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Focused upon:
1. Performance measurement, especially upon the difficult problem of calculating the weight and return of a component of a fund that is traded during a day and settled after the close. This includes the problem of linking across days the returns of traded instruments that are long some days and short others.
2. Ex post decision attribution both for performance and for all risk measures, based upon generalized decision trees. And the feedback of decision evaluation back into the construction of the investment process.
3. The generalization of averaging to difficult cases such as to the annualization of the arithmetic difference of geometrically linked returns, and related risk measures.
I am interested in
Speaking engagements, Consulting offers
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