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Tails, Black Swans and Optimal Portfolios

Speaker: Jan Rosenzweig

CQF Institute is proud to bring you a free online talk with Jan Rosenzweig on Tails, Black Swans and Optimal Portfolios.

Event Agenda 

17:30 - 18:00 BST - Networking and CQF Booth 

18:00 - 19:30 BST - CQF Institute Talk: Tails, Black Swans and Optimal Portfolios

19:30 - 20:00 BST - Networking and CQF Booth 

This event can earn you up to 2 CPD credits.

Abstract

Why are optimal portfolios, according to the Modern Portfolio Theory, not diversified? Is it a good thing, that they are not? Do simple trading rules-of-thumb beat Modern Portfolio Theory? Which rules-of-thumb? And why do they even work?

These are some of the topics that will be covered in this talk. We’ll start by going through the construction of optimal portfolio shapes for different tail risk measures, and we’ll look for some general insights into what works, why it works, what doesn’t work, and why it doesn’t work. Should you hedge, should you diversify, or a bit of both? Why?

With all the commentators counting down to the “mother of all crashes”, we might even get a practical crash course (pun intended) on why all this matters.

Speaker Bio

Jan Rosenzweig has been working in the financial markets since 2005, for a number of companies including Credit Suisse, Rabobank, HSH Nordbank, IV Capital, Brancherose and Pine Tree. His roles have included working as a quant, structurer, trader and portfolio manager. 

Jan also holds a PhD from Cambridge and a BSc from Zagreb and is based in London.