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Multi-asset class risk models

March 20, 2017 @ 5:30 pm - 7:30 pm

| $20

https://www.eventbrite.com/e/qwafafew-jose-menchero-on-multi-asset-class-risk-models-tickets-32673960696

Abstract: Solving the “curse of dimensionality” problem in multi-asset class risk models.

Estimating a robust risk model risk for a portfolio that spans multiple asset classes is a challenging task due to the “curse of dimensionality” (i.e., the problem of estimating too many relationships from too few observations). While the sample covariance matrix is easily computed, it is susceptible to capturing spurious relationships that make it unsuitable for portfolio construction purposes. In this talk, we present a new approach for constructing risk models that span multiple asset classes. We also discuss the implications for portfolio risk management and portfolio construction.

Speaker Bio:  Jose Menchero serves as Head of Portfolio Analytics Research at Bloomberg. Jose and his team are responsible for developing the full suite of factor risk models spanning multiple asset classes, as well as portfolio risk and return attribution, portfolio construction, and portfolio optimization.

Prior to joining Bloomberg, Jose was the founder and CEO of Menchero Portfolio Analytics Consulting. Before founding his consulting firm, Jose worked for eight years at MSCI, where he was Managing Director responsible for developing the Barra equity risk models, and for portfolio construction research. Jose also served for seven years as Director of Research at Thomson Financial, where he developed several risk and return attribution methodologies, as well as equity factor risk models.

Jose has over 30 finance publications in leading practitioner journals. Before entering finance, Jose was Professor of Physics at the University of Rio de Janeiro in Brazil. Jose holds a PhD in theoretical physics from the University of California at Berkeley, and a BS degree in aerospace engineering from the University of Colorado at Boulder. Jose is a CFA Charterholder.

 

 San Francisco QWAFAFEW Steering Committee
Jim Quinn, portfolio manager at CalPERS – SF chapter chairman
Members (Alphabetical Order)
Ralph Goldsticker, Senior Investment Strategist at Goldsticker Investment Strategy
Robert Maxim, Duff & Phelps
Jason Ribando, RS Investments
Irene Rusman, Oracle
Seth Stafford, Product Line Manager for Financial Management suite at ServiceNow
Tjisana Lewis, Intel Corp.
Walt French, Nuveen Investments


Membership & Inquiries
our international site is at
 2017 Annual membership is $50 and attendance for QWAFAFEW members is free. One time registration is $20 and covers refreshments. To be added/removed to the SF QWAFAFEW mailing list please send email to mailinglist.sf@qwafafew.org.
 For general inquiries, please send email to sanfrancisco@qwafafew.org

Speaker Bio

The Speaker: Jose Menchero, Head of Portfolio Analytics Research, Bloomberg

Jose Menchero serves as Head of Portfolio Analytics Research at Bloomberg. Jose and his team are responsible for developing the full suite of factor risk models spanning multiple asset classes, as well as portfolio risk and return attribution, portfolio construction, and portfolio optimization.

Prior to joining Bloomberg, Jose was the founder and CEO of Menchero Portfolio Analytics Consulting. Before founding his consulting firm, Jose worked for eight years at MSCI, where he was Managing Director responsible for developing the Barra equity risk models, and for portfolio construction research. Jose also served for seven years as Director of Research at Thomson Financial, where he developed several risk and return attribution methodologies, as well as equity factor risk models.

Jose has over 30 finance publications in leading practitioner journals. Before entering finance, Jose was Professor of Physics at the University of Rio de Janeiro in Brazil. Jose holds a PhD in theoretical physics from the University of California at Berkeley, and a BS degree in aerospace engineering from the University of Colorado at Boulder. Jose is a CFA Charterholder.

How to Pay

REGISTRATION

Use the eventbrite link below to register for the meeting ($20) or to purchase 2017 annual membership ($50).

QWAFAFEW members who have already paid their $50 2017 dues do not need to register.

Eventbrite link –
https://www.eventbrite.com/e/qwafafew-jose-menchero-on-multi-asset-class-risk-models-tickets-32673960696

The link is valid only before the meeting.

Use the eventbrite link below to register for the meeting ($20) or to purchase 2017 annual membership ($50). QWAFAFEW members who have already paid their $50 2017 dues do not need to register.

Details

Date:
March 20, 2017
Time:
5:30 pm - 7:30 pm
Cost:
$20
Event Tags:
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Website:
https://sanfrancisco.qwafafew.org/

Organizer

Jim Quinn
Email:
mailinglist.sf@qwafafew.org

Venue

L’Olivier French Restaurant
465 Davis Ct
San Francisco, CA 94111 United States
+ Google Map
Phone:
(415) 981-7824
Website:
http://www.lolivierrestaurant.com/