The efficacy of higher moments in portfolio optimization

December 13, 2013

On Monday I gave a talk at the London Quant Group entitled “Exploring the efficacy of higher moments in portfolio optimisation”.  A substantial number of people showed up, and they taught me quite a lot about the subject.  So it seems to have been successful.

There are now annotated slides available.

The slides point towards one source of artistic inspiration: “Four moments of portfolios” but fails to point to the other: “Portfolio tests of predicted returns”.

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