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”.

Latest posts

Leave a Reply

Related posts

  • Market predictions for years 2011 and 2012

    January 2, 2012

    A review of market predictions and results for 2011, and a calibration for 2012 predictions (of 19 equity indices plus oil). Previously One year ago the post "Revised market [...]

  • Three talks from CFE

    December 22, 2011

    The Computational and Financial Econometrics conference was just held in London.  Here are three talks from the large menu. Lars Helge Hass The objective is to find a way [...]

  • Portfolio optimization inside out

    December 21, 2011

    A possible way to search for constraints that improve optimization. The perspective The usual way of thinking about portfolio optimization is to first consider the utility and then restrict [...]