Upcoming Events

Boston Meeting: Increasing the IR via Ordinal Optimization


Tuesday, May 20, 2008 - 6:15pm

3rd Floor of the Tennis & Racquet Club, 939 Boylston Street [call 617-536-4630 for directions]
Dan Rie has arranged this meeting, and writes:



Gioel Molinari will be presenting at the May 20th Boston QWAFAFEW. He has worked on investigating the application of the optimization framework developed by Almgren and Chris that results from their extension of the Markowitz efficient frontier predicated on the cardinal mean/variance space to an efficient frontier in a purely ordinal space of preferred/equivalent portfolios. The result is a new methodology for optimization of portfolio weights that relies on information about ordinal relationships (rankings) rather than cardinal predictions of expected returns and variances. This more general and less over specified optimization resolves some of the problems associated with optimization that have plagued practitioners. Molinari (and Almgren and Chriss) demonstrate that this optimization framework delivers substantially higher information ratios to portfolios than traditional optimization when the alpha inputs are ranks.
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New York Meeting: The State of the ETF Industry in Its 15th Year – A Panel Discussion


Tuesday, May 27, 2008 - 5:45pm

Patrick Conway's Pub & Restaurant, 40 E 43rd St (between Madison & Vanderbilt), NY, NY
QWAFAFEW / PRMIA JOINT MEETING -
Tuesday, May 27, 2008

 

“The State of the ETF Industry in Its 15th Year” – A Panel Discussion”

Moderated by: Kathleen Moriarty, Katten Law

Panelists include: Marvin Appel, Appel Asset Management; Michael Carty, Benchmarks by Design; Anthony Dudzinski, XShares Advisors; Thomas Haines, NYSE Euronext; Michael Jabara, Citigroup; and Shirley Petersen, Mergent

 

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Chicago Meeting: Spikes and Calls: Commodity Markets in 2008


Tuesday, June 17, 2008 - 5:00pm

Deloitte & Touche LLP, 111 S. Wacker Drive, Chicago, IL
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For further information, please visit www.qwafafew.org
 
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CHICAGO QWAFAFEW 2008 MEETING SCHEDULE:
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June 17, 2008

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Boston Meeting: Topic TBA


Tuesday, June 17, 2008 - 6:15pm

3rd Floor of the Tennis & Racquet Club, 939 Boylston Street [call 617-536-4630 for directions]
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Denver Meeting: Topic TBA


Wednesday, September 17, 2008 - 6:00pm

TBA

September 17, 2008

TBA

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