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ISE Seminar-Portfolio Algos: Demands, Challenges, and Opportunities

Event Type
303 Transportation Building
Feb 14, 2013   4:00 pm  
Jackie Shen, Barclays Investment Bank, NY
Originating Calendar
ISE Seminar Calendar

On the marketing flyers, all top Wall Street firms have claimed to have the best portfolio algo. By checking out the quantitative foundations, we see that the existing solutions are far from being mature. Some major challenges include, for example, solid modeling of market impacts, and intraday risks and correlations, as well as conquering the universal 'curse of dimensionality' in dynamic solutions. 'In this introductory talk, we first review all the major components needed to design and engineer a portfolio algo, and then report a work in progress on building an optimal (static) portfolio algo under generic price dynamics and volume measures. In combination, we demonstrate abundant opportunities for the financial engineering professionals in this emerging area.

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