Bloomberg March BBQ

5:30 PM Keynote: Robert Merton Massachusetts Institute of Technology (MIT) Improve Dynamic Stabilization of Portfolio Target Risk Level – Targeted Volatility vs. Targeted Asset Allocation “60-40” , “70-30”, “25-75” …constant proportion dynamic strategies permeate core portfolio strategies of both advisor/individual and institutional investors. Why is there such investment focus on “target” constant asset allocation? In my opening remarks, I will explore a possible explanation and then will call on you to offer alternative explanations. As a superior alternative strategy. I offer “target” volatility, to be held fixed until there is a conscious reason to change it. That is, minimize “unintended” variation in the volatility of the portfolio. This alternative rebalancing rule extends improvement to pre-specified dynamic portfolio strategies more generally. Of course, implementation of this alternative requires forecasting future volatility of the portfolio with sufficient accuracy, which will be discussed. For background, technical depth and other references, please see “Forecasting and Managing Volatility: An S&P 500 Case Study”, W. Dai, X. Hong, R.C. Merton and M. Pellerin, Journal of Investment Management, Vol. 23, No.1 (2025), pp. 1-18. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5013407 6:30 PM Lightning Talks Rudy Morel | Flatiron Institute Can AI Predict Solar Activity? Florian Bourgey | Bloomberg Open Source at Bloomberg Shunan Sheng | Columbia University BAMOT: Bid-Ask Martingale Optimal Transport Dr. S. Yin Ho | Author and Health IT CEO & Entrepreneur Responsible AI in Healthcare