Seminar (Zurich) - Thomas Schmelzer - Portfolio Opt, Regression & Conic Prog

This will be a free Zurich event - thanks to Prof. Dr. Markus Leippold, Direktor Master of Advanced Studies UZH in Finance for kindly hosting this event and for Swati Mital for organising. The talk will be at 6.15pm Zurich time. There will also be post-events drinks (location tba).

Full title: Portfolio Optimization, Regression and Conic Programming

Abstract: Using examples from portfolio management and quantitative trading we illustrate the power and flexibility of conic programming. We point to various common mistakes in setting up portfolio models and in solving them algorithmically. Several Python code fragments are given.

Bio

Dr. Thomas Schmelzer is Head of Quantitative Research at a Geneva based wealth manager. He has a PhD. in Mathematics from University of Oxford where he was a Rhodes Scholar at Balliol College. In his previous roles he has held key positions in the UK, Liechtenstein and Switzerland including Senior Researcher at Winton Capital Management and a Quantitative Portfolio Manager at Oxford Asset Management.