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This seems pretty cool, which probably means that I'm not all that cool. At UVA, Professor Stefano Grazioli has an investing tournament at the end of "Financial Systems Engineering" class.

A team wins the tournament by minimizing their 'tracking error' – the difference, measured weekly (i.e. every seven minutes of tournament time), between the value of their portfolio and a portfolio value target that would reflect an 'ideal' rate of return (2.5 percent).

Many of the 15 teams spent 40 hours or more preparing for the event, said Grazioli. "Virtually everybody that I ask tells me that this is the most complex problem that they have solved in their entire academic career. Not necessarily the hardest, but certainly the most complex — the most data, most moving parts, fastest moving, and so on."

If you run a hedge fund and you return 12% a year, you'll be a millionaire. But if you can return 1% a month, every month with very little deviation, then you'll be a billionaire. Many times over.

Read the whole article. Best line: "About 10 percent of them in the anonymous class comments tell me this is the best class they have taken."

Posted by edelfenbein at April 29, 2008 12:22 AM