Wednesday, February 21, 2018 at 6:00pm
Cornell Tech, 2 W Loop Rd, New York, NY 10044, Bloomberg 161
Watch the seminar at https://cornell.mediasite.com/Mediasite/Play/38b2ea1b770641e680fc2c46f039404b1d.
Markowitz portfolio optimization was a key advancement in finance, but is fundamentally limited by key assumptions. Namely, using information such as historical returns to forecast future returns is no longer statistically viable. We'll take a statistics and physics approach to thinking about optimization in general, and discussing what parts of Markowtiz optimization must be swapped out in order to reach the current state of the art.