The standard portfolio optimization tools assume that we know the future with certainty and can predict the distribution of future returns with pin-point accuracy. In reality it is hopelessly optimistic, and in fact even the past distribution of returns is uncertain. How does this affect the results of portfolio optimization, and what should we do about it?
Robert Carver is an independent systematic futures trader, writer, and a visiting lecturer at Queen Mary, University of London. He is the author of “Systematic Trading: A unique new method for designing trading and investing systems", and "Smart Portfolios: A practical guide to building and maintaining intelligent investment portfolios".
Until 2013 Robert worked for AHL, a large systematic hedge fund. He was responsible for the creation of AHL's fundamental global macro strategy, and then managed the funds multi billion dollar fixed income portfolio. Prior to that Robert worked as a research manager for CEPR, an economics think tank, and traded exotic derivatives for Barclays investment bank. He spent his early career in the Middle East.
Robert has a Bachelors degree in Economics from the University of Manchester, and a Masters degree, also in Economics, from Birkbeck College, University of London.