Stochastics & Finance seminar: James & Menzies -- Diversification benefits of random portfolios of different spread and size

Dear All, 

You are kindly invited to attend the next Stochastics and Finance seminar.  On Tuesday
March 28 at 2pm, Nick James and Max Menzies will give a talk on zoom.  

Zoom link: https://uni-sydney.zoom.us/j/84240252220 

Speaker: Max Menzies (Tsinghua University) and Nick James (University of Melbourne) 

Title: Diversification benefits of random portfolios of different spread and size 

Abstract: There has been a wealth of recent literature that has analysed financial
market structure, particularly correlation, as it changes over time.  Researchers have
frequently noticed both market and sector effects, and have even filtered the principal
components of the correlation matrix to find stock groups.  First, we study several
time-varying quantities that investigate collective behaviour and structure, with a
focus on market sectors.  Then, motivated by several practical considerations, we
investigate the diversification benefits of randomly sampled portfolios with a focus on
total size and spread across different sectors.  

https://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html 

Please feel free to forward this message to anyone who might be interested in this
talk.  

Best wishes, 

Anna