Automated & Interactive Portfolio Risk Optimization For Fund Managers

Tail risk is an inevitable component of financial portfolios. Popularized by Taleb in his famous ‘Black Swan’, tail risk is usually something one only finds out about when it is already too late. When the markets crash, all participants panic-sell, driving prices ever lower and correlations ever higher. The resulting losses are invariably much larger than predicted, and often larger than the capitalization that those institutions affected can bear. This talk will present some new approaches to managing tail risk by using methods from machine learning. Morgan Hill has developed a suite of methods ranging from fat-tailed orthogonalization, tail-risk allocation to tail risk hedging. Whilst providing new levels of protection for tail risk events the methods also apply to optimising a portfolio for maximum returns within a given level of risk. We shall present some intuitive explanations of how and why these methods work, and give a demonstration of the software implementation. Speakers: -Jan Rosenzweig, Portfolio Manager @ Morgan Hill -John McCambridge, AI Solutions Manager @ Dataiku Please be aware that by registering for this webinar, you agree to have your personal information shared with Dataiku's partner Morgan Hill. They may contact you with information that could be of interest to you.