Money, Models, and Digital Innovation
Friday, January 12, 2018
University of California San Diego, Rady School of Management
Money, Models, and Digital Innovation
Please join GIC and University of California, San Diego, for the presentation of the GIC Frederick Heldring Award for Global Leadership to Eric Rosengren, the President of the Federal Reserve Bank of Boston at the January 12, 2018, conference on Money, Models, and Digital Innovation. After receiving his award, President Rosengren will give remarks on An Economic Outlook on the U.S. Economy.
The conference will explore digital innovation in money and portfolio management, with expert panels on Big Data and Machine Learning, Portfolio Optimization, and Crypto-Digital currencies as money and as investments. Lunch will be a conversation with Nobel Prize winner Harry Markowitz, who started the modern portfolio era with his pioneering work on risk and portfolio selection.
About the Frederick Heldring Award: The Global Interdependence Center presents the Frederick Heldring Award to individuals who have demonstrated an exemplary commitment to the development of international relations, trade, and global citizenship in their lifetimes. In 1976, Frederick Heldring founded the Global Interdependence Center (GIC), serving as Chair until 2000. The Global Interdependence Center encourages the expansion of global dialogue and free trade to improve cooperation and understanding with the goal of reducing international conflicts and improving worldwide living standards. For a list of previous award recipients, click here.
9:30 a.m. | Registration
- David Kotok, GIC Board Member and Chief Investment Officer, Cumberland Advisors
- Robert Sullivan, Dean, Rady School of Management, University of California, San Diego
10:00 a.m. | The Rise of Big Data and Machine Learning: Can data science and quantitative methods co-exist with judgment and heuristics?
- The arms race in big data, machine learning, and mathematics in the pursuit of alpha
- Sylvain Champonnois, BlackRock
- Smart Beta: Will rules-based factor investing commoditize active management?
- Jeremy Schwartz, Director of Research, WisdomTree
- Quantitative Methods and Judgment: Competitors or complements?
- Allan Timmermann, Atkinson/Epstein Endowed Chair, Co-Director, Master of Finance Program, UCSD
Moderator: Michael Melvin, Executive Director, Master of Finance Program, UC San Diego
11:00 a.m. | Modern Portfolio Theory: Best practices in setting risk and return while avoiding the illusion of precision
- Risk and Return: Setting long-term return expectations with limited historical data and outliers like 2008-2009. Dealing with estimation error that creates a fuzzy efficient frontier, not a crisp line.
- Philippe Jorion, Managing Director, Risk Management, PAAMCO and Professor at UC Irvine
- Blending Judgment and Empiricism to Optimize Your Portfolio
- Ross Valkanov, Zable Endowed Chair in Management and Professor of Finance at the Rady School of Management, UC San Diego
- Managing Global Asset Allocation Portfolios with Big Data, Modern Portfolio Theory, and Judgment
- Phillip Green, Managing Director, BlackRock
- Moderator: Stephen Sexauer, CIO, San Diego County Employees Retirement Association
12:00 p.m. | Lunch Conversation with Harry Markowitz
The story of the insights behind Markowitz’s PhD dissertation on Portfolio Selection. Insights that have stood the test of time for 65 years and earned the Nobel Memorial Prize in Economic Sciences.
1:00 p.m. | Presentation of the GIC Frederick Heldring Award for Global Leadership to Eric Rosengren
- Presented by David Kotok, CIO Cumberland Advisors and GIC Board Member
1:15 p.m. | Keynote Address: An Economic Outlook on the U.S. Economy
- Eric Rosengren, President and CEO, Federal Reserve Bank of Boston
2:00 p.m. | Crypto-Digital Currencies: Are they money? Are they secure? Who’s in charge?
- Crypto-Digital Currencies, from J-Coin to Bitcoin: How big? Are they money? Will there be “Fedbits?”
- Cryptocurrencies: A currency to set prices and store of value or a technology to manage data?
- Is My Money Safe? Cybersecurity and Protecting the Payments Systems: What is the role of central banks in protecting the payments system in a 24×7 digital and electronically borderless world? Do central banks need global coordinated 24×7 operations to ensure stability and liquidity?
- Speakers TBA
Moderator: David Altig, Executive Vice President and Director of Research, Federal Reserve Bank of Atlanta
3:00 p.m. | Are cryptocurrencies currencies an asset class? Do they belong in your investment portfolio?
- Will Cryptocurrencies and Initial Coin Offerings be the Next Bubble to Burst?
- Harley Bassmann, The Complexity Maven
- Are Cryptocurrencies an Asset Class? Do they belong in a portfolio? Can you model them?
- Speaker TBA
3:45 p.m. | Conclusion
- Stephen Sexauer, CIO, San Diego County Employees Retirement Association
Eric Rosengren, Ph.D.President and CEO of the Federal Reserve Bank of Boston
Eric S. Rosengren became President and Chief Executive Officer of the Federal Reserve Bank of Boston on July 23, 2007. Previously, Rosengren was executive vice president and head of the Bank’s department of supervision, regulation, and credit.
David E. Altig, Ph.D.Executive Vice President and Director of Research, Federal Reserve Bank of Atlanta
Dr. David E. Altig is executive vice president and director of research at the Federal Reserve Bank of Atlanta. In addition to advising the Bank president on monetary policy and related matters, Dr. Altig oversees the Bank’s regional executives and the Bank’s research department.
Harley BassmanPrivate Investor
Harley Bassman created, marketed and traded a wide variety of derivative and structured products during his twenty six year career at Merrill Lynch.
Philippe JorionProfessor of Finance, Paul Merage School of Business at the University of California -Irvine
Philippe Jorion has authored more than a hundred publications directed to academics and practitioners on the topics of portfolio allocation, investment management, and risk management. His research has received wide recognition, including prizes for best papers in the Journal of Finance and in the Financial Analysts Journal.
David KotokCIO of Cumberland Advisors
David R. Kotok cofounded Cumberland Advisors in 1973 and has been its chief investment officer since inception. He holds a B.S. in economics from the Wharton School of the University of Pennsylvania, an M.S. in organizational dynamics from the School of Arts and Sciences at the University of Pennsylvania, and a master’s in philosophy from the University of Pennsylvania.
Michael MelvinExecutive Director, Master of Finance program, Rady School of Management University of California San Diego
Michael Melvin’s research in investments and international finance focuses on real issues facing global investors. He has published research in topics including exchange rates, currency investing, and international equity markets. His current research is focused on currency carry trades and transaction costs and exchange rate models.
Jeremy SchwartzDirector of Research, WisdomTree
As Director of Research, Jeremy is responsible for the WisdomTree equity index construction process and oversees research across the WisdomTree family.
Stephen SexauerChief Investment Officer, The San Diego County Employees Retirement Association
Stephen Sexauer is SDCERA’s Chief Investment Officer and oversees SDCERA’s $12 billion Trust Fund, investment team, and investment consultants. In addition to the day-to-day operation of SDCERA’s Investment Division, he also assists SDCERA’s Board with determining the Fund’s investment policies, strategy and asset allocation.
Robert S. SullivanDean, Rady School of Management University of California, San Diego
Robert S. Sullivan joined the Rady School of Management at UC San Diego as its founding dean in January 2003. Dr. Sullivan is an expert on entrepreneurship, knowledge management and operations management.