Objectives of the conference
1) to present state-of-the-art international research on major issues regarding hedge fund strategies in all asset classes and their impact on financial markets,
2) to provide a forum for debate among researchers, senior market participants and policy makers. Relevant empirical, policy-oriented and theoretical research will be considered.
You can download the programme for the event here: Conference programme
Attendance is by invitation only. Please contact Tessa Ogden at t.ogden@imperial.ac.uk for further information.
Conference papers will be posted on the website after the event has taken place.
Topics
Areas of interest include, but are not limited to, the following:
• Significance and economic value of return and volatility predictability in asset returns (in-sample and out of sample predictability in different asset classes, e.g. commodities, derivatives, equities, fixed income, foreign exchange, hedge funds and REITs)
• Risk and return of trading strategies in novel (derivative) contracts: variance and correlation swaps, emission permits, credit and environmental risk derivatives, insurance-linked securities)
• Policy implications and hedge fund behaviour (What are the pros and cons of position disclosure requirements for investment funds such as hedge funds? What effect do position restrictions and disclosure requirements have on the efficient functioning of financial markets? Is hedge fund leverage high compared to other financial institutions? What is the effect of hedge fund leverage on financial markets? What are the effect of herding by hedge funds and crowded trades?)
• Incorporating transactions costs into trading strategies (How are net returns affected by transaction costs? How can transaction costs be optimized? How do hedge funds provide or demand liquidity in different asset classes? Do hedge funds provide liquidity and reduce volatility? When and how do hedge funds buy and sell from certain financial institutions?)
• Hedge fund performance and risk measurement, hedge fund replication (What risk management models are optimal for different hedge fund strategies and investment objectives? Can hedge fund returns be replicated out of sample? )
Further information
For additional information, please contact:
Dr Robert Kosowski
Director, Centre for Hedge Fund Research
Email: r.kosowski@imperial.ac.uk