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3/21/2019
When: Thursday, March 21, 2019


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Location: 

AB
1345 Avenue of the Americas 

New York, NY 10105

 

Date & Time:

March 21, 2019

8:30 a.m. - 4:30 p.m.

Conference Agenda

 

8:30 a.m. Registration & Breakfast

 

8:45 a.m. Conference Welcoming by MSCI

 

9:00 – 10:00 a.m. Ron Alquist, AQR - “Fact, Fiction, and the Size Effect. Examine the multitude of size effect   and aim to clarify some of the misunderstanding surrounding it by performing simple tests using publicly available data.”


10:00 – 11:00 a.m. Lira Mota, PhD Candidate at Columbia Business School - “Hedging out unpriced risk in factor portfolios”

11:00 – 11:15 a.m. Break

11:15 – 12:15 p.m. Igor Halperin, NYU Tandon School of Engineering -  “Inverse Reinforcement Learning and Reinforcement learning models. How they differ from traditional financial models and how to incorporate them with portfolio optimization techniques.”

12:15 – 1:00 p.m. Lunch

1:15 – 2:15 p.m. Jennifer Bender, State Street Global Advisors - “Asset Allocation vs. Factor Allocation- Can we build a unified Method? (Published in the December 2018 Journal of Portfolio Management)”

2:15 – 3:15 p.m. Stefano Giglio, Yale SOM -  “Hedging macroeconomic and financial uncertainty and volatility. Pricing of shocks to uncertainty and realized volatility using options contracts directly related to the state of the macroeconomy and of financial markets”

 

3:15 – 3:30 p.m. Break

 

3:30 – 4:30 p.m. Huseyin GulenKrannert Graduate School of Management at Purdue University -  "Extrapolation Bias and the Predictability of Stock Returns by Price-Scaled Variables"

 

4:30 p.m. – Conference Closing 

 

 

 Click Here to View Speaker Biographies & Abstracts 

Registration Rates

 

Member - $495

Student/Transitional Member - $250

Non-Member - $595
Non-Member Affiliate - $545

 Sponsored By:                     

 

 

 

 

 

Click Here to become a member and receive your discount for this event! 


Follow these steps to become a member and sign up for this event:

1) Join the SQA email list or join SQA as member

2) Validate email

3) Register for event (and see relevant pricing)

 

 

Please contact the office at admin@sqa-us.org or 518-694-3157 if you would like to register over the phone

 

*Cancellations must be made 48 hours in advance if you are requesting a refund. 

 

 

 

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