6th Hedge Fund Conference

6th Annual Conference on Advances in the Analysis of Hedge Fund Strategies

Date: 14 December 2011
Venue: Imperial College London
Organiser: Dr Robert Kosowski

Programme

6th Annual Conference on Advances in the Analysis of Hedge Fund Strategies

Keynote speaker

Pedro Santa-Clara (Universidade Nova de Lisboa – NOVA School of Business and Economics and NBER)

Other speakers

  • Mehmet Saglam (Graduate School of Business Columbia University)
  • Hao Zhou (Federal Reserve Board, Washington DC),
  • Andrea Vedolin (London School of Economics),
  • Worrawat Sritrakul (Imperial College Business School),
  • Nikolaos Panigirtzoglou (Global Asset Allocation and Alternative Investments, JPMorgan)
  • Pasquale Della Corte (Imperial College Business School),
  • Pierluigi Balduzzi (Boston College).

Papers

Copies of the papers presented at the workshop can be found below:

Session 1

Mehmet Saglam (Graduate School of Business Columbia University), Dynamic Portfolio Choice with Transaction Costs and Return Predictability: Linear Rebalancing Rules

Keynote speaker: Pedro Santa-Clara (Universidade Nova de Lisboa – NOVA School of Business and Economics and NBER), Optimal Option Portfolio Strategies

Session 2

Hao Zhou (Federal Reserve Board, Washington DC), Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

Andrea Vedolin (London School of Economics), Bond Variance Risk Premia

Session 3

Worrawat Sritrakul (Imperial College Business School), Incentives and Endogenous Risk Taking: Implications for Hedge Fund Alphas

Session 4

Pasquale Della Corte (Imperial College Business School), (Why) Does Order Flow Forecast Exchange Rates?

Pierluigi Balduzzi (Boston College), Economic Risk Premia in the Fixed Income Markets: The Intra-day Evidence