Quantitative Methods The Value of Life, Statistically Speaking CFO An overview of one method for calculating the statistical value of a human life. More The Reign of Robots May Be Closer Than You Think: Mark Buchanan Bloomberg Recent research results regarding high frequency trading. More Ray Dalio: Man and Machine Economist An interview with highly successful hedge fund manager, Ray Dalio, about his economic model for understanding the world. More Predicting Performance in Basketball: the Elephant on the Court Economist A basketball talent executive discusses why it is very difficult to use past statistics to make predictions about the future. More Forensic Techniques are Subject to Human Bias The Washington Post A reminder of the limitations of science in determining absolute proof in a rigorous setting: criminal trials. More Quantitative Equity Portfolio Management CFA Institute / SDA Bocconi School of Management - 12-15 June 2012 This program in Milan, Italy, focuses on quantitative tools and techniques to build and manage tactical equity portfolios. More The Value of Life, Statistically Speaking The Reign of Robots May Be Closer Than You Think: Mark Buchanan Ray Dalio: Man and Machine Predicting Performance in Basketball: the Elephant on the Court Forensic Techniques are Subject to Human Bias Quantitative Equity Portfolio Management From the 65th Annual Conference BNN Clip: We Don’t Rate Countries, We Rate Governments Says Fitch Ratings’ David Riley 17 May 2012 Fitch's group managing director of sovereign and supranational ratings discussed his outlook for Europe and the United States in an interview with BNN's Business Day. Read More View all From the Blog Just Released: CFA Magazine (May/June 2012) Jennifer Curry 21 May 2012 Will a currency war lead to a collapse of investor confidence? This issue's cover story examines the possible outcomes. Read more → James Montier: More Realistic Financial Models Incorporating Illiquidity and Leverage Are Needed Mark Harrison, CFA 7 May 2012 Financial theorists, policymakers, and practitioners created the financial crisis with “bad models, bad policies, bad incentives, and bad behavior,” said James Montier of GMO UK Ltd. Read more → Fact File: S&P 500 Volume Data Jason Voss, CFA 2 May 2012 Is the negative correlation between rising S&P 500 trading volume and declining prices evidence of a slow, snarling bear market? Read more → View all Recently Posted Educational Resources AllEventsPublicationsWebcasts/PodcastsOnline LearningBGM Market Models: Advances, Calibration, Smile, PricingThe BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, with an ...BGM Market Models: Advances, Calibration, Smile, PricingThe BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, with an ...The Flaws of Finance Watch an archive of James Montier's conference session in which he discusses: How bad models, bad behavior, bad ...Market Drivers: Fundamentals vs. TechnicalsIs the market driver by fundamental factors, technical factors, or a mix of both?Value at Risk and Conditional Value at Risk: A ComparisonValue at risk is praised as a simple, universal risk measure on the one hand and frequently referred to as “controversial” or ...A Survey of Announcement Effects on Foreign Exchange Volatility and JumpsThe impact of announcements on foreign exchange volatility and jumps may help managers mitigate the ...Breadth, Skill, and TimeThe authors build on the fundamental law of active management, which relates the information ratio to its two ...Does the Wealth Profile of a Company Matter in Discounted Cash Flow Analysis? 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Idzorek, CFA, investigates various approaches for optimizing retirement portfolios by choosing strategies to mitigate ...The Performance of Johnson Distributions for Computing Value at Risk and Expected ShortfallThe author proposes the Johnson family of distributions as a superior approach toapproximating unknown return distributions and ...Red-Blooded Risk: The Secret History of Wall Street (a review)No one who reads Red-Blooded Risk: The Secret History of Wall Street will ever again regard risk management as a necessary but ...Should Investors Include Commodities in Their Portfolios After All? New EvidenceAdding commodities to portfolios is believed to provide superior risk-adjustedreturns compared with having only traditional asset ...Tracking Error RebalancingThe authors evaluate traditional and alternative approaches to portfoliorebalancing during normal and stressed market conditions. ...The FTSE StableRisk IndicesThe StableRisk Indices, created by FTSE, are long-only indices in which risk isdynamically controlled by using rules that daily ...Detecting the Presence of Insider Trading via Structural Break TestsThe authors develop a method to detect the possible presence of insider tradingprior to an unexpected price-sensitive ...Quantitative Easing Works: Lessons from the Unique Experience in Japan 2001–2006A quantitative easing monetary policy was implemented by the Bank of Japan inMarch 2001. The authors develop a new method of ...The Value of Life, Statistically SpeakingAn overview of one method for calculating the statistical value of a human life. 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It is complementary to fundamental ...Applied ScienceA look at how three firms have jump-started their quantitative investment processes.Measuring Historical VolatilityThe authors investigate the use of the mean absolute deviation to forecast future volatility. Despite being so simple to ...Perpetual MotionA new study looks at trends in quantitative equity portfolio modeling. This article includes a sidebar written by Intertek Group ...Neural Networks in Finance: Gaining Predictive Edge in the Markets (a review)This excellent handbook addresses the criticisms of neural networks, shows how the technique can be resurrected to solve ...Quantitative Management of Bond Portfolios (a review)Offering clear, empirically based solutions to many of the practical challenges of running a bond portfolio ...Quantitative Investment Analysis, Second EditionThis globally relevant guide will help you understand quantitative methods and apply them to today's investment process. 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The ...Practical Issues in Forecasting VolatilityA comparison is presented of 93 studies that conducted tests of volatility-forecasting methods on a wide range of financial asset ...Trends in Quantitative Asset Management in EuropeEuropean asset management firms have increased their use of quantitative models with improved model ...Optimal Active Risk Budgeting ModelA fund manager allocating capital to active managers across and within different asset classes must manage ...Risk and Volatility: Econometric Models and Financial PracticeTime Series Analysis, Cointegration, and ApplicationsThe Power of TenMathematical models for investing have evolved from their earliest days as academic research tools to become ...Practical Issues in Forecasting VolatilityA comparison is presented of 93 studies that conducted tests of volatility-forecasting methods on a wide range of financial asset ...Principles of Financial Engineering (a review)This readable, wide-ranging, practical, and wise book introduces the entire field of financial engineering and covers it in a ...My Life as a Quant: Reflections on Physics and Finance (a review)This invaluable first-hand account of the quantitative revolution in finance since the 1980s recaps the main intellectual ...Using the WACC to Value Real OptionsUse of the weighted-average cost of capital (WACC) in real-option valuation is an alternative to using risk-neutral real-option ...The Stochastic Programming Approach to Asset, Liability, and Wealth Management All individuals and institutions face asset/liability management problems on a continuous basis. In this Research Foundation ...Stochastic CalculusLearn about stochastic calculus in relation to asset pricing in this presentation from the University of Chicago. Intra-Horizon RiskIntra-horizon risk is the risk of violating a minimum threshold at any point within an investment horizon rather than simply at ...Improved Forecasts of Higher-Order Co-moments and Implications for Portfolio SelectionThe authors introduce improved estimators for higher-order moments/co-moments of asset returns and discuss the implications in ...Quantitative Methods Used in Managing Credit RiskA Society of Actuaries panel discussion transcript provides a thorough overview of quantitative methods used to evaluate the ...The Reign of Robots May Be Closer Than You ThinkA recitation of recent research results regarding high frequency trading. Ray Dalio: Man and Machine – The Economic Ideas of the World’s Most Successful Hedge-fund BossThe Economist interviews Ray Dalio about his economic model for understanding the world. Forensic Techniques are Subject to Human BiasA reminder of the limitations of science in determining absolute proof in a rigorous setting: criminal trials. ...Predicting Performance in Basketball: the Elephant on the CourtA basketball talent executive discusses why it is very difficult to use past statistics to make predictions about the future. Analytical Trend Troubles ScientistsA cautionary tale about use of quantitative methods as they sometimes obscure qualitative research choices. ...Are Stocks Really Less Volatile in the Long Run?Annualized volatility of stock returns is widely thought to be lower over long horizons than over short horizons, due to mean ...BGM Market Models: Advances, Calibration, Smile, PricingThe BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, with an ...BGM Market Models: Advances, Calibration, Smile, PricingThe BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, with an ...CFA Institute / SDA Bocconi School of Management: Quantitative Equity Portfolio ManagementThe Quantitative Equity Portfolio Management program focuses on quantitative tools and techniques to build and manage tactical ...Advanced Risk and Portfolio Management Bootcamp - ARPM BootcampThe six-day course provides in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and ...Market Drivers: Fundamentals vs. TechnicalsIs the market driver by fundamental factors, technical factors, or a mix of both?Value at Risk and Conditional Value at Risk: A ComparisonValue at risk is praised as a simple, universal risk measure on the one hand and frequently referred to as “controversial” or ...A Survey of Announcement Effects on Foreign Exchange Volatility and JumpsThe impact of announcements on foreign exchange volatility and jumps may help managers mitigate the ...Breadth, Skill, and TimeThe authors build on the fundamental law of active management, which relates the information ratio to its two ...Does the Wealth Profile of a Company Matter in Discounted Cash Flow Analysis? Valuation Implications for Investors and ManagersThe author examines whether a company’s ability to create shareholder value matters in the stock market’s discounting of future ...Lost Economic Time: The Proust IndexThe Economist has constructed a measure to determine how much economic progress has been undone by the financial crisis. The ...6. Uses and Limitations of Quantitative Techniques Managing risk is at the core of managing any financial organization. Risk measurement and quantitative tools are critical aids ...The Performance of Johnson Distributions for Computing Value at Risk and Expected ShortfallThe author proposes the Johnson family of distributions as a superior approach toapproximating unknown return distributions and ...Red-Blooded Risk: The Secret History of Wall Street (a review)No one who reads Red-Blooded Risk: The Secret History of Wall Street will ever again regard risk management as a necessary but ...Should Investors Include Commodities in Their Portfolios After All? New EvidenceAdding commodities to portfolios is believed to provide superior risk-adjustedreturns compared with having only traditional asset ...Tracking Error RebalancingThe authors evaluate traditional and alternative approaches to portfoliorebalancing during normal and stressed market conditions. ...The FTSE StableRisk IndicesThe StableRisk Indices, created by FTSE, are long-only indices in which risk isdynamically controlled by using rules that daily ...Detecting the Presence of Insider Trading via Structural Break TestsThe authors develop a method to detect the possible presence of insider tradingprior to an unexpected price-sensitive ...Quantitative Easing Works: Lessons from the Unique Experience in Japan 2001–2006A quantitative easing monetary policy was implemented by the Bank of Japan inMarch 2001. The authors develop a new method of ...The Value of Life, Statistically SpeakingAn overview of one method for calculating the statistical value of a human life. The Value of Life, Statistically SpeakingAn overview of one method for calculating the statistical value of a human life. Seven Principles for Arguing with EconomistsA good primer for critical thinking in the presence of credentialed bluster. Out of the Dark: Hedge Fund Reporting Biases and Commercial DatabasesResearchers have gained access to a full spectrum of hedge fund returns. Their conclusion? That the alpha of the hedge fund ...Introduction to Quantitative Risk MeasurementManaging risk is at the core of managing any financial organization. Risk measurement and quantitative tools are critical aids ...1. Risk Management vs. Risk MeasurementManaging risk is at the core of managing any financial organization. Risk measurement and quantitative tools are critical aids ...Ben Graham Was a Quant: Raising the IQ of the Intelligent Investor (a review)The author, unlike many others, views Benjamin Graham’s work as the origin of quantitative investing. He ...Equity Prices and Macroeconomic Fundamentals: International EvidenceThe author studies the interrelationship between stock prices and macroeconomic fundamentals for selected European countries and ...Uncovered Interest-Rate Parity over the Past Two CenturiesThe authors test the validity of uncovered interest rate parity (UIP) theory, which states that the difference in interest rates ...How Accurate Is the Square-Root-of-Time Rule in Scaling Tail Risk: A Global StudyThe square-root-of-time scaling method uses daily volatilities to estimate value at risk (VaR) over long periods. The authors ...The Impact of Illiquidity and Higher Moments of Hedge Fund Returns on Their Risk-Adjusted Performance and Diversification PotentialMany investors evaluate investment strategies using mean–variance optimization, which assumes that returns are normally ...A Bayesian Approach to Detecting Nonlinear Risk Exposures in Hedge Fund StrategiesThe authors develop a Bayesian threshold model to analyze hedge fund risk characteristics. The model allows for dynamic nonlinear ...Quant SurveyorsThe author reports that computer-driven and systematic quantitative investment portfolios can achieve transparency and integrated ...Long Live Quantitative Models!Rather than reject quantitative models, we should take more care to apply them thoughtfully.A Practical Guide to Risk ManagementManaging risk is at the core of managing any financial organization. Risk measurement and quantitative tools are critical aids ...Consideration of Trends in Time SeriesThe authors provide working definitions of trends found in economic time series. They show how these definitions can be used to ...The Impact of Skewness and Fat Tails on the Asset Allocation Decision The authors modeled the non-normal returns of multiple asset classes by using a multivariate truncated Lévy flight distribution ...'P' versus 'Q': Differences and Commonalities Between the Two Areas of Quantitative FinanceAn introductory summary to the various methods used by the sell side and buy side to model securities in discrete and continuous ...Squeeze Play Vertin Award recipient Roger Clarke explains why quantitative models broke down as a result of the credit collapse and how ...The Moving Average Ratio and MomentumThe author examines the predictive ability of the moving average ratio (MAR) for future returns. He discovers that the predictive ...Expected Volatility, Unexpected Volatility, and the Cross-Section of Stock ReturnsThe authors decompose idiosyncratic volatility into an expected component and an unexpected component and study the relationship ...Identifying Sources of Correlation in Global Equity Portfolios One challenge for global equity managers is keeping track of correlations between the sources of risk in their portfolios. In the ...Principles of Finance with ExcelThis book integrates principles of finance with Excel. Designed for classroom use, it bridges the gap between theory and practice ...Simulating Security Markets in Dynamic and Equilibrium ModesAn asynchronous discrete-time model run in “dynamic mode” can model the effects on market prices of changes in strategies, ...Does Simple Pairs Trading Still Work?Despite confirming the continuing downward trend in profitability of pairs trading, this study found that the strategy performs ...The Myth of Diversification Diversification is one of the pillars of asset allocation. The authors argue, however, that investors typically assess ...Share Repurchases and Stock Valuation Models The authors examine the impact of stock repurchases on stock valuation models. They find that valuation estimates derived from ...Rethinking Risk Management Hedge fund managers are reevaluating risk management in the wake of the financial crisis. The reliance on traditional ...The Use and Misuse of Models in Investment Management Financial models can be extremely helpful in adding disciplined thinking to the investment decision-making process. A failure to ...Time-Series Analysis Ch. 10, Quantitative Investment Analysis, 2nd edition, Richard A. DeFusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, ...Portfolio Concepts Ch. 11, Quantitative Investment Analysis, 2nd edition, Richard A. DeFusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, ...The Use and Misuse of Models in Investment ManagementFinancial models can be extremely helpful in adding disciplined thinking to the investment decision-making process. A failure to ...The Fed Model: The Bad, the Worse, and the Ugly The Fed model is a valuation tool that is widely used and quoted by financial practitioners. The model compares the forward ...What Will the Likely Range of My Wealth Be? The median is often a better measure than the mean in evaluating a portfolio’s long-term value. The standard plug-in estimate of ...Can You Hear Me Now?Quants are learning difficult lessons about communication.The Heretics of Finance: Conversations with Leading Practitioners of Technical Analysis (a review)The technicians featured in this book come across as sincere in their belief that the patterns of past price movements contain ...Optimal Rebalancing: A Scalable SolutionDrift from optimal portfolio weights that were determined by using mean–variance analysis is a common problem ...What Will the Likely Range of My Wealth Be? The median is often a better measure than the mean in evaluating a portfolio’s long-term value. The standard plug-in estimate of ...The International Library of Financial Econometrics Series (a review)This five-volume set of 114 articles, edited by the prominent financial economist Andrew Lo, brings together many of the most ...ModelsThis article analyzes the methodology of modeling in the physical sciences and in finance. Whereas hobbyists’ models ...Investing Separately in Alpha and Beta (corrected May 2009) By analyzing the small avalanche of white papers, journal articles, books, and other sources of information on alpha–beta ...A Quantitative Approach to Tactical Asset AllocationThis paper discusses how to improve risk-adjusted returns across different asset classes using a simple moving average timing ...Models This article analyzes the methodology of modeling in the physical sciences and in finance. Whereas hobbyists’ models aim for ...The Second Moment This brief article discusses the statistical “second moment” that measures the variability in a distribution. Over the years, ...Challenges in Quantitative Equity Management (corrected July 2008) Quantitative equity management has mushroomed recently and now represents a respectable fraction of equity asset management. But ...Is Conventional Financial Planning Good for Your Financial Health? Economics teaches that households save, insure, and diversify in order to mitigate fluctuations in their living standards over ...Session 3 Comments by John Turner Kotlikoff challenges standard approaches to financial planning software, particularly the requirement that investors choose a ...Session 3 Comments by George Chacko Kotlikoff does a good job of applying the concept of dynamic programming to retirement planning. But his program and the ...Pioneers of Financial Economics, Volume 2: Twentieth-Century Contributions (a review)In this volume of financial history, a variety of authors describe how science and practice evolved in the 20th ...Further Evidence on Hedge Fund Return PredictabilityIn the literature, little attention has been given to the predictability of hedge fund returns. The authors examine this ...Profitability, Investment and Average ReturnsIn this article, the authors develop empirical models to explain the effects of companies’ profitability and investment on stock ...Quantitative Research in Fixed-Income Portfolio ManagementQuantitative research is a great addition to an investment process. It is complementary to fundamental ...Applied ScienceA look at how three firms have jump-started their quantitative investment processes.Measuring Historical VolatilityThe authors investigate the use of the mean absolute deviation to forecast future volatility. Despite being so simple to ...Perpetual MotionA new study looks at trends in quantitative equity portfolio modeling. This article includes a sidebar written by Intertek Group ...Neural Networks in Finance: Gaining Predictive Edge in the Markets (a review)This excellent handbook addresses the criticisms of neural networks, shows how the technique can be resurrected to solve ...Quantitative Management of Bond Portfolios (a review)Offering clear, empirically based solutions to many of the practical challenges of running a bond portfolio ...Quantitative Investment Analysis, Second EditionThis globally relevant guide will help you understand quantitative methods and apply them to today's investment process. Topics ...Analysis of Financial Time Series (a review)This useful, clear, concise book not only addresses time series as they arise in finance but also has an applied focus, covers a ...Incorporating Trading Strategies in the Black-Litterman Framework“Optimal” portfolios may be anything except optimal. Estimation errors are common both for expected returns and for the ...Quantitative Techniques in Stock Selection and Portfolio ManagementThe stock selection and portfolio construction processes used by nonquantitative investors can be enhanced ...Optimal Rebalancing for Institutional PortfoliosInstitutional money managers identify target portfolio weights based on the client’s utility function and market conditions. Over ...Trends in Quantitative FinanceThis introduction to recent developments in modeling equity returns provides a plain-English, formula-free review of quantitative ...Baby StepsThis article addresses the following key points: • Neural networks expand AI (artificial intelligence) capabilities by capturing ...A Factor Approach to Asset AllocationThe authors contend that an additional set of global market factors can be used to further diversify a global portfolio's risk ...Fischer Black and the Revolutionary Idea of Finance (a review)The tale of Fischer Black’s life, with all its eccentricities, is marvelously told in the weaving together of two stories—the ...Trends in Quantitative Finance This introduction to recent developments in modeling equity returns provides a plain-English, formula-free review of ...Trimability and Fast Optimization of Long–Short PortfoliosOptimization of long–short portfolios through the use of fast algorithms takes advantage of models of covariance to simplify the ...The Oxford Guide to Financial Modeling: Applications for Capital Markets, Corporate Finance, Risk Management, and Financial Institutions (a review)Through steady and consistent writing, the authors deliver a unified approach in a single volume to a subject that covers all of ...Optimal Hedge Fund AllocationsThe returns of many hedge fund investment styles are not normally distributed; they have negative skewness and excess kurtosis. ...The Present and Future of Empirical FinanceMore and more data, greatly increased computing power, a rising number of research enthusiasts, an increased number of finance ...The Present and Future of Empirical Finance More and more data, greatly increased computing power, a rising number of research enthusiasts, an increased number of finance ...The Present and Future of Empirical FinanceMore and more data, greatly increased computing power, a rising number of research enthusiasts, an increased number of finance ...New Kids on the BlockQuantitative models and techniques have played a growing part in the investment management process over recent years and, ...Active Risk and Information RatioActive managers must contend with the active risk (essentially, the tracking error of the risk model) of their strategies. The ...Practical Issues in Forecasting VolatilityA comparison is presented of 93 studies that conducted tests of volatility-forecasting methods on a wide range of financial asset ...Trends in Quantitative Asset Management in EuropeEuropean asset management firms have increased their use of quantitative models with improved model ...Optimal Active Risk Budgeting ModelA fund manager allocating capital to active managers across and within different asset classes must manage ...Risk and Volatility: Econometric Models and Financial PracticeTime Series Analysis, Cointegration, and ApplicationsThe Power of TenMathematical models for investing have evolved from their earliest days as academic research tools to become ...Practical Issues in Forecasting VolatilityA comparison is presented of 93 studies that conducted tests of volatility-forecasting methods on a wide range of financial asset ...Principles of Financial Engineering (a review)This readable, wide-ranging, practical, and wise book introduces the entire field of financial engineering and covers it in a ...My Life as a Quant: Reflections on Physics and Finance (a review)This invaluable first-hand account of the quantitative revolution in finance since the 1980s recaps the main intellectual ...Using the WACC to Value Real OptionsUse of the weighted-average cost of capital (WACC) in real-option valuation is an alternative to using risk-neutral real-option ...The Stochastic Programming Approach to Asset, Liability, and Wealth Management All individuals and institutions face asset/liability management problems on a continuous basis. In this Research Foundation ...Stochastic CalculusLearn about stochastic calculus in relation to asset pricing in this presentation from the University of Chicago. Intra-Horizon RiskIntra-horizon risk is the risk of violating a minimum threshold at any point within an investment horizon rather than simply at ...Improved Forecasts of Higher-Order Co-moments and Implications for Portfolio SelectionThe authors introduce improved estimators for higher-order moments/co-moments of asset returns and discuss the implications in ...Quantitative Methods Used in Managing Credit RiskA Society of Actuaries panel discussion transcript provides a thorough overview of quantitative methods used to evaluate the ...The Reign of Robots May Be Closer Than You ThinkA recitation of recent research results regarding high frequency trading. Ray Dalio: Man and Machine – The Economic Ideas of the World’s Most Successful Hedge-fund BossThe Economist interviews Ray Dalio about his economic model for understanding the world. Forensic Techniques are Subject to Human BiasA reminder of the limitations of science in determining absolute proof in a rigorous setting: criminal trials. ...Predicting Performance in Basketball: the Elephant on the CourtA basketball talent executive discusses why it is very difficult to use past statistics to make predictions about the future. Analytical Trend Troubles ScientistsA cautionary tale about use of quantitative methods as they sometimes obscure qualitative research choices. ...Are Stocks Really Less Volatile in the Long Run?Annualized volatility of stock returns is widely thought to be lower over long horizons than over short horizons, due to mean ...The Flaws of Finance Watch an archive of James Montier's conference session in which he discusses: How bad models, bad behavior, bad ...Optimizing Retirement PortfoliosThomas M. Idzorek, CFA, investigates various approaches for optimizing retirement portfolios by choosing strategies to mitigate ...New Tool for Bond Managers: Leveraging on Equity Market Analysis to Outperform? (Take 15 Series)Dan diBartolomeo discusses how bond managers can leverage information in equity markets to improve performance. The Take 15 ...New Tool for Bond Managers: Leveraging on Equity Market Analysis to Outperform? (Take 15 Series)Dan diBartolomeo discusses how bond managers can come out of the "silo" and leverage information implicit in the equity ...Time Value of Money: The Essence of Securities Valuation In today’s world of complex structured securities, valuing these securities can seem a daunting task. However, if one stands ...Exploiting the Volatility Anomaly in Financial MarketsHarindra de Silva, CFA, discusses the exploitation of the volatility anomaly in financial markets through evidence, minimum ...Evaluating Performance Attributions and New Models to Measure Risk (Take 15 Series) Carl R. Bacon, CIPM, a performance measurement specialist, discusses the evolution of performance attribution, the latest ...Managing Volatility of Emerging Markets Bud Haslett, FRM, CFA, and Matthew T. Moran present an overview of implied and historic volatilities for key emerging markets, ...Lower Volatility and Higher Yield with Options (Take 15 Series) Matthew T. Moran discusses using options and futures to manage risk and improve income. The Take 15 Series is a series of short ...The Impact of Skewness and Fat Tails on the Asset Allocation DecisionThe recent financial crisis revealed weaknesses in traditional portfolio construction techniques. James Xiong, CFA, and Thomas M. ...Is the Endowment Model Shifting?Changes to the endowment model and related risk management practices since the financial crisis are the focus of this panel ...Reflections on Decision Making and CounterintuitionMichael J. Mauboussin discusses the role of technical competence, “counterintuition,” and the application of multiple mental ...Relative Valuation: Improving the Analysis and Use of MultiplesAswath Damodaran presents an approach for analyzing and using multiples (e.g., price-to-earnings and enterprise-value-to-EBITDA ...Warning: Physics Envy May be Hazardous to Your WealthIn the context of financial crisis, Andrew Lo explains the problem with what he calls "physics envy," the false sense ...Liquidity Risk AnalysisIn this webcast, Erin Abouzaid discusses the following: The importance of being compensated for illiquidity when investing ...Customized Asset Allocation and Implementation for Private Clients I This session outlines some of the unique features of private clients that deserve special attention from wealth managers. It ...Customized Asset Allocation and Implementation for Private Clients II Adapting academic theories to the more challenging tasks of managing private money, Jarrod Wilcox, CFA, will provide a practical ...From Beta to Exotic Beta to AlphaIn this webcast, Robert B. Litterman discusses the following: Optimizing the spectrum of return sources to achieve a ...Alpha vs. Beta and Other NonsenseIn this webcast, Jason MacQueen discusses the following: Myths that obfuscate our thinking about the realities of active ...Certificate in Quantitative Finance - OnlineThe Certificate in Quantitative Finance (CQF) is a six-month part-time course for individuals working in, or intending to move ... Conversation on Twitter Loading ... Continuing Education Progress CFA Members, log in to record credits towards your continuing education. Annual recommended minimums:20 CE, including 2 SER. Manage Your CE Credits CeDiarySummary Most Viewed Value at Risk and Conditional Value at Risk: A Comparison Breadth, Skill, and Time The Flaws of Finance Top Rated Liquidity Risk Analysis The Impact of Skewness and Fat Tails on the Asset Allocation Decision Relative Valuation: Improving the Analysis and Use of Multiples Looking for Something Specific? Search our library for more on quantitative methods Subscribe to quantitative methods content Access our CFA Institute content specialists