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.