7th Hedge Fund Conference

7th Annual Conference on Advances in the Analysis of Hedge Fund Strategies 2012

Date: 12 December 2012
Venue: Imperial College London
Organiser: Dr Robert Kosowski

Programme

7th Annual Conference on Advances in the Analysis of Hedge Fund Strategies

Keynote speaker Andrew Ang (Columbia University)

Other speakers

  • Alessandro Beber (Cass Business School)
  • Hao Zhao (Federal Reserve Board, Washington DC)
  • Pasquale Della Corte (Imperial College Business School)
  • Jamil Baz (Man/GLG)
  • Akindynos-Nikolaos Baltas (Imperial College Business School)
  • Barbara Ostdiek (Rice University)
  • Andrea Vedolin (London School of Economics)

Papers

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

Session 1

Keynote speaker: Andrew Ang (Columbia University), Nominal Bonds, Real Bonds, and Equity

Session 2

Hao Zhou (Federal Research Board, Washington, DC), Variance Risk Premiums and the Forward Premium Puzzle

Pasquale Della Corte (Imperial College Business School), Currency Premia and Global Imbalances

Session 3

Akindynos-Nikolaos Baltas (Imperial College Business School), Momentum Strategies in Futures Markets and Trend-following Funds

Session 4

Barbara Ostdiek  (Rice University), Optimizing the Performance of Sample Mean-Variance Efficient Portfolios