2013 Forum Agenda

October 23, 2013

Welcome
Don Keim, Inaugural Director, Jacobs Levy Center; John B. Neff Professor of Finance, Wharton School of the University of Pennsylvania
Welcome Remarks

Bruce Jacobs, Chair of the Advisory Board, Jacobs Levy Center; Principal and Co-Founder, Jacobs Levy Equity Management
Welcome Remarks

Carry
Presenter: Lasse Pedersen, John A. Paulson Professor of Finance and Alternative Investments, NYU Stern School of Business; Professor, Copenhagen Business School; Principal, AQR Capital Management
Paper | Presentation | Video

Asset Pricing in the Dark: The Cross-Section of OTC Stocks
Presenter: Andrew Ang, Ann F. Kaplan Professor of Business; Chair of the Finance and Economics Division, Columbia Business School
Paper | Presentation | Video

Keynote Address: Leverage Aversion—A Third Dimension In Portfolio Theory And Practice
Bruce Jacobs, Principal and Co-Founder, Jacobs Levy Equity Management
Kenneth Levy, Principal and Co-Founder, Jacobs Levy Equity Management
Paper #1 | Paper #2 | Presentation | Video

Arbitrage Asymmetry and The Idiosyncratic Volatility Puzzle
Presenter: Robert Stambaugh, Miller Anderson & Sherrerd Professor of Finance, Wharton School of the University Of Pennsylvania
Paper | Presentation | Video

Prize Ceremony
Awarding of the Wharton-Jacobs Levy Prize for Quantitative Financial Innovation to Harry Markowitz, Nobel Laureate; Adjunct Professor of Finance, Rady School of Management, University Of California, San Diego

Officiating:
Michael Gibbons, Deputy Dean; I.W. Burnham II Professor of Investment Banking, Wharton School of the University Of Pennsylvania
Bruce Jacobs, Principal and Co-Founder, Jacobs Levy Equity Management
Kenneth Levy, Principal and Co-Founder, Jacobs Levy Equity Management
Paper | Presentation | Video