1:00 PM (639 Evans Hall)

Minimum Conditional Expected Drawdown Portfolios

Alex Papanicolaou, UC Berkeley

Drawdown, and in particular maximum drawdown, is a widely used indicator of risk in the fund management industry. It is a vital metric for a levered investor who can get caught in a liquidity trap and forced to sell valuable positions if unable to secure funding after an abrupt market decline. Moreover, it is a pathwise risk measure in contrast to end-...

SEM217: Farzad Pourbabaee, UC Berkeley: Large Deviations of Factor Models with Regularly-Varying Tails: Asymptotics and Efficient Estimation

Tuesday, April 4th @ 11:00-12:30 PM (639 Evans Hall)

Large Deviations of Factor Models with Regularly-Varying Tails: Asymptotics and Efficient Estimation

Farzad Pourbabaee, UC Berkeley

Abstract: I analyze the large deviation probability of factor models generated from components with regularly-varying tails, a large subclass of heavy tailed distributions. An efficient sampling method for tail probability estimation of this class is introduced and shown to exponentially outperform the...

SEM217: James Lewis, State Street Global Advisors: Systematic Long/Short Factor Portfolios

Tuesday, April 18th @ 11:00-12:30 PM (639 Evans Hall)

Systematic Long/Short Factor Portfolios

James Lewis, State Street Global Advisors

We consider a panel of 88 "systematic factors": simple, quantitative procedures that assign scores to a universe of assets using publicly available data. For each factor, we construct idealized daily factor portfolios (long/short, market-neutral) and daily return series for the 16-year period between January 2001 and December 2016. Each of the factor...

SEM217: Lisa Goldberg, Pete Hand and Alan Cummings, UC Berkeley & Aperio Group: The Tax-Loss Harvesting Life Cycle

Tuesday, January 17th @ 11:00-1:00 PM (639 Evans Hall)

The Tax-Loss Harvesting Life Cycle

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...

SEM217: Lionel Martellini (EDHEC-Risk Institute), Mass Customisation versus Mass Production in Retirement Investment Management: Addressing a “Tough Engineering Problem”

Tuesday, July 25th @ 11:00-12:30 PM (1011 Evans Hall)

Addressing a “Tough Engineering Problem”

Lionel Martellini (EDHEC-Risk Institute), Mass Customisation versus Mass Production in Retirement Investment Management

The seminar will be held at 1011 Evans Hall, UC Berkeley. Abstract: Triggered by the introduction of ever stricter accounting and prudential pension fund regulations, a massive shift from defined-benefit to defined-contribution pension schemes is taking place across the...

Special Event: Lisa Goldberg, John Arabadjis, and Jeff Bohn to speak at Stanford's AI in Fintech Forum

Tuesday, February 8th @ 8:30-5:30 PM (Arrillaga Alumni Center, Mccaw Hall)

Lisa Goldberg, John Arabadjis, and Jeff Bohn to speak at Stanford's AI in Fintech Forum

Read the agenda here.

SEM217: Matthias Weber, Swiss Re: Concrete examples of trend analyses and forward-looking modeling in Swiss Re's underwriting

Tuesday, January 18th @12:30-2:00 PM (1011 Evans Hall)

Concrete examples of trend analyses and forward-looking modeling in Swiss Re's underwriting

Matthias Weber, Swiss Re

Abstract:

In insurance, underwriting performance is a function of exposures, losses relative to exposures and premiums relative to exposures. Getting losses and loss trends right (--> cost of goods sold) is critically important. A small estimation mistake typically has a large impact on the bottom line. Swiss...

SEM217: Mariana Olvera-Cravioto, UC Berkeley: PageRank on directed complex networks

Tuesday, January 25th @ 12:30-2:00 PM (1011 Evans Hall)

PageRank on directed complex networks

Mariana Olvera-Cravioto, UC Berkeley

Abstract: The talk will center around a set of recent results on the analysis of Google’s PageRank algorithm on directed complex networks. In particular, it will focus on the so-called power-law hypothesis, which states that the distribution of the ranks produced by PageRank on a scale-free graph (whose in-degree distribution follows a power-law) also...

SEM217: Markus Pelger, Stanford: Interpretable proximate factors for large dimensions

Tuesday, February 1st @ 12:30-2:00 PM (1011 Evans Hall)

Interpretable proximate factors for large dimensions

Markus Pelger, Stanford

This papers deals with the approximation of latent statistical factors with sparse and easy-to-interpret proximate factors. Latent factors in a large-dimensional factor model can be estimated by principal component analysis, but are usually hard to interpret. By shrinking the factor weights, we obtain proximate factors that are easier to interpret. We...

SEM217: Jose Menchero, Bloomberg: Solving the "Curse of Dimensionality" Problem in Multi-Asset-Class Risk Models

Tuesday, February 22nd @ 12:30-2:00 PM (1011 Evans Hall)

Solving the "Curse of Dimensionality" Problem in Multi-Asset-Class Risk Models

Jose Menchero, Bloomberg

Estimating a robust risk model risk for a portfolio that spans multiple asset classes is a challenging task due to the “curse of dimensionality” (i.e., the problem of estimating too many relationships from too few observations). While the sample covariance matrix is easily computed, it is susceptible to capturing spurious...