Our services bridge the divide between academic theory and industry practice. We choose to engage in research that will significantly impact the way sophisticated investors manage portfolios. Our affiliation with several prestigious universities helps us to provide our clients with access to the latest innovations in financial theory and practice.
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VIDEOS
Risk Regimes
It has often been shown that volatilities and correlations are unstable. They may differ significantly depending on the sample used to estimate them. This video introduces a method to partition historical returns into those that are associated with quiet periods and those that reflect market turbulence.
Full-Scale Optimization
Many assets and portfolios have return distributions that display significantly non-normal skewness and kurtosis. This video demonstrates an optimization technique that matches investor preferences with these non-normal returns.
Multi-Goal Optimization
Many investors are sensitive to both absolute performance and performance relative to a benchmark. This video introduces an efficient alternative to constrained mean-variance optimization for investors faced with the dual challenge of achieving absolute and relative performance objectives.
Within-Horizon Risk Measurement
Traditional risk measures focus primarily on the distribution of outcomes at the end of the investment horizon. This video describes several shortcomings of end of horizon risk measures and defines two innovative risk measures that consider risk throughout the investment period.
Windham Portfolio Advisor Tour
The Windham Portfolio Advisor is an asset allocation and risk management software suite that is available to sophisticated investors. This video will provide an overview of several unique features and innovations contained in this acclaimed investment suite.