SupTech workshop on AI applications in market risk analysis for robo-advisory

25 Nov 2019

The third SupTech workshop was dedicated to AI applications in market risk analysis for robo-advisory. Given the diverse background of participants, we have focused on the explanation of the modern portfolio theory, especially profit maximization and risk minimization techniques in asset portfolios and measures of statistical association for asset allocation and portfolio optimization. We have accompanied the explanation of theoretical concepts with hands-on examples in statistical programming in R. Background session followed by the presentation of several use cases, providing examples on how statistical association techniques and information filtering in association-based networks improve performance of bond and ETF portfolios. We also covered the usage of neural networks in asset management and portfolio optimization. Participants of the workshop praised very accessible explanation of statistical methods even for non-statisticians, the depth of the explanation of theoretical concepts and followed practical examples. Participant also expressed their discontent in the availability of robo-advisory services in Czechia. Only a few firms provide robo-advisory investment solutions in Czechia. However, none of those solutions utilizes advanced statistical methods or even simple portfolio optimization and rebalancing techniques (firms are still on the level of investor profile identification and asset universe selection).

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