ISRP October 2021 Quarterly Call: Nonlinear, AI-Powered Modeling Framework and Portfolio Applications

Join us for a call with Dr. Sorina Zahan to discuss how multidimensional, nonlinear models—paired with artificial intelligence and advanced simulation techniques—can be used to address many shortcomings inherent in traditional portfolio management.  Such a risk framework also opens the door to an array of never-before-seen applications, a couple of which will be previewed on the call. 

Constant sensitivity to risk may be the costliest assumption hidden in the traditional approach to investing.  Investment risk exposures, or betas, are traditionally measured as single-point estimates of sensitivity, essentially averages. In reality, many investments and most portfolios have nonlinear risk sensitivities. Reliably modeling ex-ante the nonlinearity is essential for improving future performance. When portfolios exhibit negative convexity, the constancy assumption will cause a double error in return estimation, creating  simultaneously an ex-ante overestimation of profits and underestimation of losses. The more negative the convexity, the costlier the double estimation error. 

Directly following Sorina’s presentation, John Lewis from the Annie E. Casey Foundation will share and discuss with ISRP members how the Casey Foundation is incorporating Aiperion’s tools in their risk management process.  

Speaker: Sorina Zahan, Ph.D.

Dr. Sorina Zahan has 30 years of research experience in finance, artificial intelligence, and mathematics, and over 15 years of portfolio management experience. She has published four books and sixty research papers, and has been a speaker and reviewer at various industry conferences. Her current research areas include modeling and pricing heterogeneous risks using sparse data, new practices in portfolio construction and investment monitoring, as well as portfolio optimization in the integrated asset-liability space.

Dr. Zahan is Founder and CEO of Aiperion LLC (www.aiperion.ai), a woman-owned R&D, consulting and technology firm based in Chicago that specializes in risk and uncertainty management. In 2004, she helped establish Core Capital, an alternative asset management firm. As Core’s CIO/managing partner, she has been managing Core’s portfolios and has led all scientific research activities. Previously, she was a Professor at Technical University of Cluj-Napoca, Romania.  Sorina obtained a Ph.D. degree in artificial intelligence in 1997 and holds an MBA from the University of Chicago.