Posted 5/29/09
CALL FOR PAPERS
FOURTH ANNUAL CONFERENCE ON ADVANCES IN THE ANALYSIS
OF HEDGE FUND STRATEGIES
Hosted by
Imperial College Business School
(Imperial College London)
London, United Kingdom
Thursday 3rd December 2009
Imperial College Business School and the RML (Risk
Management Lab) Centre for Hedge Fund Research are inviting
submissions to the Fourth Annual Conference on Advances in
the Analysis of Hedge Fund Strategies.
OBJECTIVES OF THE CONFERENCE:
1) To present state-of-the-art international research on
major issues regarding hedge fund strategies in all
asset classes and their impact on financial markets
2) To provide a forum for debate among researchers, senior
market participants and policy makers. Relevant
empirical, policy-oriented and theoretical research will
be considered
TOPICS:
Areas of interest include, but are not limited to, the following:
1) Significance and economic value of return and
volatility predictability in asset returns (in-sample
and out of sample predictability in different asset
classes, e.g. commodities, derivatives, equities, fixed
income, foreign exchange, hedge funds and REITs)
2) Risk and return of trading strategies in novel
(derivative) contracts: variance and correlation swaps,
emission permits, credit and environmental risk
derivatives, insurance-linked securities)
3) Policy implications and hedge fund behaviour (What are
the pros and cons of position disclosure requirements
for investment funds such as hedge funds? What effect do
position restrictions and disclosure requirements have
on the efficient functioning of financial markets? Is
hedge fund leverage high compared to other financial
institutions? What is the effect of hedge fund leverage
on financial markets? What are the effects of herding by
hedge funds and crowded trades?)
4) Incorporating transactions costs into trading strategies
(How are net returns affected by transaction costs? How
can transaction costs be optimized? How do hedge funds
provide or demand liquidity in different asset classes?
Do hedge funds provide liquidity and reduce volatility?
When and how do hedge funds buy and sell from certain
financial institutions?)
5) Hedge fund performance and risk measurement, hedge fund
replication (What risk management models are optimal for
different hedge fund strategies and investment
objectives? Can hedge fund returns be replicated out of
sample?)
KEYNOTE SPEAKER:
Peter Carr (New York University Courant Institute and
Bloomberg) will give the keynote speech at the conference.
PREVIOUS CONFERENCES:
This is the fourth Imperial College Business School
Conference on Advances in the Analysis of Hedge Fund
Strategies. Previous conferences were considered a big
success by the audience and the conference programmes can
be found at:
http://www3.imperial.ac.uk/riskmanagementlaboratory/events/advancesinhedgefunds
http://www3.imperial.ac.uk/riskmanagementlaboratory/events/hedgefundstrategies
http://www3.imperial.ac.uk/riskmanagementlaboratory/events/thirdhedgefundconference
PAPER SUBMISSION DEADLINE:
Papers should be submitted by Tuesday 18th August 2009 (5pm
GMT).
Papers will be selected for presentation based on reviews
by the programme committee. Members of the committee are:
Sid Browne (Columbia University), Robert Kosowski
(Director, RML Hedge Fund Centre) and Allan Timmermann
(UCSD). The authors of selected papers will be informed in
early September 2009. The preliminary conference programme
is expected to be available by the end of September 2009 on:
http://www3.imperial.ac.uk/riskmanagementlaboratory/centres/hedgefundcentre
EXPENSES:
Travel (best buy economy class round-trip) and
accommodation expenses will be covered for speakers and
discussants.
PAPER SUBMISSION PROCEDURE:
Research papers should be sent electronically (PDF versions
only) to:
CONTACT: Beatrix Vegh
Administrator
RML Hedge Fund Centre
Email: MAILTO:b.vegh@imperial.ac.uk
PAPER FORMAT:
All papers must be in English and must be accompanied by a
200 word abstract. The name of the file should be the
surname of the submitting author.
FURTHER INFORMATION:
For additional information, please contact:
CONTACT: Beatrix Vegh
Administrator
RML Hedge Fund Centre
Email: MAILTO:b.vegh@imperial.ac.uk
Web:
http://www3.imperial.ac.uk/riskmanagementlaboratory