Friday, March 30, 2012
Vincent Hall 16
Quantitative strategies which, at certain points in recent history, have generated positive returns for investors are reviewed. These are: (1) statistical arbitrage, (2) long volatility/variance,(3) commodities yield-curve trading and (4) ETF arbitrage and high-frequency trading. The profitability of these quantitative strategies will be analyzed across the economic cycle. The conclusion is that, aside from (3), "quant" strategies are appropriate when markets are volatile and "trend-less". In contrast, commodity yield-curve strategies work well in trending markets, particularly when trending to the upside. Following this, the broader question of profitability of hedge-funds is addressed. Some myths and realities associated with them are discussed, and, in particular, empirical findings which predict the overall size of the hedge-fund industry compared with all investments.
BiographyDr. Marco Avellaneda is a Professor of Mathematics at the Courant Institute of Mathematical Sciences at New York University. Since 1998 he has been the director of the Division of Financial Mathematics. His research interests include probability, partial differential equations, applied mathematics, quantitative modeling in finance, homogenization, and turbulence theory. He wrote "Quantitative Modeling of Derivative Securities: From Theory to Practice," and Risk Magazine named him their 2010 Quant of the Year.
October 13, 2011
Walter Library 101
Dr. Hardy who will be doing a week long MCFAM residency with the department.
Many actuarial researchers work in applied areas, and their work could provide useful insight to practitioners, but the message is not always received on the practitioner side. There is frustration on both sides; practitioners may complain that academics are out of touch; academics complain that practitioners are not sufficiently receptive to their ideas or supportive of academic-style research.
In this talk Dr. Hardy will give some examples of more successful and less successful communications from my own research experience in actuarial risk management, including:
Dr. Hardy will draw some conclusions, and address the actions that could be taken on both sides of the academic/practitioner divide in actuarial science.
BiographyDr. Mary Hardy holds the CIBC Chair in Financial Risk Management at the University of Waterloo. She is a Fellow of the UK Institute of Actuaries, a Fellow of the Society of Actuaries, and a Chartered Enterprise Risk Analyst. Her research in risk management for equity linked insurance, including the use of the conditional tail expectation risk measure, has been influential in the development of capital standards in Canada and the US. She is currently researching design and risk management solutions for pension plans.
Dr. Hardy has authored around 40 papers and two books in applied risk management for life insurance and pensions. Her most recent book, .Actuarial Mathematics for Life Contingent Risk. which she co-wrote with Howard Waters and David Dickson, is a modern take on life contingencies for life insurance and pensions risk.