Speaker:
Steve Schulist
Institution:
Quantitative Analyst, PIMCO
Time:
Wednesday, February 10, 2016 - 4:00pm to 5:30pm
Host:
Location:
RH 340P
We will discuss the mathematics of portfolio optimization, assuming asset returns have a fat-tailed, alpha-stable distribution. A PDF-file of the slides is available for download.
http://www.math.uci.edu/sites/math.uci.edu/files/Fat Tailed Kelly.pdf