2011 March 08, 8:00 AM, London

EDHEC Risk Institute presents:

Raman Uppal

How to (or how not to) manage money

New approaches for portfolio construction.

Admission is free, but registration (soon) is required. More details in the brochure (pdf)

2011 March 08 6PM, London

The LondonR meeting.

Details at http://www.londonr.org/

2011 March 09 6:30, New York, Midtown

The Thalesians present:

Peter Decrem

Interest Rate and Credit Modeling on GPUs

This talk will discuss the application of Monte Carlo methods to a GPU implementation of the LIBOR Market/BGM Model.  In the process we will discuss random number generation and inverse normal distribution functions designed for execution on the GPU.  We will demonstrate how some level of abstraction can be implemented to obtain hardware agnostic code.  We will also briefly discuss the limitations of the GPU for the BGM model and point at opportunities for the use of GPUs in the credit analytics space. Resources, including open source code focused on BGM implementation in CUDA, will be identified and used for illustration purposes to help jumpstart the GPU development work.

More details at the Thalesians.

2011 March 14 6:00 PM, London

The London Quant Group presents:

Bernd Scherer

Optimal Asset Allocation for Sovereign Wealth Funds

Given recent interest in the activities of sovereign wealth funds (SWF) this paper will review the financial economics of portfolio choice for oil based investors. We view the optimal asset allocation problem of a sovereign wealth fund as the decision making problem of an investor with non tradable endowed wealth (oil reserves). Optimal portfolios combine speculative demand (optimal growth) as well as hedging demand (hedging resource fluctuation risk) and their level of risk taking should depend both on the fraction of financial wealth to resource wealth as well as the oil shock hedging properties of its investments. As a novelty in the theoretical literature we introduce background risk for a SWF in the form of oil reserve uncertainty. SWF with large uncertainty about the size of their reserves should invest less aggressively and vice versa. We also identify the optimal speed of the extraction policy (oil to equity transformation) as driving force for portfolio adjustments across time and present a dynamic programming approach to approximate portfolio adjustments.

The cost is £40 for non-members.  To book a place email to liisa@burgundyblueevents.com

2011 March 16 5:30 PM, New York, Midtown

QWAFAFEW presents:

Ruben Falk

Leveraging Minimum Variance to Enhance Portfolio Returns

Analysis shows that the performance of certain minimum variance portfolios can provide an after-transaction-costs annual return as much as twice that of the S&P 500 with half the realized volatility. Leveraging our proprietary US Fundamental Risk Model and Alphaworks factor library, we demonstrate how the minimum variance portfolio can be used in combination with tilts to other factors. We discuss the difficultly in beating the minimum variance portfolio, and how style tilts can be implemented to achieve a similar level of return with lower turnover, but higher realized risk. By extension, our research suggests that for many active strategies the inclusion of the minimum variance objective, while maintaining strong tilts to the original strategy is likely to enhance manager performance.

Yin Luo

The Puzzling Relationship between Risk and Return — Defensive and Offensive strategies

Minimum volatility portfolios are not new. Although they have some intriguing properties, low risk is not necessarily one of them. This presentation explores this puzzling relationship and examines some defensive and offensive applications of the construct.

Details at QWAFAFEW.

2011 March 23 5:45 PM, London

Ultra Low Latency

Exchange consolidation. Co-location issues. Rate of connectivity and the search for ever lower latency. This environment the trader finds himself in, with the need for speed driving the latest innovations, and the government engaged in push-back, is challenging and one ripe for discussion. The application of algorithms in the high frequency space has been addressed in the equity market but what’s the next area of growth? What developments are occurring in FX, Options, Futures, Commodities and the other asset classes?

Details at the Mankoff Company.

2011 April 12-13, London

Finance with R Workshop

Details at OptiRisk Systems.

2011 April 29-30, Chicago

R/Finance 2011: Applied finance with R

Keynote speakers:

• John Bollinger
• Mebane Faber
• Stefano Iacus
• Louis Kates

http://www.rinfinance.com/

2011 May 16-17, London

London Quant Group Spring Seminar

Details will undoubtedly appear on http://www.lqg.org.uk/

2011 May 25-27, Marseille

Forecasting Financial Markets

Details at http://www.ffm-conference.com/

2011 August 16-18, Coventry England

UseR! 2011

Invited speakers:

• Adrian Bowman
• Lee Edlefsen
• Ulrike Gromping
• Wolfgang Huber
• Brian Ripley
• Jonathan Rougier
• Simon Urbanek
• Brandon Whitcher

Details at http://www.warwick.ac.uk/statsdept/useR-2011/