Seminar | September 6 | 11 a.m.-12:30 p.m. | 648 Evans Hall
Jose Menchero, Bloomberg
Consortium for Data Analytics in Risk
Covariance matrices are used in finance for two basic purposes: predicting portfolio volatility and constructing optimal portfolios. Covariance matrices that work well for one use case may work poorly for the other use case, especially when the dimensionality is high. In this seminar, we present a technique for estimating large covariance matrices that produces reliable results for both volatility forecasting as well as portfolio optimization.
Wouter Leenders, leenders@berkeley.edu, 510-
Event Date
-
Status
Happening As Scheduled
Primary Event Type
Seminar
Location
648 Evans Hall
Performers
Jose Menchero, Bloomberg (Speaker - Featured)
Event ID
147876