Upcoming Events

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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