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”.
