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Bahman Angoshtari - Oxford University
Feb 3, 2014 - 4:40pm
Colloquia - LS 152
In this talk, we study the utility maximization problem for assets whose prices are cointegrated. This problem arises from the investment practice of convergence-trading which is one of the oldest forms of statistical arbitrage strategies used by active portfolio managers such as hedge funds.... read more
Duy-Minh Dang - University of Toronto
Jan 30, 2014 - 12:45pm
Colloquia - E1 102
Pre-commitment mean-variance (MV) criteria are very popular for portfolio optimization problems, due to their intuitive nature. It is standard that MV strategies for these problems are self-financing, i.e. no exogenous infusion or withdrawal of cash are allowed under any circumstances. Due to a... read more
Sonja Petrovic
Jan 29, 2014 - 3:30pm
Seminar - E1 121
Main reading topics chosen: 2/12 and 2/19, we will read the papers that explain in detail Theorem 1.2.17 in "Lecture notes in algebraic statistics" book. These papers are about transportaion polytopes and implications for Markov bases for tables. Then, we will continue with discussion of... read more