2009 Spring Seminar – presentations and papers available

The following papers are available for download:

• Carol Alexander – ROM Simulation – Exact Simulation using Random Orthogonal Matrices
  • Alexander – ROM Simulation
• Dan di Bartolomeo – Madoff – Market Mayhem
  • diBartolomeo – Madoff Mayhem
• Taher Khan – Kurtosis-Adusted Volatility Estimators and the VIX
  • Khan – Kurtosis-adjusted Volatility Gauges in the VIX
• Olivier Ledoit – Experiences in Quant Investing
  • Ledoit – Experiences in Quant Investing
• Richard Louth – Heuristic Portfolio Optimisation – Bayesian Updating with the Johnson family of Distributions
  • Louth – Heuristic Portfolio Optimisation
• Mathijs van Dijk – Resurrecting the Size Effect
  • Van Dijk – Resurrecting the Size Effect
• Michael Wolf – Robust Hypothesis Testing with the Sharpe Ratio
  • Wolf – Robust Performance Hypothesis Testing