Language: English
Speaker: RICHARD GRINOLD, Managing Director , Global Head of Research, Barclays Global Investors
Outline
Dynamic portfolio analysis looks at the portfolio as a moving object to capture the essentials of a long-short investment management strategy. To see the forest rather than the trees requires simplifying assumptions, here a bare-bones two-parameter structure. One parameter measures the rate of information flow and the other the rate of trading in the portfolio. This framework yields informative results to explain the implementation efficiency of the strategy as well as the balance between the cost of trading and the benefit of trading. More significantly, it establishes a link between cause and effect. These notions can be used to engineer strategies, to analyze strategies, and to optimize the operation of strategies.
Speaker
Richard Grinold has served as the Director of Research at Barclays Global Investors since 1994. The group is responsible for active investment strategies of 240 billion US dollars invested in equity, fixed income and asset allocation strategies. Prior to that he was Director of Research and later President of BARRA, a leading global investment technology company.
Richard spent twenty years on the faculty of the School of Business Administration at the University of California, Berkeley. He left Cal in early 1989 to devote full time to his work at BARRA. At Berkeley Richard served, at various times, as Chairman of the Finance faculty, Chairman of the Management Science faculty, and Director of the Berkeley Program in Finance. Richard was a Research Fellow at Harvard in 1968-69, and a Fellow at CORE in Louvain Belgium in 1974. He has served as a visiting professor at HEC near Paris in 1979-1980, and at the Harvard Business School in 1983-1984.
He has published more than fifty papers in academic and professional journals. Some recent efforts are Implementation Efficiency (FAJ), A Dynamic Model of Portfolio Management (JOIM), and Attribution (JOPM).
Richard received his Ph.D. in Operations Research from U.C. Berkeley in 1968. He studied Physics at Tufts University and helped to wire up the Harvard-MIT Cambridge Electron Accelerator.
Registration
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