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Advanced Personal Financial Planning Conference 2013


The Impact of Skewness & Fat Tails on Asset Allocation


Jan 21, 2013 11:15am ‐ Jan 21, 2013 12:05pm

Description

The recent financial crisis revealed weaknesses in traditional portfolio construction techniques. This session will discuss the opportunities to more intelligently measure risk and construct portfolios. In particular, Tom will focus on his and James Xiong’s recent FAJ article, The Impact of Skewness and Fat Tails on the Asset Allocation Decision, which describes the way that both skewness and kurtosis affect portfolio performance. He will review how M-CVaR optimization leads to substantially different allocations than do traditional mean-variance optimizations, and how this approach would have been beneficial during the 2008 financial crisis.

Speaker(s):

  • Tom Idzorek, CFA, Chief Investment Officer, Retirement, Morningstar Investment Management, LLC

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