In early November, I was honored to speak at the Annual Quant Insights Conference hosted by the Certificate of Quantitative Finance about some of the work and legacy of my father William Ziemba who passed away earlier this year (obit here). Dad was an academic of stochastic programing and financial optimization who applied much of his work to studies of different investment approaches, including in markets most would consider gambling. Thanks to CQF and Wilmott Magazine for providing a community where he could share these insights for almost 20 years.
My presentation “Finding an Edge” Lessons from the work of William T Ziemba, tried to take some greatest hits from his 50+ year career, especially those that resonated with me. Much of Dad’s work focused on identifying markets and investments in which you could find an edge (those where you had an informational value say from calendar anomalies or information asymmetries), figuring out how to scale the bet and then making sure you had sufficient risk control. Execution is always tougher than theory, and he continually tested his work via investing and deploying capital.
I learned a lot about investing from him and from some of our joint work, as well as my own preference to work with companies and policy makers to map and implement strategies to manage macro, market and political risk, rather than trading myself.
The deck and link to the recorded presentation is available below or at these links.