The Uses and Abuses of Random Portfolios
for testing quantitative investment strategies.
David Jessop of UBS
Patrick Burns of Burns Statistics
Richard Young of R-Squared Ltd
David Jessop of UBS - Introduction
What is a Random Portfolio and why would you want it? What can be done with true randomness?
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Patrick Burns of Burns Statistics - The Many Worlds of Random Portfolios
A large number of applications of random portfolios has been identified, and there are numerous applications yet to be discovered. However, applications are not the worlds I will discuss.
There are a number of decisions to be made when generating random portfolios, and each set of decisions throws us into a different universe. As we explore the universes we will encounter, among other things, the uniform distribution and genetic algorithms.
Patrick Burns is the founder of Burns Statistics
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Richard J Young of R-Squared Ltd - Pitfalls and Problems in Random Portfolio Generation, Simplified Approaches and Their Uses
The generation of sets of truly random points (e.g. portfolios) in an arbitrary high dimensional polytope is still beyond current computational power. Systematic grouping in a non-random distribution invalidates the apparent results in many applications of random portfolios. It is also very hard to tell if a particular solution suffers from such systematic grouping, leading to insidiously erroneous analysis. However, some smaller problems can be solved to a close enough approximation, allowing some sub-problems to be addressed and to provide powerful analysis. This talk will cover common systematic groupings, how to test random portfolio generating algorithms, easy to implement approximations that can be used on small dimensional problems, and some examples of useful lower dimensional analysis.
Richard J Young is Managing Consultant for Programming and Product Development at R-Squared Ltd and a Technical Consultant to the American Stock Exchange
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Followed by Q&A to panel
Date: Tuesday 26th February
Venue: CCLA, 7th Floor, 80 Cheapside, EC2V 6DZ
Time: 6.30pm
Series: Evening Seminars