The JOIM Conference Series showcases high quality presentations and a platform for interactive discussions of current topics in the investment management arena. Prevalent throughout both activities is the highest quality material suitable for academics and practitioners.
May 14 – 15, 2019
NYU Stern School of Business
Kaufman Management Center
44 West 4th St., New York, NY 10012
Retirement Investing / FinTech and Analytics: The State of the Art Part I
The latest and emerging strategies and techniques of retirement investing will be explored. This will highlight developments in such areas as Goal Investing, Robo Investing, and the potential of Big Data and Artificial Intelligence (AI) as a basis for cutting edge approaches to Retirement Investing. Both the academic and practitioner perspectives will be covered. This event is co-sponsored with NYU Stern School of Business and BlackRock. Featured presenters include:
Kyunghyun Cho, New York University
Vasant Dhar, New York University
Rob Engle, New York University
Financial Volatility and Geopolitical Risk
Ben Golub, BlackRock
Non-Monotonic Sequential Text Generation
Standard sequential generation methods assume a pre-specified generation order, such as text generation methods which generate words from left to right. In this work, we propose a framework for training models of text generation that operate in non-monotonic orders; the model directly learns good orders, without any additional annotation. Our framework operates by generating a word at an arbitrary position, and then recursively generating words to its left and then words to its right, yielding a binary tree. Learning is framed as imitation learning, including a coaching method which moves from imitating an oracle to reinforcing the policy's own preferences. Experimental results demonstrate that using the proposed method, it is possible to learn policies which generate text without pre-specifying a generation order, while achieving competitive performance with conventional left-to-right generation.
Marty Leibowitz, Morgan Stanley
The Franchise Earnings Yield
Even in theory, these “franchise opportunities” may be comprised of a highly complex and uncertain structure with multiple future opportunities having various investment magnitudes, different returns, and all across a spectrum of distinct availability times. The specific form of a firm’s franchise structure will play a key role in determining the path and the relative sensitivities of the firm’s price and earnings growth (and hence of the PE’s as well). We refer to the total value of these opportunities as the firm’s Franchise Value (FV). For certain purposes, the FV itself can serve as a sufficient parameter that encompasses much of this complexity described about.
In this paper, the “Franchise Earnings” associated with the FV form the basis of a Franchise Earnings Yield (FEY), which we label g*. Since this g* term is analogous to the standard current earnings based EY, the expected return can be viewed as the sum of two yields -- the standard EY and g*. And, this g* turns out to be just the adjustment needed to bring the standard EY into appropriate alignment for estimation of the expected return and the risk premium.
Ananth Madhavan, BlackRock
Innovation in Retirement and the Role of Research
The most successful financial innovations – including indexing – have deep roots in academic research. Aging populations and lack of savings imply a huge potential opportunity for disruptive innovation in retirement solutions driven by new research. This talk focuses on how technology and data science intersect to drive new innovation in the retirement space including factor glide paths, smart decumulation using analytics, and overcoming behavioral biases. An important focus for the discussion is robo-advising, which lies at the intersection of asset management, retirement solutions, and fintech. We will also emphasize the difference between the private and social benefits from financial innovation.
Seth Merin, Liquidnet
Save the date
Fall JOIM Conference
September 8-10, 2019 / MIT Campus
Retirement Investing: The State of the Art Part II
The line-up of presentations will include the Keynote address by Robert Merton of the MIT Sloan School of Management and Nobel Laureate in Economic Sciences and Zvi Bodie, Bodie Associates. This event is co-sponsored with the MIT Sloan Finance Group and MIT Golub Center for Finance and Policy.
For more information as well as hotel accommodations and Fall 2019 conference registration, please click HERE