Consortium for Data Analytics in Risk

Is the hot hand phenomenon real? The shooting records of Splash Brothers Steph Curry and Klay Thompson tell us the answer https://goo.gl/Bpek2W

Join us for our next seminar: John Arabadjis, State Street on April 25 @ 11am in 639 Evans Hall http://bit.ly/2pSxqSq

Tomorrow, 11 am @ UC Berkeley Minimum Conditional Expected Drawdown Portfolios by Alex Papanicolaou. From the abstract:"In this talk, I will present ongoing work aimed at computations for Conditional Expected Drawdown, a recently developed extreme risk measure on maximum drawdown, look at risk-based asset allocation under CED and how it compares with other risk measures, CED risk attribution, and more" http://bit.ly/2o2cLuL

Join us for the Berkeley Statistics Annual Research Symposium (BSTARS) on March 23rd from 1:30pm-8:30pm at The Alumni House, UC Berkeley. We will explore the latest research developments to solve statistical problems encountered in industry. This conference consists of keynote lectures, introductions by PhD students about their thesis work, and presentations of industrial research. More information here: http://statistics.berkeley.edu/bstars-2017

Calling all RESEARCHERS and DATA SCIENCE buffs!! The Berkeley Institute for Data Science - BIDS invites applications for their #DataScience Fellows Program. Join a network of faculty, postdoctoral researchers, students, staff, and alumni connected by the passion to advance data analysis in the research sciences. More info at: https://bids.berkeley.edu//call-fellows%E2%80%94spring-2017

Feb 21, 11am @ UC Berkeley** Paul Kaplan, Morningstar: A Popularity Asset Pricing Model Abstract: This paper presents a formal model for theory of popularity as laid out informally by Idzorek and Ibbotson in their seminal paper, Dimensions of Popularity (Journal of Portfolio Management, 2014). The paper does this by extending the capital asset pricing model (CAPM) to include security characteristics that different investors regard differently. This leads to an equilibrium in... which: 1) The expected excess return on each security is a linear function of its beta and its popularity loadings which measure the popularity of the security based on its characteristics relative to the those of the beta-adjusted market portfolio; 2) Each investor holds a different portfolio based on his attitudes toward security characteristics; and 3) The market portfolio is not on the efficient frontier. I call this extended model the Popularity Asset Pricing Model, or PAPM for short. **CDAR hosts Risk Seminars and other learning opportunities that are free to the public. More info @ http://cdar.berkeley.edu/events/

Feb 14, 11am @ UC Berkeley** Adair Morse, Haas School of Business Abstract: We study investments in impact funds, defined as venture capital or growth equity funds with dual objectives of generating financial returns and positive externalities. Being an impact fund elevates a fund’s marginal investment rate by 14.1% relative to a traditional VC fund, even more for funds focused on environmental, poverty, and minority/women issues. Europeans and UNPRI signatories have sharply ...higher demand for impact. Three investor attributes household-backed capital, mission-oriented investors, and investors facing political/regulatory pressure to invest in impact account for the higher impact demand. In contrast, legal restrictions against impact (e.g., ERISA) hinder 25% of total demand. **CDAR hosts Risk Seminars and other learning opportunities that are free to the public. More info @ http://cdar.berkeley.edu/events/

Feb 7, 11am @ UC Berkeley** UC Berkeley's Kellie Ottoboni speaks on Simple Random Sampling. Abstract: We show, using basic counting principles, that some widely used methods cannot generate all SRSs of a given size, and those that can do not always do so with equal frequencies in simulations. We compare the randomness and computational efficiency of commonly-used PRNGs to PRNGs based on cryptographic hash functions, which avoid these pitfalls. We judge these PRNGs by their ability to generate SRSs and find in simulations that their relative merits varies by seed, population and sample size, and sampling algorithm. **CDAR hosts Risk Seminars and other learning opportunities that are free to the public. More info @ http://cdar.berkeley.edu/events/

The inaugural Artificial Intelligence in Fintech Forum hosted at Stanford School of Engineering is today! Join academic and industry professionals to: - share latest technology advancements and research - discuss use cases and technical trends/challenges... - establish a model for ongoing technical dialog and partnerships Please register for this free event at: https://icme.stanford.edu/events/ai-fintech-forum The bios of the speakers at available at: https://icme.stanford.edu/node/1658

Jan. 17 @ UC Berkeley*** The Tax-Loss Harvesting Life Cycle by Lisa Goldberg, Pete Hand and Alan Cummings of UC Berkeley & Aperio Group. In this talk, we give a historical appraisal of the value of tax-loss harvesting to taxable investors with realized gains in their portfolios. Our study provides insight into the lifecycle of a tax-loss harvesting strategy, which has its youth, midlife, and golden years. ... ***CDAR hosts Risk Seminars and other learning opportunities that are free to the public. More info @ http://cdar.berkeley.edu/events/

November 29 @ 11:00 am - 1:00 pm, 639 Evans Hall at UC Berkeley*** CDAR Co-Director Robert M. Anderson speaks on PCA with Model Misspecification. Principal Component Analysis (PCA) relies on the assumption that the data being analyzed is IID over the estimation window. PCA is frequently applied to financial data, such as stock returns, despite the fact that these data exhibit obvious and substantial changes in volatility. We show that the IID assumption can be substantially... weakened; we require only that the return data is generated by a single distribution with a possibly variable scale parameter. ***CDAR hosts Risk Seminars (open to the public) every Tuesday. For more info, visit: http://cdar.berkeley.edu/fall-2016-risk-seminars/