Optimal Portfolio Construction from Ordering Information
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Date: 04-04-2005
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Neil Chriss, Managing Director of Quantitative Strategies, SAC Capital Management, LLC.
Location: 412 Shapiro CEPSR, Davis Auditorium
ABSTRACT
This talk explains a novel approach to building
portfolios when you know the order, but not the values, of expected returns. The
methods are very new and different; they extend the work of Markowitz on
portfolio construction in a significant way. The key mathematics involved uses
ideas from convex programming but yields remarkably simple and intuitive
results. To our knowledge, this is the first and only paper studying this
problem. The results of this work are portfolio construction methods that may be
applied to a variety of situations in practice. We demonstrate the results on
some sample trading strategies and show the relationship between how this method
performs and other methods used by insiders perform.
This talk is based on
joint work with Robert Almgren.
BIO
Neil Chriss joined
SAC in 2003 to develop a quantitative trading business. He is in charge of
building and managing new quantitative trading strategies at SAC. Prior to SAC,
Neil was founder and President of ICor Brokerage Inc., a derivatives trading
firm that was sold to Reuters Plc in 2004 and forms their global electronic
trading system for interest rate and foreign exchange derivatives. Prior to
ICor, Neil was a portfolio manager at Goldman Sachs Asset Management in the
Quantitative Strategies group. Neil has a PhD in mathematics from the University
of Chicago and held academic positions in the mathematics departments at Harvard
University and the Institute for Advanced Study.