The 19th Annual Workshop on Financial Engineering: Quantitative Asset Management

THIS CONFERENCE IS SPONSORED BY:
         
Gold Sponsor
  Gold Sponsor   Silver Sponsor

The Columbia Center for Financial Engineering is pleased to announce the 19th Annual Workshop on Financial Engineering: the general theme of this year's workshop is Quantitative Asset Management.

Date: Friday, November 9, 2012
Location: Uris Hall, Room 301, Columbia University, New York

Program

8.00 - 8.45 Registration

8.45 - 9.00 Introduction

9.00 - 9.45 Attilio Meucci (Kepos Capital)  
    Title: A Fully Integrated Liquidity and Market Risk Model

9.45 - 10.30 Garud Iyengar (Columbia University, Department of IE & OR)  
    Title: Large Scale Portfolio Selection with Spectral Risk Measures

10.30 - 11.00 Coffee break
 
11.00 - 11.45 Anthony Lazanas (Barclays Capital)
    Title: Investing with Risk Premia Factors: From Theory to Practice

11.45 - 12.30 Marcos López de Prado (Tudor Investment Corporation) 
    Title: The Sharp Razor: Deflating the Sharpe Ratio by asking for a Minimum Track Record Length

12.30 - 14.00 Lunch
 
14.00 - 14.45 Andrew Lo (MIT, Sloan School of Management) 
    Title: Can Financial Engineering Cure Cancer?

14.45 - 15.30 Paul Glasserman (Columbia University, Graduate School of Business)
    Title: Robust Portfolio Control with Stochastic Factor Dynamics

15.30 - 16.00 Coffee break

16.00 - 16.45 Sebastian Ceria (Axioma)  
    Title: Factor Alignment for Equity Portfolio Management
 
16.45 - 17.45 Panel Discussion
    Panelists:    Andrew Alford (Goldman Sachs Asset Management)
                      Nick Baturin (Bloomberg Research)
                      Andrea Frazzini (AQR Capital Management)    
    Moderator:  Ciamac Moallemi (Columbia University, Graduate School of Business)
 
18.00 Reception
 

Registration:

Online registration is available at  http://cfe2012.eventbrite.com/
Early registration is available until November 1st after which regular registration rates will apply. The early (regular) registration rates are:
 
Corporate delegates: $400 ($500) 
Academic: $175 ($200)
Students: $75 ($100)


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