Presenter’s Bios

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.

Kenneth Blay, Invesco
Kenneth Blay serves as Head of Thought Leadership for Invesco Global Investment Solutions. In this role, he leads the development of original research, the authorship of whitepapers and articles for publication in top-tier practitioner journals, and the creation of innovative investment content to elevate and strengthen Invesco’s profile as a global thought leader in asset allocation, risk management, and portfolio implementation. Prior to joining Invesco, Mr. Blay was a Vice President and Advisory Research Manager in the Portfolio and Risk Research group at State Street Associates where he collaborated with academic partners to develop and implement new research on asset allocation, risk management, and investment strategy and lead research efforts for advisory engagements with institutional clients.

Previously, he served as Director of Research for 1st Global, where he lead asset allocation research and investment policy for the firm’s $7.5+ billion investment management platform and managed over $2 billion in discretionary assets.

Mr. Blay earned a BBA in Finance from the University of Texas at San Antonio. He has also collaborated extensively with Nobel Laureate Harry Markowitz on asset allocation research; co-authoring a book titled “Risk-Return Analysis: The Theory and Practice of Rational Investing (Volume 1)” and a paper published in the Journal of Investment Management titled “Tax-Cognizant Portfolio Analysis: A Methodology for Maximizing After-Tax Wealth”. His work with Dr. Markowitz on maximizing future consumption through the optimization of the net present value of cash flows appears in Chapter 11 of “Risk-Return Analysis: The Theory and Practice of Rational Investing (Volume 2)”.

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.

Robert Hillman, Neuron Capital
Robert is the founder of Neuron Capital, an investment and risk management consultancy. specializing in the provision of risk and market intelligence systems, particularly in relation to the growing use of algorithms in the market. Robert’s approach draws on complexity science, computational simulation and option risk analytics.

Robert has established and managed systematic global macro teams and portfolios within the hedge fund space since 2003, initially as Head of Research at London Diversified Fund Management, then as Head of Research and co-PM for the Brevan Howard Systematic Trading Fund, and latterly CIO at Neuron Advisers.

Robert was a manager at the Bank of England from 2000, serving on international G7 central bank committees, and managing multi-asset analysis in the Foreign Exchange Division. He built his first trading systems there for surveillance purposes – to help policy-makers understand the potential market impact from option trading and quantitative strategies.

Robert frequently contributes to industry thinking through speaking and writing, and was a founding contributor to the Standards Board for Alternative Investment (HFSB) 2007 standards for Risk Management.

Robert holds an MSc in Economics from the University of London, and a PhD in ‘Modelling Nonlinearity and Nonstationarity in the Foreign Exchange Market’ from the University of Southampton.

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.

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. He serves on the Advisory board of the Journal Of Investment Management (JOIM).

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.

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.

Nicholas Savoulides, Invesco
Nicholas Savoulides is the Global Head of Investment Solutions Research and Portfolio Analytics at Invesco where he is responsible for doing multi-asset research and developing analytics that help drive outcome-oriented portfolio solutions. In this role, Nicholas develops and applies relevant asset allocation frameworks for retail as well as institutional clients ranging from endowments and sovereigns to pension plans and insurance entities. During his tenure at Invesco, Nicholas has also spearheaded the development of Invesco Vision – a portfolio management decision support system that is widely used in Invesco’s client engagements.

Before joining Invesco, Nicholas was a portfolio manager and senior LDI strategist at Loomis Sayles where he led the institutional LDI business as well as co-manage all long duration fixed income strategies. Nicholas started his career as a consultant with the Boston Consulting Group where he was a member of the Banking practice area. Nicholas holds a B.S., M.S. and Ph.D. in Aeronautics and Astronautics from MIT. His Ph.D. minor was in finance and he also received the MIT Financial Technology Option Certificate. Nicholas is a CFA charter holder and a member of the CFA® Society of Boston.

Discussants

Mark Baumgartner, Institute for Advanced Study
Mark Baumgartner is Chief Investment Officer at the Institute for Advanced Study, an endowment supporting a community of scholars in Princeton, New Jersey. Prior to joining IAS, he served as Director of Asset Allocation and Risk at the Ford Foundation and Managing Director, Senior Portfolio Strategist and Head of the Portfolio Architecture team for Morgan Stanley Investment Management’s outsourced CIO group.

Mark also co-managed a global portfolio of equities at Quantal Asset Management, a quantitative long/short market neutral hedge fund and risk management firm, and was a Portfolio Manager at Strategy Capital, a fundamental long/short equity hedge fund. Prior to Strategy Capital, he worked with The Boston Consulting Group, specializing in corporate venturing, M&A, and strategy development.

Mark is a member of the Board of Directors of The Investment Fund for Foundations (TIFF), a Trustee and a member of the Investment Committee for the YMCA Retirement Fund, and served on the Board of Directors and Investment Program Committee for the Foundation Financial Officers Group (FFOG).

He received a Ph.D. in Aerospace Engineering and a Certificate in Public Policy from Princeton University. He also holds the Chartered Financial Analyst designation.

Jeffrey Bohn, Swiss Re Institute
Dr. Jeffrey Bohn is the Chief Research & Innovation Officer and Head of the Swiss Re Institute’s (SRI) Research & Engagement team. He set up SRI for Swiss Re in early 2017. Most recently, he served as Chief Science Officer and Head of GX Labs at State Street Global Exchange in San Francisco. Before moving back to California, he established the Portfolio Analytics and Valuation Department within State Street Global Markets Japan in Tokyo. (He is fluent in Japanese.) He previously ran the Risk and Regulatory Financial Services consulting practice at PWC Japan.

Past appointments for Dr. Bohn include Head, Portfolio Analytics and Economic Capital at Standard Chartered Bank in Singapore and General Manager, Financial Strategies group at Shinsei Bank in Tokyo where he supervised implementation of best-practice risk and capital analytics. Before moving to Asia, he led Moody’s KMV’s (MKMV’s) Global Research group and MKMV’s Credit Strategies group.

Dr. Bohn often conducts seminars on topics ranging from credit instrument valuation to portfolio management. He has published widely in the area of credit risk. He co-authored with Roger Stein Active Credit Portfolio Management in Practice (Wiley, 2009). His recent research focuses on factor modeling and large-scale risk simulations. Dr. Bohn is an affiliated researcher at U.C. Berkeley’s Center for Risk Management Research and serves as a board member for the Consortium for Data Analytics in Risk (CDAR) spanning U.C. Berkeley, Stanford and several industry partners. He is also on the advisory board for the Asia Society Switzerland and the Engineering Industry Advisory Council for NYU Abu Dhabi. On occasion, he teaches financial engineering at U.C. Berkeley, National University of Singapore’s Risk Management Institute, and Tokyo University

Arthur Han, Capital Group
Arthur S. Han, CFA, FRM, CAIA is a senior risk and quantitative solutions analyst at Capital Group. Prior to joining Capital, Arthur was a director of balance sheet valuation and analytics at Toyota Motor Credit Corporation, modeling global rates derivatives, loans and structured products. Before that, he was a senior quantitative analyst and a fixed income trader at CalPERS. He holds an MBA from Columbia Business School, a master’s degree in mechanical engineering from University of Southern California, and a bachelor’s degree in mechanical engineering from University of California at Berkeley.

Alison Li, CalPERS
Alison Li is an Investment Manager of Strategic & Active Strategies within Research & Strategy Group in CalPERS, responsible for the development and implementation of strategic asset allocation targets with the CalPERS Board and active investment 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.

Michael Melvin, University of San Diego
Michael Melvin’s research in investments and international finance focuses on real issues facing global investors. He has published research in topics including exchange rates, currency investing, and international equity markets. His current research is focused on currency carry trades and transaction costs and exchange rate models.

Melvin’s most recent teaching position was at the UC Berkeley Haas School of Business. He has had past teaching positions at UCLA, UC San Diego, Arizona State University and Northwestern University. In addition to his academic achievements, Melvin is an accomplished industry researcher. Before joining the Rady School, he was Managing Director and Senior Research Advisor in Multi-Asset Strategies at BlackRock. Prior to that he was head of Currency and Fixed Income Research in the Global Market Strategies Group at BlackRock and Barclays Global Investors.

Melvin is in the Haas School “Club 6” for class evaluations with outstanding ratings and also received the Outstanding Teacher award at the Haas School. Melvin was also a Fulbright Senior Scholar in Germany.  Melvin earned a Ph.D. in Economics from UCLA.

Robert Michaud, New Frontier Advisors
Robert Michaud is the co-holder of four U.S. patents in portfolio optimization and asset management and is the Chief Investment Officer at New Frontier. He holds a Masters in Mathematics from Boston University and pursued a Ph.D. in finance from the Anderson School of Management at the University of California, Los Angeles before joining New Frontier. His research interests include portfolio theory, risk models, empirical asset pricing, and international finance. He is co-author of Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, (2nd ed. Oxford University Press, 2008) and research articles in refereed journals.