BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Talks.cam//talks.cam.ac.uk//
X-WR-CALNAME:Talks.cam
BEGIN:VEVENT
SUMMARY:Testing the Returns from Black-Box Hedge Fund - Peyton Young\, Uni
 versity of Oxford
DTSTART:20130219T170000Z
DTEND:20130219T180000Z
UID:TALK43203@talks.cam.ac.uk
CONTACT:Sheryl Anderson
DESCRIPTION:Traditional methods for analyzing portfolio returns often rely
  on multifactor risk assessment\, and tests of significance are typically 
 based on variants of the t-test.  This approach has serious limitations wh
 en analyzing the returns from dynamically traded portfolios that include d
 erivative positions\, because standard tests of significance can be ‘gam
 ed’ using options trading strategies.  To deal with this problem we prop
 ose a test that assumes nothing about the structure of returns except that
  they form a martingale difference.  Although the test is conservative and
  corrects for unrealized tail risk\, the loss in power is small at high le
 vels of significance.
LOCATION:Barbara White Room\, Newnham College
END:VEVENT
END:VCALENDAR