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

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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


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


Online registration is available at
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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