Quantess London is pleased to invite you to the next talk in our seminar series on topics within quantitative finance. This time, Marielle de Jong (head of fixed income quant research at Amundi Asset Management) is speaking about her latest research on “portfolio optimisation in an uncertain world”. Get your tickets here.

Abstract

Mean-variance efficient portfolios are risk optimal only if risk were foreseeable, that is, under the hypothesis that asset price (co)variance is known with certainty. Admitting uncertainty changes the perception. If an unforeseen price shock is deemed possible, risk optimality is no longer synonymous to minimum price variance, but pertains to the diversification in the portfolio as well, for that provides protection against unforeseen shocks.

Generalising Modern Portfolio Theory (Markowitz, 1952) in this respect leads to a double risk objective: minimise variance and maximise diversification. The optimum is attained when the portfolio is in parity, meaning that all assets contribute equally to the overall price variance. In that configuration the probability of incurring an unfavourable price shock, foreseen or not, is minimised.

Marielle de Jong

Marielle de Jong is head of fixed-income quant research at Amundi Asset Management in Paris since 2011. She graduated in econometrics at the Erasmus University in Rotterdam, did an MSc in operational research in Cambridge (UK), and holds a PhD in finance from the University of Aix-Marseille (defended in 2010). She started her career in London in 1994 working for BARRA as a research analysts, and for Quaestor (Yasuda) as an equity fund manager. She moved to Paris in 1997 joining Sinopia (HSBC), where is was vice president of the financial engineering team. Her fields of interest are risk modelling, portfolio construction and bond fund management.