Days don't come much more memorable than yesterday.
Stan Pliska concluded his guest lectures with the end of the Harrison-Pliska story and a comprehesive overview of Optimal Portfolio Theory, from Markowitz to Merton and beyond, complete with empirical results illustrating the advantages and disadvantages of the different approaches.
Later in the day, Raphael Douady, himself an olympian, used his talk in the Quantitative Finance Seminar Series to explain how to evaluate the risk of a hedge fund using a herculean risk measure based on nonlinear factor models - the StressVaR.
And of course Team Canada beat Russia for the first time in 50 years!
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