Agenda
Asset Allocation & Supporting Risk Analysis
March 22 – 24, 2020
Sunday, March 22nd – Sunday Dinner
Rady School of Management, University of California San Diego
Village 15 A-B, 15th floor, Village West, Building 1
2202 Scholars Drive North, La Jolla, CA
5:30pm – Reception / 6:00pm Dinner
7:00pm – Harry Markowitz, Keynote Speaker
Outperformance
Monday, March 23rd – General Sessions
Rady School of Management, University of California San Diego
Multipurpose room 2S117, 2nd floor, south, Otterson Hall
9500 Gilman Dr., La Jolla, CA
9:00am – 10:15am – Andrew Lo, Massachusetts Institute of Technology
Discussant: Jeffrey Bohn, SwissRE
10:15am – 10:45am – Refreshment Break
10:45am – 12:00pm – Richard Bookstaber
12:30pm – 1:30pm – Lunch Talk – Robert Hillman 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
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?
5:00pm – Reception
Tuesday, March 24th– General Sessions
Rady School of Management, University of California San Diego
Multipurpose room 2S117, 2nd floor, south, Otterson Hall
9500 Gilman Dr., 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
12:30pm – 1:30pm – Lunch Talk – Marty Leibowitz, Morgan Stanley
Success Probabilities versus Key investment Goals