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Conférences du CREST

1st Annual Conference on
Econometrics of Hedge Funds
 
Institut Louis Bachelier –Centre d’Innovation Financière
Palais Brongniart
28 Place de la Bourse
75002 Paris
 
22-23 January 2009
 
Organizers: Serge Darolles (SGAM AI and CREST)
Christian Gouriéroux (CREST and University of Toronto)
 
 
 
 

 

22 January 2009
16.30-17.00 REGISTRATION
 
17.00-19.00 Panel Session: Where do we go from now?
Chair: Sophie van Straelen (Asterias)
 
Melissa Hill, Managing Principal, SABRE Fund Management Ltd
Louis-Armand de Rougé, Managing Director, Richcourt Fund Advisors
Alain Reinhold, Director, Reinhold Partners
Arié Assayag, Global Head of Hedge Funds Program, SGAM AI
 
20.00-22.00 Conference Dinner at Le Palais Brongniart
 
 
23 January 2009
 
8.45-10.30 Session 1: Hedge Funds Performance Measures
Chair: Olivier Toutain (Moody’s)
 
Dilip Madan (University of Maryland)
Discussant: Jean-Michel Zakoian (CREST et University of Lille 3)
 
Christian Gouriéroux (CREST and University of Toronto)
Discussant: Thierry Michel (LODH)
 
 
René Garcia (Edhec Business School)
Discussant: Nour Meddahi (TSE)
 
 
10.30-11.00 TEA/COFFEE
 
 
11.00-12.45 Session 2: Switching Models and Durations
Chair: Olivier Garnier (SGAM)
 
The Dynamics of Hedge Fund Performances
Jérôme Teiletche (Dauphine University and LODH)
Discussant: Fulvio Pegoraro (Banque de France and CREST)
 
Jean-Pierre Florens (TSE)
Discussant: Olivier Scaillet (HEC Genève)
 
Monica Billio (University of Venice)
Discussant: Alain Monfort (CNAM and CREST)
 
 
12.45-14.15 Lunch
 
 
14.15-16.00 Session 3: Cross Section Analysis of Hedge Funds Returns
Chair:
 
Vikas Agarwal (Georgia State University)
Discussant: Raphael Douady (RiskData)
 
Robert Kosowski (Imperial College London)
Discussant: Jean-Paul Laurent (ISFA Actuarial School)
 
When Diversification Increases Risk: Feedback Effects and Endogenous Correlation in Fund Returns
Rama Cont (Columbia University)
Discussant: Alfred Galichon (Ecole Polytechnique)
 
 
16.00-16.30 Tea/Coffee
 
16.30-18.15 Session 4: Liquidity and Survivorship
Chair: Laurent Clerc (Banque de France)
 
Andrew Patton (University of Oxford)
Discussant: Gaëlle Le Fol (Université d’Evry et CREST)
 
Nicolas Bollen (Vanderbilt University)
Discussant: Guillaume Simon (TSE and SGAM AI)
 
David Thesmar (HEC Paris)
Discussant: Gideon Ozik (SGAM AI)
 
 
 
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