8:45 a.m.
Welcome Remarks
Christopher Geczy, Adjunct Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School, University of Pennsylvania
Erika James, Dean, The Wharton School, University of Pennsylvania
Bruce Jacobs, Principal and Co-Founder, Jacobs Levy Equity Management; Chair of the Advisory Board, Jacobs Levy Center
9:00 a.m.
Machine Learning Meets Markowitz
Presenter:
Campbell Harvey, J. Paul Sticht Professor of Finance, Fuqua School of Business, Duke University
Paper
10:25 a.m.
Presentation of the Jacobs Levy Center Research Award
Officiants:
Bruce Jacobs, Principal and Co-Founder, Jacobs Levy Equity Management; Chair of the Advisory Board, Jacobs Levy Center
Ken Levy, Principal and Co-Founder, Jacobs Levy Equity Management
Craig MacKinlay, Joseph P. Wargrove Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School, University of Pennsylvania
10:40 a.m.
Demand Propagation Through Traded Risk Factors
Presenter:
Amy Wang Huber, Assistant Professor of Finance, The Wharton School, University of Pennsylvania
Paper
12:30 p.m.
Keynote Fireside Chat
Speaker:
Cliff Asness, Founder, Managing Principal and Chief Investment Officer, AQR Capital Management
Moderator:
Christopher Geczy, Adjunct Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School, University of Pennsylvania
1:45 p.m.
Rethinking Mutual Fund Performance: From Traditional Alpha to Achievable Alpha
Presenter:
Raman Uppal, Professor of Finance, EDHEC Business School
Paper
3:10 p.m.
Recession Risk and Asset Prices: Evidence from Recession Prediction Markets
Presenter:
Jonathan Hartley, Assistant Professor of Economics, School of Civic Leadership, University of Texas at Austin
Paper
4:20 p.m.
Closing Remarks
Christopher Geczy, Adjunct Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School, University of Pennsylvania