- Joined
- 7/24/12
- Messages
- 2
- Points
- 11
The Society of Quantitative Analysts is dedicated to providing cutting edge content to the quantitative investment community. Last April the SQA hosted an historic conference on "Model Risk, Quants, and the Law" to begin to address two areas that have drawn attention from regulators: culture of compliance and the risk management discipline. We invite you to join us for history in the making, with a continuation of the discussion "Risk, Leverage, and Alpha".
The SQA has gathered five highly respected experts who have both conducted quality academic research on the topic of risk management and at the same time been heavily involved in managing active money or directly advising on how to improve active management by incorporating their unique knowledge of risk and quantitative analysis.
Among the many questions to be addressed at this conference:
- What part of active management should belong to risk management?
- What are the risk management and leverage nuances to actively running long/short portfolios?
- How does one improve portfolio performance by actively managing portfolio risk, despite estimation errors?
- Why doesn't leverage improve performance of the risk parity portfolio over 60/40 portfolio, even in the long-term??
Event Schedule:
8:00am Check-in/Registration with Continental Breakfast
8:30am Jason MacQueen, R-Squared, "The Structure of Risk Models"
9:20am Attilio Meucci, CRO, Kepos Capital, "Fully Flexible Probabilities via Entropy Pooling"
10:30am Ken Winston, CRO, Western Asset Management, "Risk Management for Long-Short Portfolios"
11:20am Lisa Goldberg, UC Berkeley, "Will My Risk Parity Strategy Outperform?"
1:00pm Aaron Brown, CRO, AQR Capital, "Red-Blooded Risk"
The SQA has gathered five highly respected experts who have both conducted quality academic research on the topic of risk management and at the same time been heavily involved in managing active money or directly advising on how to improve active management by incorporating their unique knowledge of risk and quantitative analysis.
Among the many questions to be addressed at this conference:
- What part of active management should belong to risk management?
- - Should an active manager be cold-blooded? (i.e. "I am going to be as close to my benchmark as possible - I am not paid enough to take risk.")
- - Should an active manager be red-blooded? (i.e. "I am going to take risks, but they are going to be calculated risks.")
- - Should an active manager be hot-blooded? (i.e. "Risks are opportunities. We only live once. I am going to take all chances that come my way.")
- What are the risk management and leverage nuances to actively running long/short portfolios?
- How does one improve portfolio performance by actively managing portfolio risk, despite estimation errors?
- Why doesn't leverage improve performance of the risk parity portfolio over 60/40 portfolio, even in the long-term??
Event Schedule:
8:00am Check-in/Registration with Continental Breakfast
8:30am Jason MacQueen, R-Squared, "The Structure of Risk Models"
9:20am Attilio Meucci, CRO, Kepos Capital, "Fully Flexible Probabilities via Entropy Pooling"
10:30am Ken Winston, CRO, Western Asset Management, "Risk Management for Long-Short Portfolios"
11:20am Lisa Goldberg, UC Berkeley, "Will My Risk Parity Strategy Outperform?"
1:00pm Aaron Brown, CRO, AQR Capital, "Red-Blooded Risk"