Seminar 217, Risk Management: Predicting Portfolio Return Volatility at Median Horizons

Risk Seminar
Oct 2, 2018 11:00am to 12:30pm
1011 Evans Hall
Happening As Scheduled
Commercially available factor models provide good predictions of short-horizon (e.g. one day or one week) portfolio volatility, based on estimated portfolio factor loadings and responsive estimates of factor volatility. These predictions are of significant value to certain short-term investors, such as hedge funds. However, they provide limited guidance to long-term investors, such as Defined...
Speaker: Dangxing Chen, UC Berkeley (Speaker - Featured)