Our focus is on providing portfolios designed to minimize downside risk in all macro enviroments. This has lead us to explore the use of full scale optimization using nonlinear utility.
Distribution forecasts conditional on macro environment
Forecasting R&D
The forecasts are for the entire distribution, and consequently require robust methods of estimating. Kiema employs a method that allows for cross sectional and time series dependence seen in the data.
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Northfield held their annual London research conference at Vinopolis on the 7th of November.
I presented some results from my working paper on downside risk.
A link to the presentation is available from Northfield here.