Event detail

Name: ESSEC WORKSHOP ON NONSTANDARD INVESTMENT CHOICE

From: 20 Sep 2019

To: 20 Sep 2019

Address: ESSEC BUSINESS SCHOOL
3 avenue Bernard Hirsch
CS 50105 Cergy
95021 Cergy-Pontoise Cedex – France

Organizer: Essec Business School

Key speakers: Suleyman Basak, Professor, London Pierre Collin-Dufresne, Professor, Ecole Polytechnique

Web page: http://energy-commodity-finance.essec.edu/essec-workshop-on-nonstandard-investment-choice/

Pricing: - variable

Description: Standard portfolio choice models are based either on assumptions that have proven untenable in empirical studies, or omissions in their design that are relevant to practical investment decisions. As such, many stylized facts in the portfolio management industry are still puzzling to standard models. These models are typically designed for equity-like assets, pure risk-averse investors, and frictionless financial environments. Some of these omissions are large asset classes such as energy, commodities and illiquid assets, optimal insurance to protect investors’ portfolio in a particular class of over-the-counter derivative contracts, and accounting for the social cost of delegated portfolio management. Over the last decade, investment research has tried to develop theoretical frameworks that address these shortcomings in standard models, and state-of-the-art research in this area has been slow to establish itself in academic curricula despite its timeliness and relevance. The aim of this workshop is to bring together, during a full one-day event, some of the outstanding researchers who have tackled these topics.

Behavioral portfolio choice models
Asset allocation with derivatives
Portfolio insurance
Hybrid portfolios
Crypto-assets
Blockchain
Energy and commodity assets
Alternative investments
Frictional asset allocation
Portfolio choice with illiquid assets

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