Robert Engle, New York University
Robert Engle, the Michael Armellino Professor of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego. Professor Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets. His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR and now dynamic conditional correlation (DCC) models. He is currently the Director of the NYU Stern Volatility Institute and is the Co-Founding President of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. Before joining NYU Stern in 2000, Professor Engle was Chancellor’s Associates Professor and Economics Department Chair at the University of California, San Diego, and Associate Professor of Economics at the Massachusetts Institute of Technology. Read more ……
Vasant Dhar, New York University
Vasant Dhar is a Data Scientist whose research addresses the following question: when do computers make better decisions than humans? The research is grounded in Artificial Intelligence, Machine Learning, and data big and small. The major problem areas addressed in the research are finance, healthcare, education, business, and sports. In the financial arena, for example, his major question asks whether you should trust your money to a robot.
For example, see: http://online.liebertpub.com/doi/full/10.1089/big.2015.28999.vda.
Similar questions apply in the other arenas. For example, could computers make better teachers than humans? Could they offer valuable healthcare advice to us that experts aren’t able to provide? Could they become valuable assistant coaches? As recently as five years ago, it would have seemed preposterous to think that computers might drive cars better than humans in our lifetime yet driverless cars are here already. Computers are making more and more decisions for us, and increasingly so in areas that require human judgment. How might we leverage the rapid advances in machine intelligence in areas such as finance, healthcare, and education? Professor Dhar teaches courses on Trading Strategies, Prediction, Data Science, and Foundations of FinTech. He also writes on IT-driven transformation such as the one currently driving education, and implications for how firms talk to customers and partners and govern data responsibly. He has written over 70 research articles, funded by grants from industry and the National Science Foundation. He pioneered the use of machine learning for predictive modeling on Wall Street across proprietary systematic trading, risk management, and customer and salesforce management. He is a frequent speaker in academic as well as industrial forums. Professor Dhar received his Bachelor of Technology from the Indian Institute of Technology in Delhi, and his Master of Philosophy and Doctor of Philosophy from the University of Pittsburgh. Read more ……
Ben Golub, BlackRock
Ben Golub is the Chief Risk Officer, co-head of the Risk & Quantitative Analysis Group and a member of the Global Executive Committee of BlackRock, Inc. He is responsible for the investment, counterparty, technology and operational risk of BlackRock and is also the chair of BlackRock’s Enterprise Risk Management Committee. Previously at BlackRock, Dr. Golub was co-head and co-founder of BlackRock Solutions, BlackRock’s risk advisory business beginning in 1995. He is a board member of the Global Association of Risk Professionals, a member of the MIT Sloan School of Management’s North American Executive Board and a member of the MIT Sloan Finance Group Advisory Board. He is also the Chairman of the Advisory Board of the MIT Golub Center for Finance and Policy, and the Chairman of the International Partners Committee of the Asset Management Association of China. Dr. Golub earned an SB in Management in 1978, an SM in Management in 1982, and a PhD in Applied Economics and Finance in 1984, all from the MIT Sloan School of Management.
Martin L. Leibowitz, Morgan Stanley
Martin L. Leibowitz is a Vice Chairman in Morgan Stanley’s Research Department. In addition to chairing the Global Research Quantitative Council, Dr. Leibowitz and his group produce studies on such topics as asset allocation, equity valuation, asset/liability management, and duration targeting. Prior to joining Morgan Stanley in 2004, Dr. Leibowitz was vice chairman and chief investment officer of TIAA-CREF from 1995 to 2004, with responsibility for the management of over $300 billion in equity, fixed income, and real estate assets. Previously, he had a 26-year association with Salomon Brothers, where he became director of global research, covering both fixed income and equities. Dr. Leibowitz received both A.B. and M.S. degrees from The University of Chicago and a Ph.D. in mathematics from the Courant Institute of New York University. He has written over 250 articles on various financial and investment topics and has been the most frequent author published in both the Financial Analysts Journal (FAJ) and the Journal of Portfolio Management (JPM). Ten of his FAJ articles have received the Graham and Dodd Award for excellence in financial writing, and in 2008, a JPM publication was voted the year’s best paper by the Journal’s readers. Leibowitz has written several books with various coauthors. In 1972, his first book, “Inside the Yield Book”, coauthored with Sidney Homer, a distinguished scholar of financial history, became an early standard in the bond field and has gone through 21 re-printings. A 2nd edition was published in 2004 with a foreword by the noted economist Henry Kaufman. In 2013, his recent work on duration targeting and return convergence led to Bloomberg Press publishing a 3rd edition. Leibowitz’s other books include “Investing”, a volume of his collected writings, published in 1992 with a foreword by William F. Sharpe. In 1996, his book “Return Targets and Shortfall Risks” was issued by Irwin Co. In 2004, John Wiley & Co. published “Franchise Value”, a series of studies describing a new approach to equity valuation. In 2008, Mr. Leibowitz co-authored a book “Modern Portfolio Management”, published by John Wiley & Co., which focused on active equity strategies. Another volume, “The Endowment Model of Investing”, co-authored with Anthony Bova and Brett Hammond of TIAA-CREF, was published in 2010 by John Wiley & Co., with Peking University Press then issuing a Mandarin edition in 2012. In January 2015, Leibowitz was named “Financial Engineer of the Year” by the International Association for Quantitative Finance, joining a distinguished list of previous awardees such as Fischer Black, Myron Scholes, Robert Merton, and Jim Simons. Leibowitz is also one of the very few recipients of three of the CFA Institute’s highest awards: the Nicholas Molodovsky Award in 1995, the James R. Vertin Award in 1998, and the Award for Professional Excellence in 2005. In November 1995, he became the first inductee into The Fixed Income Analyst Society’s Hall of Fame. He has received special Alumni Achievement Awards from The University of Chicago and New York University, and in 2003, he was elected a Fellow of the American Academy of Arts and Sciences. Dr. Leibowitz serves on the Board of The Rockefeller Foundation and on the investment advisory committees of Singapore’s GIC, the Institute for Advanced Study in Princeton, NJ, the Carnegie Corporation, and the IMF pension system.
Ananth Madhavan, BlackRock
Ananth Madhavan, PhD, Managing Director, is Global Head of Research for ETF and Index Investing at BlackRock, Inc. He is responsible for advancing thought leadership and innovation for iShares and indexing through research and analytics. Dr. Madhavan’s service with the firm dates back to 2003, including his years with Barclays Global Investors (BGI), which merged with BlackRock in 2009. At BGI, he was the Global Head of Trading Research and Transitions and CEO of BGI’s affiliate broker. He also worked closely with the alpha and trading teams to design and implement trading strategies to capture short horizon market opportunities.
Prior to joining BGI, Dr. Madhavan was a Managing Director of Research at ITG and a member of the firm’s management and executive committees. Previously, he was the Charles B. Thorton Professor of Finance at the Marshall School of Business at the University of Southern California and an Assistant Professor of Finance at the Wharton School of the University of Pennsylvania.
Dr. Madhavan earned a BA degree from the University of Delhi, MA degree from Boston University, and a PhD in economics from Cornell University.
Alison Li, CALPERS (Discussant for Ananth Madhavan)
Alison Li is an Investment Manager of Trust Level Portfolio Management in CalPERS, responsible for the development and implementation of strategic asset allocation targets with the CalPERS Board and tactical asset allocation strategies. Prior to joining CalPERS, Alison worked in Quantitative Equity Selection strategies for Mellon Capital Management Corp. and Symphony Asset Management, LLC in San Francisco. Alison earned her Ph.D. in Accounting from the University of California, Berkeley’s Haas School of Business, her M.A. in Economics from the University of Southern California and her B.A. from Renmin University of China in Beijing, China. Alison is a CFA charter-holder and a member of CFA Society, Sacramento.
Joshua Livnat, QMA and Professor Emeritus, NYU (Discussant for Martin L. Leibowitz)
PhD, CPA, is a Managing Director for QMA and Head of Research. His primary research areas have included capital markets, the effects of various accounting disclosure on stock prices, market anomalies and valuation issues. Prior to joining QMA, Joshua was on the faculty of NYU’s Leonard Stern School of Business, where he was Professor of Accounting and chairman of the department. Previously, he taught at Vanderbilt University, University of California at Berkeley, Northwestern University and Hebrew University in Jerusalem. Joshua co-authored the book Cash Flow and Security Analysis and has been published in many journals, including Journal of Accounting Research, Journal of Accounting & Economics, The Accounting Review, Journal of Finance, Journal of Portfolio Management and Financial Analysts Journal. He earned a BS in Mathematics and Statistics from Hebrew University and a PhD in Accounting from New York University.