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SQA February 8th Seminar w/ Stoyan Stoyanov
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When: Thursday, February 8, 2018
5:30 PM

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SQA February 8th Seminar


Stoyan Stoyanov


February 8, 2018


Thinking defensively while we are still in an economic expansion.


230 Park Avenue
New York, NY


5:30 - 7:30 p.m.


Defensive Portfolio Construction Based on Extreme
Value at Risk

In this article, the authors compare the characteristics of a low-volatility strategy and low-risk strategies based on extreme Value at Risk (eVaR) constructed from a large universe of international stocks in the period from 1995 to 2015. They find that low-eVaR strategies have better risk and performance statistics exhibiting a less-pronounced sector concentration, a common problem in low-volatility portfolios. Although they find no significant differences in the structure of the risk premium conditioned on periods of economic expansions, the authors do find some differences conditioned on times of recessions. However, their analysis cannot explain the improved downside risk profile that remains a strategy-specific characteristic, caused most likely by the more diversified sector allocation. Their findings are robust to variations in the methodology of eVaR calculation.

View Paper Here

Prior to joining College of Business at Stony Brook University as research professor of finance, Dr. Stoyanov was a professor of finance at EDHEC Business School and head of research at EDHEC Risk Institute-Asia. He worked for over six years as head of quantitative research for FinAnalytica, a financial technology firm. He has designed and implemented investment and risk management models for financial institutions, co-developed a patented system for portfolio optimization in the presence of non-normality, and led a team of engineers to implement advanced models for major financial institutions. His research focuses on probability theory, extreme risk modelling and optimal portfolio theory. He has published over thirty articles in journals such as Annals of Operation Research, Journal of Banking and Finance, and the Journal of Portfolio Management, contributed to many professional handbooks, and co-authored four books on probability and stochastic, financial risk assessment and portfolio optimization.


As we enter the 7th year of economic expansion and low volatility it might be hard to think to position portfolios defensively.  Just in case there is an end to this recovery, the SQA offers a seminar on portfolio construction during recessions.



5:30 p.m. Cocktails & Networking

6:00 p.m. Presentation

7:00 p.m.Cocktails & Networking




SQA Members: Regular or Academic - $50
 Transitional or Student - $30
Non-Member Affiliated - $70 (Contact your Affiliate Organization for your discount code)
 Non-members - $90


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1) Join the SQA email list or join SQA as member

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Please contact the office at or 518-694-3157 if you would like to register over the phone

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