The level of dispersion in market betas has a profound impact on optimized portfolios, with greater dispersion leading to lower levels of diversification. This manifests the sentiment that the opportunities to diversify disappear in a crisis, since betas in the US market have tended to be more dispersed in turbulent periods. At any given time, the betas we use in practice reflect the state of the market and estimation error. We construct better betas by measuring and mitigating the excess dispersion that arises from estimation error, leading to mean-variance optimized portfolios that are more accurate and better diversified. The ideas in this presentation were developed in collaboration with Alex Papanicolaou, Alex Shkolnik and Simge Ulucam.
Lisa Goldberg, PhD, Director of Research, Aperio Group
Lisa Goldberg, PhD is the Director of Research at Aperio. Ms. Goldberg has a joint appointment in Statistics and Economics at the University of California, Berkeley, where she serves as Co-Director of the Consortium for Data Analytics in Risk (CDAR).Previously, she was Executive Director of Research at MSCI, where she oversaw research supporting asset managers, pension funds, endowments, and sovereign wealth funds, with an emphasis on risk due to extreme events, asset allocation, and credit.At University of California, Berkeley, she is co-Director of the Consortium for Data Analytics in Risk and Adjunct Professor of Economics and Statistics. Ms. Goldberg's interests include financial economics, quantitative investing, causal inference and sports statistics.
Ms. Goldberg has held academic positions at City University of New York, the Institute for Advanced Study, l’Institut des Hautes Études Scientifiques, and the Mathematical Sciences Research Institute, and she was a Sloan Fellow from 1987 to 1990. She is an expert judge for the Haas Business School’s Moskowitz Prize for Socially Responsible Investing, and served on the editorial board of the Financial Analysts Journal from 2012-2018.
Ms. Goldberg is the co-author of a book, Portfolio Risk Analysis, and more than 40 50 of her articles on mathematics and quantitative finance have been published in peer-reviewed journals. Ms. Goldberg, with co-authors Robert Anderson and Stephen Bianchi, were awarded a Graham and Dodd Scroll Award for Excellence by the Financial Analysts Journal for “Will My Risk Parity Strategy Outperform?” in 2012. With Aperio co-authors Ran Leshem and Patrick Geddes, she was awarded a Harry M. Markowitz Special Distinction Award by the Journal of Investment Management for “Restoring Value to Minimum Variance” in 2014. She holds a BA in Mathematics from the University of Rochester and a PhD in Mathematics from Brandeis University.
11:30 a.m. – Registration & Networking
12:00 p.m. – Lunch & Program Begins
1:15 p.m. – Q&A
1:30 p.m. – Program Ends
$25 / Member
$40 / Non-member
This event qualifies for 1.5 hours of continuing education credit for CFA charterholders.