Advances in Portfolio Optimisation
Workshop on Advances in Portfolio Optimization
Date: 17 October 2008
Venue: Imperial College Business School
Organiser: Dr. Paolo Zaffaroni
The aim of the workshop was to discuss most recent advances in asset allocation and portfolio optimization, with special emphasis on issues related to the empirical implementation of the trading strategies.
Download the programme (PDF)
The following papers were presented at the event:
Enrique Sentana (CEMFI)
Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation
Barbara Ostdiek (Rice University)
Realized Covariance Estimation in Dynamic Portfolio Optimization
Lucio Sarno (University of Warwick)
Correlation Timing and International Asset Allocation with Bayesian Learning
Guofu Zhou (Washington University).
Being Naïve about Naïve Diversification: can investment theory be consistently useful?
Gregory Connor (London School of Economics)
Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns
Michael Rockinger (University of Lausanne)
The Economic Value of Distributional Timing
Hashem M. Pesaran (University of Cambridge)
Optimal Asset Allocation with Factor Models for Large Portfolios
Financial support from Barclays Wealth, the Centre for Hedge Fund Research (Imperial College Business School) and the Finance and Accounting Group (Imperial College Business School) is gratefully acknowledged.