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PRMIA Event: Derivatives & The Dodd-Frank Act: Where Do We Stand? 

5/25/2013

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DePaul University’s Fred Arditti Center for Risk Management and the Chicago Chapter of the Professional Risk Managers’ International Association (PRMIA) Present:

DERIVATIVES AND THE DODD-FRANK ACT: WHERE DO WE STAND?

A keynote talk and panel discussion on the evolution and current status of derivatives regulation under Dodd-Frank.

University of Pennsylvania Law Professor David Skeel will discuss the evolution of derivative bankruptcy treatment and the systemic risk concerns that gave them (along with “repos”) special status in bankruptcy.

A panel of experts discusses the current implementation status of the Dodd-Frank Act’s proscribed treatment of derivatives.

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The Sharpe Ratio Efficient Frontier & Discovery of Alpha Risk Event

5/25/2013

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QWAFAFEW in Affiliation with PRMIA Presents:

The Sharpe Ratio Efficient Frontier and the Objective Discovery of Alpha Risk

Dr. Marcos Lopez de Prado discusses his award-winning paper evaluating the probability that an estimated Sharpe ratio exceeds a given threshold in presence of non-Normal returns.

Most important is that it permits the computation of what we call the Sharpe ratio Efficient Frontier (SEF), which allows optimization of a portfolio under non-Normal, leveraged returns while incorporating the uncertainty derived from track record length.

In the second presentation, David Marra discusses the myriad obstacles hedge funds encounter when analyze big data and presents a case study in the objective discovery of alpha and risk.

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