Advancing the Field of Quantitative Finance
formerly the IAFE

Event: The Columbia Center for Financial Engineering (CFE) 19th Annual Workshop on Financial Engineering
Date: Friday, November 9, 2012
Columbia University

Uris Hall, Room 301

New York, NY 10027

The International Association of Financial Engineers is pleased to endorse


The Columbia Center for Financial Engineering (CFE)

19th Annual Workshop on Financial Engineering

The general theme of this year's workshop is

Quantitative Asset Management and Investing



8.00 - 8.45 Registration

8.45 - 9.00 Introduction

9.00 - 09.45 Attilio Meucci (Kepos Capital)
Title: A Fully Integrated Liquidity and Market Risk Model

9.45 - 10.30 Garud Iyengar (Columbia University, Department of IE & OR)
Title: Large Scale Portfolio Selection with Spectral Risk Measures

10.30 - 11.00 Coffee break

11.00 - 11.45 Anthony Lazanas (Barclays Capital)
Title: Investing with Risk Premia Factors: From Theory to Practice

11.45 - 12.30 Marcos López de Prado (Tudor Investment Corporation)
Title: The Sharp Razor: Deflating the Sharpe Ratio by asking for a Minimum Track Record Length

12.30 - 14.00 Lunch

14.00 - 14.45 Andrew Lo (MIT, Sloan School of Management)
Title: Can Financial Engineering Cure Cancer?

14.45 - 15.30 Paul Glasserman (Columbia University, Graduate School of Business)
Title: Robust Portfolio Control with Stochastic Factor Dynamics

15.30 - 16.00 Coffee break

16.00 - 16.45 Dan Rodriguez (Credit Suisse)
Title: A Fourth Category of Risk: Regulatory Risks and Persistent Elevated Volatility

16.45 - 17.45 Panel discussion with Andrew Alford (Goldman Sachs Asset Management), Nick Baturin (Bloomberg Research) and Andrea Frazzini (AQR Capital Management). Moderator TBA.

18.00 Reception

The CFE is organizing this workshop in conjunction with the Decision, Risk and Operations (DRO) Division at Columbia's Graduate School of Business and the Department of Industrial Engineering and Operations Research (IEOR) in Columbia's School of Engineering and Applied Science.