Seminar 217, Risk Management: Solving the “curse of dimensionality” problem in multi-asset-class risk models

Risk Seminar
Feb 22, 2018 12:30pm to 2:00pm
Location: 
1011 Evans Hall
Status: 
Happening As Scheduled
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....
Speaker: Jose Menchero, Bloomberg (Speaker - Featured)