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Dr. Gueorgui Konstantinov Discusses Factor and Asset Allocation: The Role of Networks and LASSO
Dr. Gueorgui Konstantinov will be speaking about the financial Industry needs for new Methods to model and explain the complex market behavior. The industry is in a state of transition. The Asset Management Industry must avoid over-fitting, and adjust findings for false discoveries. Using machine learning and predictive models, investors can find asset and factor allocation solutions. Implementing LASSO regressions help to derive asset and factor allocation. Network theory and predictive models help to derive portfolio allocation in a new way, which successfully captures economic relationships. However, it is inevitable to evaluate the new strategies in a manner consistent with the requirements in the brave new financial world. Adjusting the Sharpe Ratios and t-Statistics become inevitable in the new set up. The focus in the webinar is in the application of new tools in Investment Management.

The presentation will last approximately 40 minutes followed by 15-20 minutes for Q&A. Session will be recorded, and the recording link will be sent to those who have registered for the webinar.

Jul 16, 2020 11:00 AM in Eastern Time (US and Canada)

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Dr. Gueorgui Konstantinov
Dr. Gueorgui Konstantinov, CAIA, FDP is Senior Portfolio Manager Fixed-Income and Currencies at LBBW Asset Management. He focuses on quantitative fixed-income, multi-asset, foreign exchange, data science and machine learning and has 15+ years of experience in Portfolio management. He has number of publications in The Journal of Portfolio Management, The Journal of Investing, and The Journal of Financial Data Science among others. He serves as a board member of the Editorial advisory board of The Journal Of Portfolio Management. He is a graduate of Vienna University of Economics and holds doctoral degree from Vienna University of Economics, and is both a CAIA and FDP Charter holder.
Keith Black
Managing Director, Content Strategy @CAIA Association
Dr. Keith Black has over twenty-five years of financial market experience, serving approximately half of that time as an academic and half as a trader and consultant to institutional investors. He currently serves as Managing Director of Content Strategy for the CAIA Association. During his most recent role at Ennis Knupp + Associates, Keith advised foundations, endowments and pension funds on their asset allocation and manager selection strategies in hedge funds, commodities, and managed futures. Prior experience includes commodities derivatives trading, stock options research and CBOE floor trading, and building quantitative stock selection models for mutual funds and hedge funds. Dr. Black previously served as an assistant professor and senior lecturer at the Illinois Institute of Technology.