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When: Thursday, March 21, 2019

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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

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Please contact the office at 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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