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Dr. Homan Igehy
February 17, 2021 @ 4:15 pm - 5:15 pm
Title: Quantitative Investment and Modern Portfolio Theory
Abstract:
Investment strategies come in many flavors. Quantitative strategies incorporate or fully direct investment based on mathematical models. One of the cornerstones of investment is portfolio management, and modern portfolio theory can serve as a basis for quantitative portfolio management. In this talk, we will discuss quantitative investing and how modern portfolio theory can be incorporated into it. We’ll take an intuitive approach toward understanding modern portfolio theory and discuss how it can (at times, spectacularly) go wrong.
Homan Igehy is a managing director of D. E. Shaw & Co., L.P. and a member of the D. E. Shaw group’s Systematic Futures trading unit. In that capacity, Dr. Igehy contributes to the research and development of forecast models and the technical infrastructure supporting the unit’s research efforts. He joined the D. E. Shaw group in 2003. Dr. Igehy received a B.S. and Ph.D., each in computer science, from Stanford University.
