-- From: "gutmann-center(a)wu.ac.at" <gutmann-center(a)wu.ac.at> -- Reminder - INVITATION The WU Gutmann Center cordially invites you to the forthcoming WU GUTMANN CENTER PUBLIC LECTURE (apologies for duplicated mails!) Date: Tuesday, January 17, 2017 4:00 pm Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Vienna Speaker: Prof. Kent Smetters https://bepp.wharton.upenn.edu/profile/smetters/ Title: "A Sharper Ratio" Abstract Deriving a sufficient statistic for the standard Expected Utility (EU) problem with a risk-free asset and a risky asset following a non-Normal risk distribution has been a problem that has dogged economists since at least Samuelson (1970). This problem is only heightened by modern trading strategies that produce non-Normal returns and where the classic Sharpe Ratio is no longer sufficient. We prove a new lemma about root selection in a complex plane, allowing us to derive a minimal, sufficient statistic that requires less information than the original EU problem. Moreover, we prove that the sufficient statistic transforms non-Normal, non-identical risks into a Normally-distributed function space, while preserving the original EU ordering. As a result, the sufficient statistic supports parametric-based hypothesis testing, which we show is substantially more powerful than non-parametric hypothesis testing required for the EU problem. About Kent Smetters Kent Smetters is the Boettner Chair Professor at the University of Pennsylvania's Wharton School and a Faculty Research Fellow at the National Bureau of Economic Research. His research focuses on applied theory, optimal fiscal policy, personal finance and asset pricing. Previous policy positions include the Congressional Budget Office (1995 to 1998) as well as Deputy Assistant Secretary (Economic Policy) for the United States Treasury (2001-2002). He has published academic articles in leading journals, including American Economic Review, Journal of Political Economy, and The Quarterly Journal of Economics. Kent Smetters received his PhD in Economics from Harvard University. **Please REGISTER**: Mail: gutmann-center@wu.ac.at<mailto:gutmann-center@wu.ac.at> Phone: +43-1-31336-5238 CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien) Department of Finance, Accounting and Statistics Sabina Krickl www.gutmann-center.at<http://www.gutmann-center.at> Please contact gutmann-center@wu.ac.at<mailto:gutmann-center@wu.ac.at> if you do not wish to receive any further invitations from us! One attachment has been removed. Its content type was text/html; charset="iso-8859-1" (13.5 KB)