The asset pricing in a granular economy. A few firms are exceedingly large. Results: reduced diversification across stocks and heightened aggregate risk.
The LQG 2024 Autumn Seminar – 11 great speakers and topics – in its 38th year.
3D optimization – Optimizing Risk, Return and Sustainability (or something else important). Superior to 2D approach with constraints.
Evaluating and comparing risk model performance for risk forecasting, portfolio construction and return attribution – a comparison framework.
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!
The significant benefits of using Multi Asset Class Factor Premia for overlay strategies over an investor’s lifecycle
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 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