CLASSROOM DAY
Session Slot: Monday, 10:30 - 11:25
AudioVisual Request: None
Session Organizer: Scott, David W.
Session Title: Classroom Day
1. Statistics and Wall Street: Show Me the Money
Welsch, Roy E., Sloan School of Management, MIT
Address: Massachusetts Inst of Tech 50 Memorial Drive, E53-383 Cambridge, MA 02139-4307
Phone: 617-253-6601
Fax: 617-258-7579
Email: rwelsch@mit.edu
Abstract: This is a Classroom Day lecture and will survey some of the statistical issues that arise in modern finance along with enough finance to understand the problems addressed. Topics: measuring risk and return (are variances and means enough?), value-at-risk (should we forget three sigma?), diversification (what's so great about the covariance matrix?), portfolio optimization and sensitivity analysis (diagnostics), ``beta'' and the capital asset pricing model (why is linear least-squares always best?), and a few words about options. Some possible research topics will be mentioned along with ideas about what a statistician might do on Wall Street (other than get higher pay). Any investment advice will be strictly random.Key Words: finance, risk, value-at-risk, beta, CAPM, portfolio optimization
AudioVisual Request: None