{"363961":{"#nid":"363961","#data":{"type":"event","title":"DOS Seminar","body":[{"value":"\u003Cp\u003ETITLE:\u0026nbsp; Multi-period portfolio optimization with alpha decay\u003C\/p\u003E\u003Cp\u003ESPEAKER: Kartik Sivaramakrishnan\u003C\/p\u003E\u003Cp\u003EABSTRACT:\u003C\/p\u003E\u003Cp class=\u0022gmail_default\u0022\u003EThe traditional Markowitz mean-variance framework is based on a single-period portfolio model. Single-period portfolio optimization does not use any data and decisions beyond the rebalancing time horizon with the result that that its policies are \u0022myopic\u0022 in nature. For long-term investors, multiperiod optimization offers the opportunity to make \u0022wait-and-see\u0022 policy decisions by including approximate forecasts and long-term policy decisions beyond the rebalancing time horizon.\u003C\/p\u003E\u003Cbr \/\u003E\u003Cp class=\u0022gmail_default\u0022\u003EWe consider portfolio optimization with a composite alpha signal that is composed of a short-term and a long-term alpha signal. The short-term alpha better predicts returns at the end of the rebalancing period but it decays quickly. On the other hand, the long-term alpha has less predictive power than the short-term alpha but it decays slowly. We develop a two-stage multi-period model that incorporates this alpha model to construct the optimal portfolio at the end of the rebalancing period. We compare this model with the traditional single-period MVO model on simulated and realistic backtests and show that the multi-period model generates portfolios with superior realized performance.\u003C\/p\u003E\u0026nbsp;\u0026nbsp;\u003Cp class=\u0022gmail_default\u0022\u003EShort Bio:\u003C\/p\u003E\u003Cp class=\u0022gmail_default\u0022\u003EKartik Sivaramakrishnan is a Senior Research Associate at Axioma where he maintains Axioma\u0027s flagship portfolio optimizer that offers the most flexible construction tool in the market. Kartik is interested in developing second-order mixed-integer portfolio models, and interior point algorithms and associated software for solving these models in a high performance computing environment. He also researches the applications of these models in improving the investment process in practice. Most recently he was involved in developing the NASDAQ-Axioma commodity indexes that track Oil, Gold, and a basket of agricultural products.\u0026nbsp;\u003C\/p\u003E\u003Cp class=\u0022gmail_default\u0022\u003EPrior to joining Axioma, Kartik was a tenure-track Assistant Professor in the Department of Mathematics and affiliated with the Operations Research program at North Carolina State University in Raleigh. Kartik has a Ph.D. in Applied Mathematics from Rensselaer Polytechnic Institute and a Masters degree in Electrical Engineering from the Indian Institute of Science in Bangalore. His research has been published in optimization, OR, and practitioner journals.\u003C\/p\u003E\u003Cbr \/\u003E\u003Cbr \/\u003E","summary":null,"format":"limited_html"}],"field_subtitle":"","field_summary":"","field_summary_sentence":[{"value":"DOS Seminar"}],"uid":"27187","created_gmt":"2015-01-13 16:16:08","changed_gmt":"2017-04-13 21:20:38","author":"Anita Race","boilerplate_text":"","field_publication":"","field_article_url":"","field_event_time":{"event_time_start":"2015-01-21T11:00:00-05:00","event_time_end":"2015-01-21T12:00:00-05:00","event_time_end_last":"2015-01-21T12:00:00-05:00","gmt_time_start":"2015-01-21 16:00:00","gmt_time_end":"2015-01-21 17:00:00","gmt_time_end_last":"2015-01-21 17:00:00","rrule":null,"timezone":"America\/New_York"},"extras":[],"groups":[{"id":"1242","name":"School of Industrial and Systems Engineering (ISYE)"}],"categories":[],"keywords":[],"core_research_areas":[],"news_room_topics":[],"event_categories":[{"id":"1795","name":"Seminar\/Lecture\/Colloquium"}],"invited_audience":[{"id":"78751","name":"Undergraduate students"},{"id":"78761","name":"Faculty\/Staff"},{"id":"174045","name":"Graduate students"}],"affiliations":[],"classification":[],"areas_of_expertise":[],"news_and_recent_appearances":[],"phone":[],"contact":[],"email":[],"slides":[],"orientation":[],"userdata":""}}}