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

  • Some new ideas in financial mathematics

    November 7, 2011

    Financial mathematicians have built an increasingly elaborate structure around the idea of “the market” ...  In this article, I intend to challenge some of these foundational concepts with the [...]

  • Variability of volatility estimates from daily returns

    November 3, 2011

    Investment Performance Guy has a post "Periodicity of risk statistcs (and other measures)" in which it is wondered how valid volatility estimates are from a month of daily returns. [...]

  • Risk parity

    October 31, 2011

    Some thoughts and resources regarding a popular fund management buzzword. The idea Given asset categories (like stocks, bonds and commodities) create a portfolio where each category contributes equally to [...]