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Title

Risk Under Parameter Uncertainty and Price Movement

Event Description

Portfolio managers are well acquainted with risk decomposition, a canonical tool for identifying and estimating sources of risks in a portfolio. As risk always exists in the future, a proper understanding of risk requires we consider our level of statistical confidence in the assessment and decomposition. The literature has long recognized the importance of addressing statistical estimation error (Ledoit and Wolf, 2004) in historical covariance matrices. Newer non-linear methods can also be applied to factor models of risk (Ledoit and Wolf, 2020). 

However, an important element of the problem has been ignored: the extent to which we expect future price movements to change portfolio asset weights during the finite future time interval during which the risk assessment is presumed to hold true. Ignoring changes in expected risk arising from security price movements is similar to the situation of option hedging where textbook formulae for parameters such as "delta" unrealistically assume that hedging relationships are rebalanced continuously. 

The speaker Anish R. Shah, CFA will provide an original analytical approach to factor risk decomposition that is inclusive of both estimation error and the expected slippage in hedging relationships amongst portfolios assets that will arise from asset price movements. Much like a medical X-ray, this enhanced form of risk decomposition reporting provides a much richer and more stable understanding of portfolio risk.

Event Type

Society; Educational; Featured

Education Topic

Quantitative Methods

Start Time

2-2-2021 16:30

End Time

2-2-2021 17:30

City

Amsterdam

State/Province

NH

Event Country

 

Event Region

EMEA

Location Info

​This event will be deliverd online

Speaker

Anish R. Shah, CFA

CE Credits

1

SER Credit

n/a

Currency

n/a

Member Price

Free for members of the Society

Non-Member Price

n/a

Candidate Price

n/a

Registration

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Presentations

 

All Day Event

 

Recurrence

 

Event Link

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Event Link Leads To New Tab

Yes

Event Short Info

<b>Risk Under Parameter Uncertainty and Price Movement</b> with Anish R. Shah, CFA

Attachments

Content Type: MyCFA Custom Calendar
Created at 27-1-2021 08:42 by irma.willemsen@cfavba.nl[CASMSTS:username]
Last modified at 27-1-2021 11:42 by irma.willemsen@cfavba.nl[CASMSTS:username]