[ONLINE] PAIS Lab Seminar "Robustness measure for active management of collective investments"
Tuesday, 20 October, 06:10 PM
We kindly invite you on PAIS Lab seminar
Speaker: Aliya Sharipova, PAIS Lab Research Fellow
Robustness measure for active management of collective investments
A practical approach to estimating of the investment strategy robustness is considered. As a quantitative measure of robustness, the objective
function smoothness degree and measure of stability of a strategy are proposed for utilization. After the optimization has been conducted, it is essential to utilize an additional criterion for the selection of strategies that possess better robustness property. The utilization of the quantitative estimate of the strategy robustness enables a better strategy to be chosen in the efficiency analysis of collective investments management.
Working language - English