Harry Markowitz, Harry Markowitz Company, Keynote Speaker
Dr. Markowitz has applied computer and mathematical techniques to various practical decision making areas. In finance: in an article in 1952 and a book in 1959 he presented what is now referred to as MPT, “modern portfolio theory.” This has become a standard topic in college courses and texts on investments, and is widely used by institutional investors and financial advisors for asset allocation, risk control and attribution analysis. In other areas: Dr. Markowitz developed “sparse matrix” techniques for solving very large mathematical optimization problems. These techniques are now standard in production software for optimization programs. Dr. Markowitz also designed and supervised the development of the SIMSCRIPT programming language. SIMSCRIPT has been widely used for programming computer simulations of systems like factories, transportation systems and communication networks.
In 1989 Dr. Markowitz received The John von Neumann Award from the Operations Research Society of America for his work in portfolio theory, sparse matrix techniques and SIMSCRIPT. In 1990 he shared The Nobel Prize in Economics for his work on portfolio theory. Dr. Markowitz is the principal of Harry Markowitz Company. He is also an adjunct professor at the Rady School of Management, UCSD.
Vineer Bhansali, LongTail Alpha, LLC
Vineer Bhansali is Founder and Chief Investment Officer of LongTail Alpha, LLC, an investment management firm based in Newport Beach, CA which is focused exclusively on delivering value from the tails of asset distributions.
Vineer’s 27-year investment career started at Citibank, where he founded and managed the Hybrid Options Trading Desk. He later joined Salomon Brothers in its Fixed Income Arbitrage Group, followed by the CSFB Proprietary Trading Group. Dr. Bhansali was at PIMCO for 16 years, serving the last eight years as Managing Director and Head of the Quantitative Portfolios Team, which he founded in 2008. He has written four books on finance: “Pricing and Managing Exotic and Hybrid Options”; “Fixed Income Finance: A Quantitative Approach”; “Bond Portfolio Investing and Risk Management”; and the most recent, “Tail Risk Hedging”, and authored over 30 refereed papers on option pricing, fixed income, tail hedging, and asset allocation. He has received the Graham and Dodd Scroll Award from the FAJ and TIME magazine’s college achievement award. Dr. Bhansali received his Ph.D. in Theoretical Physics from Harvard University in 1992 and M.S. and B.S. degrees in Physics from Caltech in 1987. He is an ATP rated pilot with over two thousand five hundred hours in aircraft including jets and helicopters. He has run over forty ultramarathons, including a silver buckle at the Western States 100 mile Endurance Run. He currently serves on the Investment Committee of the Margaret A Cargill Philanthropies.
Rick Bookstaber, University of California and Talagent Financial
Rick Bookstaber, Chief Risk Officer in the Office of the CIO for the University of California and a noted expert in financial risk management, presents a new approach to understanding and measuring portfolio risk using agent-based models. Rick is the author of The End of Theory and A Demon of Our Own Design. He is also the co-founder and Chief Scientist at Talagent Financial. Rick’s various roles have put him at the center of the critical issues of the last three decades – working with portfolio insurance during the 1987 crash while at Morgan Stanley, overseeing risk at Salomon during the 1998 failure of Long-Term Capital Management and with the aftermath of the 2008 crisis while in the regulatory sphere.
Joseph Engelberg, University of California San Diego
Joseph Engelberg is a professor of finance at UCSD and is a leading academic in the field of behavioral finance, which considers the way in which investor psychology affects securities’ prices. He has presented his research at many leading universities and institutions around the world including Oxford, Yale, Goldman Sachs, Wharton and Blackrock.
Engelberg earned a BA in Mathematics and a BS in Business Administration at the University of Southern California in 2003. He also worked as a research specialist at the Securities and Exchange Commission before earnings his PhD in finance from Northwestern University in 2009. He was on faculty at the University of North Carolina before joining UCSD in 2011.
Professor Engelberg’s research has been cited in the New York Times, Bloomberg, the Wall Street Journal, the Associated Press, NPR, ABC News, the LA Times, and other publications. In 2012, two of his papers won awards for the best papers published in the Journal of Financial Economics and the Review of Financial Studies. Engelberg and his wife, Anna, have three children and live in San Diego, California.
Mark Kritzman, Windham Capital Management, LLC
Mark Kritzman is CEO of Windham Capital Management, LLC and the Chairman of Windham’s investment committee. He is responsible for managing research activities and investment advisory services. He is also a Founding Partner of State Street Associates, and he teaches a graduate finance course at the Massachusetts Institute of Technology.
Mark served as a Founding Director of the International Securities Exchange and has served on several boards, including the Institute for Quantitative Research in Finance, The Investment Fund for Foundations, and State Street Associates. He is also a member of several advisory and editorial boards, including the Advisory Board of GIC, the Advisory Board of the MIT Sloan Finance Group, the Advisory Board of the Tobin School of Business, the Emerging Markets Review, the Financial Analysts Journal, the Journal of Alternative Investments, the Journal of Derivatives, the Journal of Investment Management, where he is Book Review Editor, and The Journal of Portfolio Management. He has written numerous articles for academic and professional journals and is the author or co-author of seven books including A Practitioner’s Guide to Asset Allocation, Puzzles of Finance, and The Portable Financial Analyst.
Mark won Graham and Dodd scrolls in 1993 and 2002, the Research Prize from the Institute for Quantitative Investment Research in 1997, the Bernstein Fabozzi/Jacobs Levy Award nine times, the Roger F. Murray Prize from the Q-Group in 2012, and the Peter L. Bernstein Award in 2013 for Best Paper in an Institutional Investor Journal. In 2004, Mark was elected a Batten Fellow at the Darden Graduate School of Business Administration, University of Virginia.
Mark has a BS in economics from St. John’s University, an MBA with distinction from New York University, and a CFA designation.
Andrew W. Lo, Massachusetts Institute of Technology
Andrew W. Lo is the Charles E. and Susan T. Harris Professor, a Professor of Finance, and the Director of the Laboratory for Financial Engineering at the MIT Sloan School of Management.
His current research spans five areas: evolutionary models of investor behavior and adaptive markets, systemic risk and financial regulation, quantitative models of financial markets, financial applications of machine-learning techniques and secure multi-party computation, and healthcare finance. Recent projects include: deriving risk aversion, loss aversion, probability matching, and other behaviors as emergent properties of evolution in stochastic environments; constructing new measures of systemic risk and comparing them across time and systemic events; applying spectral analysis to investment strategies to decompose returns into fundamental frequencies; and developing new statistical tools for predicting clinical trial outcomes, incorporating patient preferences into the drug approval process, and accelerating biomedical innovation via novel financing structures.
Lo has published extensively in academic journals (see http://alo.mit.edu) and his most recent book is Adaptive Markets: Financial Evolution at the Speed of Thought. His awards include Batterymarch, Guggenheim, and Sloan Fellowships; the Paul A. Samuelson Award; the Eugene Fama Prize; the IAFE-SunGard Financial Engineer of the Year; the Global Association of Risk Professionals Risk Manager of the Year; the Harry M. Markowitz Award; the Managed Futures Pinnacle Achievement Award; one of TIME’s “100 most influential people in the world”; and awards for teaching excellence from both Wharton and MIT. His book Adaptive Markets has also received a number of awards, listed here. He is a Fellow of Academia Sinica; the American Academy of Arts and Sciences; the Econometric Society; and the Society of Financial Econometrics.
Lo is also a principal investigator at the MIT Computer Science and Artificial Intelligence Laboratory, an affiliated faculty member of the MIT Department of Electrical Engineering and Computer Science, an external faculty member of the Santa Fe Institute, and a research associate of the National Bureau of Economic Research. He is a member of the New York Federal Reserve Board’s Financial Advisory Roundtable, FINRA’s Economic Advisory Committee, the National Academy of Sciences Board on Mathematical Sciences and Their Applications, Beth Israel Deaconess Medical Center’s Board of Overseers, and the boards of Roivant Sciences and the Whitehead Institute for Biomedical Research.
Lo holds a BA in economics from Yale University and an AM and PhD in economics from Harvard University.