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TZID:Europe/Zurich
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UID:68@zqfa.ch
DTSTART;TZID=Europe/Zurich:20260521T183000
DTEND;TZID=Europe/Zurich:20260521T220000
DTSTAMP:20260427T152516Z
URL:https://www.zqfa.ch/events/zqfa-meetup-44/
SUMMARY:ZQFA Meetup #44: Regularized Multi-Currency Expected Shortfall Port
 folios
DESCRIPTION:We are very happy to invite you to the second ZQFA Meetup this 
 year. It is our great pleasure to announce our guest speaker\, Dr. Patrick
  Matei Lucescu. In this meetup\, our guest will guide us through his recen
 t research.\n\nDr. Patrick Matei Lucescu\nTopic: "Regularized Multi-Curre
 ncy Expected Shortfall Portfolios"\nAbstract: This paper introduces a regu
 larized optimization framework for multi-currency asset allocation under e
 xpected shortfall. We consider two optimization approaches: the industry-s
 tandard currency overlay\, which separates asset allocation and currency h
 edging into sequential steps\, and a joint optimization framework that int
 egrates both decisions simultaneously. To address the known instability of
  expected shortfall minimization\, we introduce regularization techniques 
 that promote sparsity and shrinkage\, improving numerical stability and ou
 t-of-sample performance. The models are evaluated empirically through a ba
 cktesting framework that incorporates transaction costs in both assets and
  currencies. The results show that both approaches consistently deliver lo
 wer portfolio risk and higher risk-adjusted returns compared to unregulari
 zed and naive benchmarks. Furthermore\, the joint optimization outperforms
  in a smaller asset universe by more effectively capturing dependencies be
 tween asset and currency exposures\, while the overlay approach is more ef
 fective in a larger universe due to its dimensionality reduction.\n\nThe e
 vent will be hosted at University of Zurich Zentrum\, room KOL-G-217 and w
 ill be followed-up by some beers at bQm.\n\nLooking forward to seeing you 
 at the event!\n\nYour ZQFA-Team
CATEGORIES:Meetup
LOCATION:KOL-G-217\, Rämistrasse 71\, Zurich\, 8006\, ZH\, Switzerland
X-APPLE-STRUCTURED-LOCATION;VALUE=URI;X-ADDRESS=Rämistrasse 71\, Zurich\, 
 8006\, ZH\, Switzerland;X-APPLE-RADIUS=100;X-TITLE=KOL-G-217:geo:0,0
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TZID:Europe/Zurich
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DTSTART:20260329T030000
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