Quantitative Methods

Advanced Risk and Portfolio Management Bootcamp

Attilio Meucci/SYMMYS – 12-17 August 2013, New York

This six-day course provides an in-depth understanding of buy-side quantitative modeling from the foundations to the most advanced statistical and optimization techniques.

Modern Portfolio Theory and Behavioral Finance: The Mathematics of Turbulence

Take 15

Kent Osband discusses a mathematical framework for bridging modern portfolio theory’s rationalism with behavioral finance’s irrationalism.

Testing Conditional Factor Models

CFA Digest

In order to test conditional factor models, the authors use time-varying conditional and long-run alphas and betas. As an application, the authors estimate the conditional capital asset pricing and multifactor models on book-to-market and momentum decile portfolios.

Upended: Stocks Are Riskier in the Long Run

University of Chicago Booth School of Business

Article and video presenting the case that forward-looking measures of volatility should be used.

A Story Can Be More Useful Than Maths

Financial Times

John Kay describes the differences between probabilistic thinking and narrative thinking and shows why narrative thinking is superior in many contexts. [Registration required.]

Brace for a Stock Market Accident

The Financial Times

A comparison of the equity risk premium, adjusted for leverage, with debt yields suggests a deleveraging of G-7 economies must take place. [Registration or subscription required.]

An R-Squared Chart Taxonomy: Seeing is Not Believing

Jason Voss, CFA 15 May 2013

Often financial analysts are presented with statistical charts that purport to demonstrate an important — and, of course, investable — relationship between data points. These charts are supposed to be worth a thousand words and thousands of shares traded. But invariably these charts do not have an r-squared for the data displayed, or any other descriptive statistical data; just the seductive image. Read more

Take 15: Modern Portfolio Theory and Behavioral Finance: The Mathematics of Turbulence (Video)

Jason Voss, CFA 9 May 2013

Kent Osband offers that the mathematics of turbulence provides a mathematical framework for bridging modern portfolio theory’s rationalism with behavioral finance’s irrationalism. Read more