http://www.qwafafew.org/boston-20090519
Next Boston QWAFAFEW Meeting: Tuesday, 19 May 2009
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
[call 617-536-4630 for directions]
RSVP to Boston@QWAFAFEW.org
a QWAFAFEW discussion led by Jarrod W. Wilcox / Wilcox Investment
Title: Discretionary Wealth Meets Bayesian Logic
The discretionary wealth approach derives an appropriate risk aversion parameter from an extended balance sheet including present values of future financial commitments and sources of contribution to the investment portfolio. It assumes the goal is long-run maximization of median wealth without hitting intermediate shortfall points. In this, it supplies the missing risk aversion parameter for conventional Markowitz mean-variance optimization. But what if we instead marry this approach with portfolio optimization according to fully-Bayesian logic? The ensuing exploration illuminates the portfolio construction problem and appears to provide better answers for difficult cases such as long-short portfolios. It also opens the door to a comprehensive treatment of uncertainty in proper risk aversion stemming from challenges such as longevity risk.
The paper can be found here on the QWAFAFEW website.
Guest fee for attendance is $30. Members attend at no charge. If you are not yet a member or have not paid your dues lately, you may pay your annual dues of $150 (your membership year starts on the day you pay). You may bring cash or a check for either amount ($150 or $30) made out to "QWAFAFEW" and give it to our Treasurer, Hugh Crowther. Please let us know if you intend to come to the meeting. Walk-ins are always welcome; still, we greatly appreciate all RSVPs so that we can have adequate food and drink on hand. Help needed. We are always in need of people to arrive early for the meetings to help set up the seating and refreshments. If you are willing to help out please contact Hugh Crowther.
2009 Boston QWAFAFEW Schedule
(names are Steerage Committee members in charge of the program)
2009
June 16 Evan Schulman
July 21 Jarrod Wilcox
August 18 Dan Rie
September 15 Mark Kritzman
October 20 John Minahan
November 17 Dan diBartolomeo
December 15 John Nagorniak
One member of the Steerage Committee is responsible for coordinating each meeting.
Program suggestions from members are always welcome. Hugh Crowther (Treasurer) and Donna Murphy also serve in an advisory capacity on our Steerage Committee.
RSVP to: Boston@QWAFAFEW.org
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