Feb 22, 2018 12:30pm to 2:00pm
1011 Evans Hall
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)