When there is noise in a covariance matrix, portfolio optimization tends to produce portfolios for which the risk forecasts are underestimates of the true risk. In this paper, we take a closer look at the connection between estimation error and the underestimation of the risk of optimized portfolios. We pay…

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Presentation to accompany the paper “Beyond Stochastic Volatility and Jumps in Returns and Volatility” by Garland Durham and Yang-Ho Park, CU Boulder

Behavioral finance has received a great deal of attention in academia over the past 15 years or so. But attention in academia does not always correspond with real-world acceptance or success. We analyze 16 mutual funds that are self-proclaimed or media-identified disciples of behavioral finance to determine whether 1) they…

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This presentation looks at asset allocation to determine if it does indeed help investors protect against significant losses or even help in down markets. Asset allocation, market timing and other previously accepted risk mitigation techniques will be broken down and analyzed as to their effectiveness. In addition, more recent developments…

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