The asset pricing in a granular economy. A few firms are exceedingly large. Results: reduced diversification across stocks and heightened aggregate risk.
The LQG will debate the motion: This house believes that: “This time is different”. AI and other technologies will boost global growth and justify current asset prices.
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.
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!
Explore the types and sources of inflation and then explore the various impacts on assets’ prices. That knowledge can help guide both strategic and tactical asset allocations for both return and risk improvements.
The significant benefits of using Multi Asset Class Factor Premia for overlay strategies over an investor’s lifecycle
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.
The motion: This house believes that AI is better, stronger, faster at picking stocks for investment.
Will be proposed by Ed Fishwick Managing Director at BlackRock and opposed by Desi Ivanova PhD student at the Department of Statistics at the University of Oxford
The the 12/11/21 one day / all day LQG autumn seminar – 6 talks delivered by 9 brilliant speakers generously hosted by Goldman Sachs
Highlight the utility of deep reinforcement learning in finance and invent “economic distillation” tools for interpreting AI and big data models
Dr. Arik Ben Dor discusses a replicable, successful, enhanced equity momentum strategy built using insights extracted from corporate bond prices.
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.
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