• 11th CSDA International Conference on Computational and Financial Econometrics (CFE 2017)

    Senate House, University of London, London from 2017/12/16 to 2017/12/18

    Quantitative Investing, Session CO254

    Organizers: Serge Darolles 


    Liquidity, liabilities and investments, Session CO256

    Organizers: Gaelle Le Fol 


    Multivariate volatility models, Session CO294

    Organizers: Jean-Michel Zakoian 

  • London 2017 Workshop

    TBA from 2017/11/09 to 2017/11/09

    Factor Investing Conference: “From Traditional to Alternative Risk Premia”

    After the success of the London 2015 Workshop on "Risk Based and Factor Investing", we are proud to announce this new event organized by the QMI and Imperial College London Business School with the support of Unigestion and, UBS.

    Thursday, 9 November 2017 1 day conference

    This event is organized by the Quntitative Research Initiative (QMI) and Imperial College London Business School, with the support of Unigestion, CFA Society of the UK and UBS. It will take place: LGS (Lecture Theatre Lower Ground Square), Imperial College Business School, South Kensington Campus, London SW7 2AZ, Thursday 9 November.

    8:30am – 9:00am: Registration

    9:00am–9:45am: Opening address

    Robert Kosowski , Imperial College and Unigestion
    Emmanuel Jurczenko, EHL and QMI
    Fiona Frick, Unigestion
    David Jessop, UBS
    Gaëlle Le Fol, Université Paris – Dauphine and QMI

    9:30am–12:00 noon: Factor Investing – session 1

    Chair: David Jessop (UBS)

    - Jason Hsu (Rayliant Global Advisors, Research Affiliates and UCLA): Investment and Profitability – Quality Factor that Actually Works
    Discussion: James Sefton (Imperial College)
    - Daniel Giamouridis (Bank of America Merrill Lynch): Go with the Flow, or Hide from the Tide? Trading Flow as Signal in Style Investing
    Discussion: Charles-Albert Lehalle (CFM)
    - Dimitris Melas (MSCI): Factor Investing and ESG Integration
    Discussion: Aandreas Hoepner (ICMA)

    12:00 noon – 1:30pm: Lunch Break

    1:45pm–4:00pm: Factor Investing – session 2

    Chair: Robert Kosowski (Unigestion and Imperial College)

    - Jérôme Teiletche (Unigestion): A Macro Risk-Based Approach to Alternative Risk Premia Allocation
    Discussion: Spyros Mesomeris (Deutsche Bank)
    - Harindra de Silva (Analytic Investors): Diversification and the Variance Risk Premium
    Discussion: Andrea Vedolin (Boston University)
    - Nick Baltas (UBS): Optimising Cross-Asset Carry
    Discussion: Bernd Scherer (Edhec Risk Institute)

    4:00pm – 4:30pm: Coffee Break

    4:45pm–6:00pm: Panel Session - Factor investing and Risk Premia: New trends and future challenges

    Moderator: TBA

    Bob Bass (BlackRock)
    Alexei Jourovski (Unigestion)
    - TBA