KaRmA: Kernel-attuned Risk-managed Alpha

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It is so good to be back at the Mandarin Oriental, of course, but the newness factor in this trip is presenting results of a

new algorithm KaRmA 😏on the Alpha Optimal Combination (AOC 🤷🏽‍♂️) problem to a $4+ Billion Hedge Fund (with many CMU alums from MSCF, ECE, Math etc):

Start spreading the news
I want to be a part of it
New York, New York

If I can make it there
I’ll make it anywhere
New York, New York

My first exposure to this Marvelous Capitalist Universe (MCU 😊) was, not surprisingly, through the movies: 

Wall Street is a 1987 American drama film, directed and co-written by Oliver Stone, which stars Michael Douglas, Charlie Sheen, Daryl Hannah and Martin Sheen. Douglas won the Academy Award for Best Actor, with Douglas’ character declaring that “greed, for lack of a better word, is good.” It has also proven influential in inspiring people to work on Wall Street, with Sheen, Douglas, and Stone commenting over the years how people still approach them and say that they became stockbrokers because of their respective characters in the film.

Box office receipts were $44 million on a budget of budget of $16 million.

I chuckle now when I see the clunky cell phone in the movie, but in 1988, when I was at Bell Labs (Holmdel, which is where I met Paul Glasserman) for a summer internship, I got to have one such phone for a few days, and I was one of the most popular chaps that summer among the interns!

You know that I met Michael Douglas in person when he was filming outside Posner Hall, his character was a fictional CMU Professor in:

Wonder Boys is a comedy-drama film directed by Curtis Hanson. Michael Douglas stars as professor Grady Tripp. The film was shot in Pittsburgh, Pennsylvania, including locations at Carnegie Mellon University. Co-stars include Katie Holmes, Robert Downey Jr., Frances McDormand and Toby Maguire.

You know that I like Cutis Hanson because of:

L.A. Confidential is a  neo-noir crime film directed, produced and co-written by Curtis Hanson. L.A. Confidential was a major critical and commercial success; it grossed $126 million against a $35 million budget and received widespread acclaim from critics, with praise for the acting, writing, directing, scoring and editing. It was nominated for nine Academy Awards, including Best Picture, winning two: Best Supporting Actress (Kim Basinger) and Best Adapted Screenplay; Titanic won in every other category L.A. Confidential was nominated for.

Over the past two decades, I have real-world experience in this Marvelous Capitalist Universe.

Venture Capital (Adams, Neotribe). Private Equity (Commonwealth Capital). Investment Banking (Blackstone, whose Park Avenue offices were oozing in luxury, where I met to hire them as SmartOps’ Investment Bankers). Forex Hedging (Blackrock). Private Wealth (Goldman Sachs).

I suppose it was just a matter of time, inevitable even, that as an Academic Capitalist I would arrive at this truly math + money intersection of

Quantum Computing and Hedge Funds.

Then we went to Madison and Vine for cocktails and chit-chat. From Casablanca:

I think this is the beginning of a beautiful friendship.

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