Machine Learning for Diversified Portfolio Construction - Gerald Morrison

Title: Machine Learning for Diversified Portfolio Construction

Abstract: "Diversification is the only free lunch in investing."

This phrase was coined in 1952 by Nobel Prize winner Harry Markowitz, the father of modern portfolio theory. In today’s correlated world where there are more EFT’s than stocks in the US stock market, and most portfolio managers are just closet indexers, diversification is more important than ever. Two unsupervised machine learning methods, Principal Component Analysis and Hierarchical Clustering, will be used to identify unrelated assets that are commonly used in traditional portfolios. These diversified assets will be use to construct a simple portfolio and its historical performance will be compared to common benchmarks. Bitcoin will also be examined to see if this new asset class shows diversification when compared to traditional assets.

Speaker: Gerald Morrison

Dr. Gerald Morrison is a data junkie who loves financial markets. He has a PhD in Electrical and Computer Engineering. He has dozens of US patents across several fields. Before joining Clearwater Analytics he was the CTO for a successful semiconductor startup based in Austin Texas. Prior to that, he was the Director of Research at SMART Technologies and was responsible for the development of the core technology for the compa…

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