Harry Markowitz and His Contributions to Operations Research: Celebrating the 60th Anniversary of Modern Portfolio Theory

Fordham University's Schools of Business in conjunction with The European Journal of Operational Research

27 November 2012, Fordham University, Lowenstein Center, 113, 60th Street, 12th Floor Lounge, New York, NY 10023

SCIENTIFIC COMMITTEE: Christopher Blake, Michael Doumpos, Frank Fabozzi, Iftekhar Hasan, Kose John, Yusif Simaan, Constantin Zopounidis (Special thanks to the Center for Research in Contemporary Finance at Fordham University.)

PROGRAM:

8:00 - 8:30 Registration

8:30 - 8:45 Opening Remarks
Donna Rapaccioli, Dean, Gabelli School of Business and Dean of Business Faculty, Schools of Business, Fordham University

8:45 - 10:00 Session I
Chair: An Yan, Professor and Area Chair of Finance and Business Economics, Schools of Business, Fordham University

Paper I: 60 Years of Portfolio Optimization: Practical Challenges and Current Trends
Presenter: Peter Kolm, Director of the Mathematics in Finance M.S. Program and Clinical Associate Professor of Mathematics, Courant Institute of Mathematical Sciences, New York University
Discussion and questions

Paper II: Stable Paretian vs. Student's t stock market hypothesis
Presenter: Tony Tessitore, Managing Director, Head of Equities, Gramercy Investment
Discussion and questions

Paper III: Factor-Based Asset Allocation and Illiquid Investments
Presenter: Dan di Bartolomeo, President and Founder, Northfield Information Systems, Inc.
Discussion and questions

10:15 - 11:30 Session II
Chair: Sris Chatterjee, Professor of Finance and Associate Dean, Graduate Business Education, Fordham Graduate School of Business Administration

Paper I: The Benefits of Differential Variance-Based Constraints in Portfolio Optimization
Presenter: Haim Levy, Miles Robinson Professor of Business Administration, The Hebrew University of Jerusalem
Discussion and questions

10:15 - 11:30 Session II (continued)

Paper II: Mutual Fund Performance and Predictability
Presenter: Martin Gruber, Professor Emeritus of Finance and Scholar in Residence, Stern School of Business, NewYork University
Discussion and questions

Paper III: The Opportunity Cost of Mean-Variance Choice under Estimation Risk
Presenter: Yusif Simaan, Associate Professor and Faculty Director of Master of Science in Investor Relations, Fordham Graduate School of Business Administration
Discussion and questions

11:30 - 1:00 Lunch
Remarks: Donna Rapaccioli

Keynote Speech: Nobel Laureate Harry Markowitz, Professor of Finance, The Rady School of Management, University of California-San Diego

Questions to the Keynote Speaker: Christopher Blake, Professor of Finance and Joseph Keating,S.J., Distinguished Professor of Business, Schools of Business, Fordham University

1:00 - 2:30 Session III
Panel Discussion: Personal and Professional Reflections on Harry Markowitz and His Contributions and Impact on Academe and Industry
Panel Leader: David A. Gautschi, George N. Jean Professor of Marketing and Business Economics, and Dean, Fordham Graduate School of Business Administration
Panelists: Martin Gruber, Frank Fabozzi, Dan DiBartolomeo, Haim Levy, Andrew Rudd, Tony Tessitore, Yusif Simaan, Nusret Cakici, Nilufer Usmen

2:30 - 2:45 Concluding remarks
David A. Gautschi

3:00 - 5:00 Reception



Posted 11/16/12