dstefan
Baruch MFE Director
- Joined
- 5/19/06
- Messages
- 1,338
- Points
- 93
- Speaker: Attilio Meucci
- Title: "Managing Diversification"
- Locations/Time
+ Bloomberg Boston office, 100 Summer Street, Suite 2810 Boston
Tuesday 9/15/09, 4:30pm - 6:00pm
+ Bloomberg New York office, 731 Lexington Avenue, New York
Tuesday 10/13/09, 4:30pm - 6:00pm
- To sign up for this free event, contact Laura Byrne at laurab@bloomberg.net
- Abstract:
We propose a unified, fully general methodology to analyze and act on diversification in any environment, including long-short
trades in highly correlated markets. First, we build the diversification distribution, i.e. the distribution of the uncorrelated bets in
the portfolio that are consistent with the portfolio constraints.
Next, we summarize the wealth of information provided by the diversification distribution into one single diversification index, the
effective number of bets, based on the entropy of the diversification distribution. Then, we introduce the mean-diversification efficient
frontier, a diversification approach to portfolio optimization. Finally, we describe how to perform mean-diversification optimization in
practice in the presence of transaction and market impact costs, by only trading a few optimally chosen securities.
Reference: SSRN-Managing Diversification by Attilio Meucci
- Title: "Managing Diversification"
- Locations/Time
+ Bloomberg Boston office, 100 Summer Street, Suite 2810 Boston
Tuesday 9/15/09, 4:30pm - 6:00pm
+ Bloomberg New York office, 731 Lexington Avenue, New York
Tuesday 10/13/09, 4:30pm - 6:00pm
- To sign up for this free event, contact Laura Byrne at laurab@bloomberg.net
- Abstract:
We propose a unified, fully general methodology to analyze and act on diversification in any environment, including long-short
trades in highly correlated markets. First, we build the diversification distribution, i.e. the distribution of the uncorrelated bets in
the portfolio that are consistent with the portfolio constraints.
Next, we summarize the wealth of information provided by the diversification distribution into one single diversification index, the
effective number of bets, based on the entropy of the diversification distribution. Then, we introduce the mean-diversification efficient
frontier, a diversification approach to portfolio optimization. Finally, we describe how to perform mean-diversification optimization in
practice in the presence of transaction and market impact costs, by only trading a few optimally chosen securities.
Reference: SSRN-Managing Diversification by Attilio Meucci
