2006 Spring Seminar

PROGRAM AGENDA

Q Group Spring 2006 Seminar
The Breakers
Palm Beach, Florida
April 2 — 5, 2006

Note: Papers available for viewing are in blue. Click on title to download.

Sunday, April 2 6:00 P.M. OPENING RECEPTION AND BANQUET

• “I Know What To Do, Why Don’t I Do It?” Nick Hall, Author and Director, Saddlebrook Wellness Center

Monday, April 3 PORTFOLIO AND RISK MANAGEMENT MORNING

• A Rational Model of the Closed-End Fund Discount
  Slides
  – Jonathan Berk, Professor of Finance Haas School of Business, University of California, Berkeley
• Downside Risk and its Implications for Financial Management
  Slides
  – Robert Engle, Professor of Finance Leonard N. Stern School of Business, New York University

LATE AFTERNOON

• Harvard, Yale and the Future of Investing
  Andre F. Perold, Sylvan C. Coleman Professor of Financial Management, Harvard Business School
• Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
  Slides
  – Francis X. Diebold, W. P. Carey Professor of Economics School of Arts and Sciences, University of Pennsylvania

Evening Events — Reception and Informal Dinner

Tuesday, April 4
MORNING

• Buy Side Risk ManagementSlides
  – Kenneth J. Winston, Chief Risk Officer, Morgan Stanley Investment Management
• Putting Economics Back Into Quantitative Models
  Slides
  – Vineer Bhansali, Head of Analytics, PIMCO

LATE AFTERNOON

• Liquidity Risk in the Corporate Bond Markets
  Slides
  – George Chacko, Associate Professor of Business Administration, Harvard Business School
• Returns to Portfolios of Movies
  Slides
  – Andrew Rudd, Managing Partner and Mark Ferrari, Director of Research, Procinea Management, LLC

Evening Events — Reception and Informal Dinner

Wednesday, April 5

MORNING

• Participant Reaction and the Performance of Funds Offered by 401(k) Plans
  Slides
  – Edwin Elton and Martin J. Gruber, Nomura Professors of Finance Leonard N. Stern School of Business, New York University
• Persistence, Predictability, and Portfolio Planning
  Slides
  – Michael Brennan, Emeritus Professor Anderson School of Management, UCLA

Seminar Adjournment

 

---