[R-SIG-Finance] UKSIP - Quantitative investment professionals meetings

[Dirk Eddelbuettel]

John Marsland, currently struggling with his email software, asked me to
forward this.  Please direct all questions directly to John at John dot
Marsland at Schroders dot com    -- Dirk, wearing his listmaster head


From: Marsland, John 
Sent: 31 August 2006 13:20
To: 'r-sig-finance at stat.math.ethz.ch'
Subject: UKSIP - Quantitative investment professionals meetings


I noticed a few R-finance list attendees last time, so I though it might be of interest...

UKSIP's Quantitative investment professionals specialist interest group has organised two professional development events at which members will be able to debate more specialist quantitative issues and also take advantage of the opportunity to network with fellow "quant" experts. There is a small charge of £25 for UKSIP members / £35 for non-members

Portfolio analysis with random portfolios
Tuesday 5 September 2006, 5.30pm 
Speakers:
Patrick Burns - Burns Statistics
Frances Cowell IMC - Morley Fund Management

Random portfolios sample from the set of all portfolios of a given universe that satisfy some set of constraints. Uses of random portfolios include performance measurement, evaluating proposed strategies and deciding how tight constraints should be. They provide much more certainty for these tasks than currently used methods allow. Patrick Burns will argue that the practice of fund management could potentially be transformed as the use of random portfolios spreads. Frances Cowell will consider some practical applications of random portfolio simulation for institutional investors.

Click here for more information and to register http://www.uksip.org/calendar/event_details.cfm?iEventID=134

Risk management, optimisation and option pricing: stable non-Gaussian 
Tuesday 7 November 2006, 5.30pm
Speakers:
Boryana Racheva-Iotova, FinAnalytica
Zari Rachev, University of Karlsruhe and University of California, Santa Barbara

In this talk the speakers will introduce:
- An accurate approach to risk management, based on tail risk and stable processes for asset returns
- A stable non-Gaussian approach to portfolio optimisation and ALM, yielding increased risk adjusted returns
- A stable option pricing, capturing clustering of the volatility

Click here for more information and to register http://www.uksip.org/calendar/event_details.cfm?iEventID=135

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