-- 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!
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