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May Luncheon

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Statistical approaches for constructing investment portfolios


Abstract
Investment decisions about assembling investment portfolios usually lean heavily on the statistical representations of asset behavior. How can an investor better understand the specific trade-offs they make when they specify their investment objectives and constraints? Mr. Carl will discuss a variety of approaches to portfolio construction within the context of portfolios of dynamic strategies. The speaker will identify several sets of objectives to establish benchmark, target, and nearby portfolios, including some that equalize or budget risks using downside measures of risk. He will discuss advantages and disadvantages of heuristic and closed-form methods, and will show how to build intuition about optimization through visualization.

Any investor with complex, layered objectives and who is subject to a variety of real-world constraints may find useful elements in the methods presented.


Peter Carl, William Blair Hedge Fund Strategies
Peter is a portfolio manager and member of the Investment Committee for William Blair Hedge Fund Strategies. He conducts manager research and is responsible for portfolio construction and risk management. Mr. Carl joined Guidance Capital in August of 2006 and was responsible for hedge fund manager research and was a member of the firm's Investment Committee when William Blair acquired the firm in 2011. Previously, Peter had been Chief Operating Officer of Explorer Fund Advisors, where he developed and launched a quantitative global macro hedge fund.

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