The objective of this event is to promote exchange of ideas on risk-based portfolio construction, a topic of increasing importance both in the asset management industry and in the academic literature. The event will start with an academic session where speakers will review the different methodologies from different angles. A panel will follow where institutional investors and asset managers will discuss what are the pitfalls and opportunities of these approaches and how they apply (or could apply) them in practice.
This event is organized by Université de Genève, GFRI and QMI/QuantValley, with the support of Genève Place Financière and NYSE Euronext
Agenda
September 26, 2013
14.00-16.00: Research paper presentation
Chair: O. Scaillet (Université de Genève and Swiss Finance Institute)
– S. Darolles (Université Paris-Dauphine & QMI): Robust Portfolio Allocation with Systematic Risk Constribution Restrictions [slides][paper]
– E. Jurczenko (ESCP Europe & QMI): Generalized Risk-Based Investing [slides][paper]
– T. Berrada (Université de Genève): It Does Pay to Diversity [slides]
– T. Froidure (TOBAM): Properties of the Most Diversified Portfolio [slides]
16.00-16.30: coffee break
16.30-18.00: Panel discussion
with the participation of:
– Y. Choueifaty (CEO, TOBAM)
– F. Frick (CEO, Unigestion)
– G. Haenni (PhD, CIO, CERN Pension Fund)
– S. Ledermann (Director, Head of Investments, Retraites Populaires)
– C. Schaer (Head of Treasury & ALM, Fonds de compensation AVI/AI/APG)
– J. Teiletche (Head of Solutions Group, Lombard Odier IM)
18.00-19.00: Cocktail
Venue
Fédération des Entreprises Romandes Genève, 98 Rue de Saint Jean, Geneva
