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March 2019

MODEL GOVERNANCE IN THE AGE OF DATA SCIENCE AND AI

March 19, 2019 @ 5:30 pm - 8:30 pm
Robert Half Associates, 50 California Street 10th Floor
San Francisco, CA , CA 94111 United States
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$20 – $60

As more and more open-source technologies penetrate enterprises, data scientists have a plethora of choices for building, testing and scaling models. In addition, data scientists have been able to leverage the growing support for cloud-based infrastructure and open data sets to develop machine learning applications.

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October 2018

Why Getting Risk Right is Wrong

October 25, 2018 @ 5:30 pm - 8:00 pm
Robert Half Associates, 50 California Street 10th Floor
San Francisco, CA , CA 94111 United States
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$20

Many investment professionals who use risk models make a common mistake. In this presentation we will provide five different rationales as to why seemingly unbiased estimates of volatility are undesirable both statistically and economically.

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March 2018

Asset Allocation: Fallacies, Challenges, and Solutions

March 27, 2018 @ 5:30 pm - 7:30 pm
Robert Half Associates, 50 California Street 10th Floor
San Francisco, CA , CA 94111 United States
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$20

Mark Kritzman will share insights from his new book with Will Kinlaw and David Turkington, A Practitioner’s Guide to Asset Allocation.

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November 2017

AI and Machine Learning in FinTech and FinReg

November 7, 2017 @ 5:30 pm - 7:30 pm
Robert Half Associates, 50 California Street 10th Floor
San Francisco, CA , CA 94111 United States
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$20

Sanjiv Das will present a framework for the future of FinTech and discuss why AI and ML are poised to make a huge impact on financial firms in many areas. I will provide examples and use cases of the application of ML in finance, and also explain what technological advances have made possible a critical paradigm shift in FinTech.

Slides are at http://srdas.github.io/Presentations/FinTech_AI_QWAFAFEW.pdf

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June 2017

Designing Quantitative Strategies

June 26, 2017 @ 5:30 pm - 8:30 pm
Robert Half Associates, 50 California Street 10th Floor
San Francisco, CA , CA 94111 United States
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$20

Abstract: With breadth difficult to estimate, the fundamental law’s authors were clear that the law is not an operational design tool. Portfolio managers need, however, to make the most of scarce alpha sources. Here we solve a model of quantitative active management, and show how the solution provides operational strategy design. Instead of breadth, the model includes the related correlations. The solution consists of averages of portfolio properties over all possible trajectories of returns and their forecasts, providing robustness to the…

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March 2017

Multi-asset class risk models

March 20, 2017 @ 5:30 pm - 7:30 pm
L’Olivier French Restaurant, 465 Davis Ct
San Francisco, CA 94111 United States
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$20

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.

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October 2016

Back-testing: A Useful Tool or “Financial Charlatanism”?

October 6, 2016 @ 5:30 am - 7:30 pm

Venue: L'Olivier French Restaurant 465 Davis Ct San Francisco, CA 94111 (415) 981-7824 Get directions Speaker: Dan Debartolomeo, President & Founder, Northfield Information Service, Inc. Topic: Back-testing: A Useful Tool or "Financial Charlatanism"? Abstract: Back-testing is the widely used practice of simulating an algorithmic investment strategy. While essentially everyone involved in quantitatively driven investment methods conducts back-tests, it is widely accepted that simulated investment results achieved “in sample” are at best only a very weak indication of results to be expected in…

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September 2016

Forced Liquidations, Fire Sales, and The Cost of Illiquidity

September 28, 2016 @ 5:30 am - 7:30 pm

Venue: L'Olivier French Restaurant 465 Davis Ct San Francisco, CA 94111 (415) 981-7824 Get directions Speaker: Andrew Weisman,  Managing Partner of Windham Capital Management and Co-Chief Investment Officer for Windham Liquid Alternatives. Topic: Forced Liquidations, Fire Sales, and The Cost of Illiquidity Abstract: Institutional investors seeking diversification often build portfolios using collections of securities with widely varying characteristics. To facilitate diversification, investors rely on the “common currencies” of reported return, volatility, and correlation, and employ them as inputs to portfolio construction/ optimization models or…

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