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Resolve's Gestalt University

Dec 23, 2022

Our guest this week was Dr. Andrew Butler, Chief Investment Officer here at ReSolve. He has an Honors B.Sc. in Applied Mathematics & Physics from Memorial University, an M.A. in Applied Mathematics & Statistics, Financial Engineering from York University, and a PhD from the University of Toronto, Department of Mechanical & Industrial Engineering. Our conversation covered:


  • Mentors, studying optimization, machine learning and emulating similarities
  • Comparing methodologies used in calculating oil reserves, with empirical finance
  • Mathematics, known truths, soft axioms and assumptions
  • Data science, tools and hypothesis tests in finance
  • Comparing the definitions of “noise” and different scientific methods
  • Regression types, relationships and features
  • Existing models vs creating models with data
  • Hyperparameters, universes, good decision-making and edges
  • The fallacy of “The Efficient Frontier” in Modern Portfolio Theory
  • Methods that make for good choices, and setting expectations
  • Neural Networks, financial data extraction and optimization science
  • Building complex models, integrating and optimizing predictions, and making decisions
  • Counterintuitive predictions and “explainability” – integrated vs optimized models
  • Optimizing for decision accuracy by minimizing prediction error
  • Using Decision Trees, Ensembles and Boosting
  • Market data and making predictions using de-coupled vs integrated approaches
  • Training models and optimizing, going forward
  • Optimal covariance shrinkage and minimizing error
  • Constrained vs unconstrained mean variance portfolios, de-coupled vs integrated, in a managed futures context
  • The effect of constraints in limiting models from being “different
  • The practical takeaways about integrated solutions for Advisors and Portfolio Managers
  • The value of humility in optimizing for financial markets – knowledge, wisdom and experience
  • Stochastic dominance vs t-tests
  • Time horizons – size matters
  • The Consultant Industry – monthly data vs understanding process
  • And much more


This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global* and Richard Laterman of ReSolve Asset Management Inc.


*ReSolve Global Inc. refers to ReSolve Asset Management SEZC (Cayman) which is registered with the Commodity Futures Trading Commission as a commodity trading advisor and commodity pool operator. This registration is administered through the National Futures Association (“NFA”). Further, ReSolve Global Inc. is a registered person with the Cayman Islands Monetary Authority.