Event details
6th Annual Conference on Advances in the Analysis of Hedge Fund Strategies
Date: 14 December 2011
Venue: Imperial College London
Organiser: Dr Robert Kosowski
Programme
6th Annual Conference on Advances in the Analysis of Hedge Fund Strategies
Keynote speaker
Pedro Santa-Clara (Universidade Nova de Lisboa – NOVA School of Business and Economics and NBER)
Other speakers
- Mehmet Saglam (Graduate School of Business Columbia University)
- Hao Zhou (Federal Reserve Board, Washington DC),
- Andrea Vedolin (London School of Economics),
- Worrawat Sritrakul (Imperial College Business School),
- Nikolaos Panigirtzoglou (Global Asset Allocation and Alternative Investments, JPMorgan)
- Pasquale Della Corte (Imperial College Business School),
- Pierluigi Balduzzi (Boston College).
Papers
Copies of the papers presented at the workshop can be found below:
Session 1
Mehmet Saglam (Graduate School of Business Columbia University), Dynamic Portfolio Choice with Transaction Costs and Return Predictability: Linear Rebalancing Rules
Keynote speaker: Pedro Santa-Clara (Universidade Nova de Lisboa – NOVA School of Business and Economics and NBER), Optimal Option Portfolio Strategies
Session 2
Hao Zhou (Federal Reserve Board, Washington DC), Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence
Andrea Vedolin (London School of Economics), Bond Variance Risk Premia
Session 3
Worrawat Sritrakul (Imperial College Business School), Incentives and Endogenous Risk Taking: Implications for Hedge Fund Alphas
Session 4
Pasquale Della Corte (Imperial College Business School), (Why) Does Order Flow Forecast Exchange Rates?
Pierluigi Balduzzi (Boston College), Economic Risk Premia in the Fixed Income Markets: The Intra-day Evidence