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2009 Spring Seminar – presentations and papers available
The following papers are available for download:
- Carol Alexander – ROM Simulation – Exact Simulation using Random Orthogonal Matrices
- Dan di Bartolomeo – Madoff – Market Mayhem
- Taher Khan – Kurtosis-Adusted Volatility Estimators and the VIX
- Olivier Ledoit – Experiences in Quant Investing
- Richard Louth – Heuristic Portfolio Optimisation – Bayesian Updating with the Johnson family of Distributions
- Mathijs van Dijk – Resurrecting the Size Effect
- Michael Wolf – Robust Hypothesis Testing with the Sharpe Ratio