Agenda

Asset Allocation & Supporting Risk Analysis
March 22 – 24, 2020

Sunday, March 22nd – Sunday Dinner
University of California San Diego
The Village / North Campus
15th floor, – Room 15-A and 15-B Tower West, Building 1
2202 Scholars Drive North, La Jolla, CA

5:30pm  – Reception / 6:00pm Dinner
7:00pm – Harry Markowitz Award Ceremony 
7:15pm  – Harry Markowitz, Keynote Speaker
Outperformance

Monday, March 23rd – General Sessions
University of California San Diego
The Village / North Campus
Building 2, Village West Room 2A – Room 2-C
2202 Scholars Drive North, La Jolla, CA

9:00am – 10:15am  – Andrew Lo, Massachusetts Institute of Technology
Discussant:  Jeffrey Bohn, SwissRe Institute

10:15am – 10:45am  – Refreshment Break

10:45am – 12:00pm  – t.b.d.

12:30pm – 1:30pm  – Lunch Talk – Robert Hillman, Neuron Capital and Kenneth Blay, Invesco

1:30pm – 2:00pm  – Refreshment Break

2:00pm – 3:15pm  – Vineer Bhansali, Longtail Alpha
Asset Allocation In Uncharted Territory: Investment and Risk Management In a World Of Negative Yields
Discussant:  Arthur Han, Capital Group

3:15pm – 3:45pm  – Refreshment Break

3:45pm -5:00pm  – Joey Engelberg, University of California San Diego
Are Cross-Sectional Predictors Good Market-Level Predictors?
Discussant: Alison Li, CalPERS

5:00pm  – Reception

Tuesday, March 24th– General Sessions
University of California San Diego
The Village / North Campus
Building 2, Village West Room 2A – Room 2-C
2202 Scholars Drive North, La Jolla, CA

8:00am – 9:00am – Breakfast

9:00am – 10:15am  – Mark Kritzman, Windham Capital Management
Scenarios, Recessions and Regressions
Discussant: Michael Melvin, University of California San Diego

10:15am – 10:45am  – Refreshment Break

10:45am – 12:00pm – Nicholas Savoulides, Invesco
Multi-Period Portfolio Selection: A Practical Simulation-based Framework
Discussant:  Robert Michaud, New Frontier Advisors

12:30pm – 1:30pm – Lunch Talk – Marty Leibowitz, Morgan Stanley
Success Probabilities versus Key investment Goals