Advances in the Analysis of Hedge Fund Strategies

Business School 14 December 2006


Welcome address: William Perraudin (Imperial College)

Session 1 Chair: Antti Ilmanen (Brevan Howard)

Markus Hochradl (Vienna Graduate School of Finance) and Christian Wagner (Vienna University of Economics and Business Administration)
‘Trading the Forward Bias: Are there Limits to Speculation?’
Discussant: Vasant Naik (Lehman Brothers International)
Giovanni Baiocchi (Durham Business School), Valentina Corradi (University of Warwick) and Walter Distaso (Imperial College London)
‘A New Method for Evaluating Trade Strategies, with an Application to Momentum Based Rules’
Discussant: Andrew Patton (London School of Economics)


Session 2 Chair: Sid Browne (Brevan Howard)

Daniel Egloff (Zurich Cantonalbank), Markus Leippold (University of Zurich, SBI) and Liuren Wu (Baruch College, New York)
‘Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments’
Discussant: Nour Meddahi (Imperial College)
Andrea Buraschi (Imperial College London), Paolo Porchia (University of St. Gallen) and Fabio Trojani (University of St. Gallen)
‘Correlation Risk and Optimal Portfolio Choice’
Discussant: Mikhail Chernov (London Business School)


Session 3 Chair: Aron Landy (Brevan Howard)

Doron Avramov (University of Maryland), Robert Kosowski (Imperial College London), Narayan Naik (London Business School), Melvyn Teo (Singapore Management University)
‘Investing in Hedge Funds when Returns are Predictable’
Discussant: Marno Verbeek (RSM Erasmus University)
Antonio Diez de los Rios (Bank of Canada) and Rene Garcia (Université de Montréal, CIRANO and CIREQ)
‘Assessing and Valuing the Non-linear Structure of Hedge Fund Returns’
Robert Kosowski (Imperial College London)


16.15-17.15 Session 4
Chair: Paul Woolley (Imperial College)

Keynote Speaker: Marti Subrahmanyam (New York University)
‘Latent Liquidity: A New Measure of Liquidity, with an Application to Corporate Bonds’ (joint with Amrut Nashikkar, New York University)
Discussant: William Perraudin (Imperial College)

Organizers: Robert Kosowski, Nour Meddahi and William Perraudin