The asset pricing in a granular economy. A few firms are exceedingly large. Results: reduced diversification across stocks and heightened aggregate risk.
3D optimization – Optimizing Risk, Return and Sustainability (or something else important). Superior to 2D approach with constraints.
In a setting of defaultable sovereign bonds, the forward bias can be negatively linked to sovereign credit risk…and more.
Stress tests: Are results credible? Are the tests useful or just a tick-box exercise? What is needed for credibility and usefulness?
Evaluating and comparing risk model performance for risk forecasting, portfolio construction and return attribution – a comparison framework.
Lisa Goldberg : James–Stein for the leading eigenvector and how to make each portfolio construction optimisation unique with less error. Lisa’s research identifies and mitigates bias in the leading eigenvector of a sample factor-based covariance matrix estimated in the high-dimension low sample size (HL) regime. …and more!
Simon Polbennikov introduces an approach to measuring the effect of ESG investing in Credit – with cool results! This time it’s different!
Markus Gesmann & Quentin Moore will discuss Insurance as an asset class – What could possibly go wrong?
There is much more to insurance than you thought!
Gold is a controversial investment. Pim studies the safe haven hypothesis and analyses a strategic allocation to gold, low-volatility stocks, and bonds for a loss-averse investor with a one-year evaluation horizon.
Ben introduces Causal AI techniques with examples and then discusses applications and the assumptions, limitations and weaknesses to separate success potential from possible or probable pitfalls.
Dr. Scherer offers cross-sectional insights into Robo-advisory portfolio structures.
Blockchain, the Essence of Bitcoin and a Mathematical Introduction to Bitcoin – the machines, maths and people that make it work.
LQG July 2022 seminar delivered in person by Andrew Ang of BlackRock – Asset Allocation with Crypto: Application of Preferences for Positive Skewness – Beware there be dragons!
This paper models weights and parameters as uncertain. Evaluating a portfolio across the range of possibility measures risks better and surfaces latent fragility. Contributions to risk are reported with a center and spread.
LQG 08/02/22 – On-Line – “Enhanced income and costless protection” : Good options, poor choices and the hidden costs of a supposedly free lunch – David Buckle. This seminar aims to stimulate thought and discussion as the analysis’ conclusions are likely to be counter intuitive to some and controversial to others.
Highlight the utility of deep reinforcement learning in finance and invent “economic distillation” tools for interpreting AI and big data models
The impact of listed options market makers delta hedging on the dynamics of intraday asset prices. 14th September 2021 20210914
Dr. Arik Ben Dor discusses a replicable, successful, enhanced equity momentum strategy built using insights extracted from corporate bond prices.
An analysis of the puzzling behaviour of US mutual funds that appear not to take advantage of the short selling opportunities open to them and the implications for the funds and investors.
9th March 2021 Systematic Investing In Credit an LQG seminar Simon Polbennikov, Arik Ben Dor and Albert Desclée
LQG SeminarsENCORE - Engaging New Controversial Original Rigorous EntertainingI guess we're not in Kansas anymore! The return of the age of financial repression Seminar by Russell Napier 26th January 2021 - On-Line In the first LQG seminar of 2021 Russell Napier...
Practical ex-ante fund factor analysis – methodology applied to a simple strategy (FX Carry) and will include snippets of the python code.
In this seminar Professor Ball will discuss accounting and asset prices. Earnings and returns might seem like completely different concepts, but they are closely related economic variables — much more so than commonly appreciated. … Earnings, cash flows and book values have components that are economically different.
20201013 – On-Line – LQG Evening Seminar – Alpha from esoteric markets – Chris Longworth – Extracting alpha from esoteric markets – navigating different and challenging markets. Asset selection and portfolio diversification
Seminar by David Jessop of Columbia Threadneedle Investments on the need for and value of human input to the development and management of complex computer based models, especially those used in finance, and the need to understand and interpret their output.
How Causal AI can prevent ovrefitting – seminar by Darko Matovski CEO of causaLens
ETF flows, mispricing and stock price dynamics by Giuliano De Rossi of Goldman Sachs – ETF flows affect t+1 intraday stock trading volume and volatility with cross-impact implications.
ESG in Factors by Katharina Schwaiger
LQG seminar on 05/05/20 at 18:30 by Vitali Kalesnik of Research Affiliates. Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing
202005 – 4 on-line evening seminars replace the one day spring seminar.
LQG SemianrsEngaging New Controversial Original Rigorous EntertainingForest through the Trees: Building Cross-Sections of Stock Returns, Svetlana Bryzgalova with Markus Pelger and Jason Zhu The LQG is very pleased that Svetlana Bryzgalova, Assistant Professor at the
20200310- LQG Evening-seminar – Scraping the bottom of the cheese barrel: Alpha from esoteric markets – 18:30 generously hosted by BlackRock
LQG SemianrsEngaging New Controversial Original Rigorous EntertainingThe Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed? Otto Van Hemert, Head of Macro Research at Man AHL The LQG is very pleased that Otto Van Hemert, Head of Macro