Registration has been open for a while, but I wanted to point out the pre-conference seminars. Registrations are strong this year, so if you’re interested you’ll need to sign up before they sell out. Register here…
As you probably know by now, the fourth annual R/Finance conference for applied finance using R will be held this spring in Chicago, IL, USA on Friday May 11 and Saturday May 12, 2012. The two-day conference will cover portfolio management, time series analysis, advanced risk tools, high-performance computing, econometrics and more. All will be discussed within the context of using R as a primary tool for financial risk management, analysis and trading.
We had quite a few excellent submissions this year, and have extended the length of the conference this year to accommodate more presentations.
Note that Brian Peterson and I are doing a a one-hour seminar prior to the conference:
Evaluating strategic portfolios of hedge funds
Constructing portfolios of hedge funds presents several challenges, including how to forecast returns and estimate risk over long time frames, and how to make allocation changes while accounting for illiquidity (e.g. redemption constraints). This seminar will present key issues in analyzing and constructing strategic portfolios, with a focus on portfolios of hedge fund investments. We will use optimization approaches to find benchmark, target, and nearby portfolios with a variety of complex constraints and objective sets. We will examine and compare their ex-post and ex-ante results through time and identify the conditions under which they might be expected to do well or poorly. It is our hope that any investor with a complex, layered objective subject to a variety of real-world constraints will find useful components to the approaches presented here.
There are several other very interesting seminars as well, if ours doesn’t strike you as interesting. Chose from:
- Jeff Ryan – “Market Scale Data: An author led tour of xts, xtime, mmap, indexing and more”
- Whit Armstrong – “Deathstar: Seamless Distributed Computing for R”
- Doug Martin – “Robust Risk Measures in Finance”
- Eric Zivot and Guy Yollin – “Time Series Forecasting with State Space Models”
- Dirk Eddelbuettel – “Rcpp and RInside for R and C++ Integration”
Should be another great conference. Hopefully I’ll see you there – make sure to introduce yourself!