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.
Read More
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.
Read More
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