International Workshop : Advances in Quantitative Asset Management 25 novembre

© 2016 Larefi © 2016 Larefi

Date :
25 novembre 2016

Thème du colloque :
Advances in Quantitative Asset Management

Lieu :
IEP Bordeaux Allé Ausone - Pessac

Comité d’organisation et contact :


contact :

Comité scientifique :

 Pedro ARBULU, Université de Bordeaux, (IRGO)
 Armand BAJARD, KEDGE Business school, Bordeaux
 Pascal BARNETO, Université de Bordeaux, (IRGO)
 Jean BELIN, Université de Bordeaux, (GREThA)
 Olivier BRANDOUY, Workshop chair, Université de Bordeaux, (GREThA)
 Christophe FAUGERE, KEDGE Business school, Bordeaux
 Emmanuelle GABILLON, Université de Bordeaux, (GREThA)
 Joanne HAMET, Université de Bordeaux, (IRGO)
 Ion LAPTEACRU, Université de Bordeaux, (LAREFI) 
 Franz MAURER, KEDGE Business school, Bordeaux
 Jean-Etienne PALARD, Université de Bordeaux, (IRGO)
 Jean-Charles RICHARD, LYXOR Asset Management
 Ignace VAN DE WOESTYNE, KUB, Bruxelles
 Anne-Gaël VAUBOURG, Université de Bordeaux, (LAREFI)

Présentation du colloque :

The Bordeaux Banking and Finance Group, a joint initiative of researchers from two research centres of the University of Bordeaux (GREThA and Larefi) is pleased to announce it will host the 1st International Workshop in Quantitative Finance, Risk, and Decision Theory (QFRDT) in Bordeaux on November, 25, 2016. This year, the workshop will be dedicated to the presentation of papers focusing on new advances in “Quantitative Asset Management (QAM)”. Indeed, the recent contributions in this field raised as many questions as solutions and paradoxically, even if “quant investing” has been somewhat controversial in the aftermath of the recent financial crisis, finding-out new ways for improving portfolio resilience to financial shocks, identifying new opportunities for generating alphas, building-up smart allocations with Bayesian methods continue to be at the heart of preoccupations and still at the agenda of many investment companies. As such, topics of interest include, but are not limited to :

  •  Portfolio optimisation problems using higher moments frameworks
  •  Portfolio Bayesian optimisation
  •  New paradigms for portfolio allocation
  •  Smart beta strategies
  •  Active alpha strategies
  •  Risk parity and risk budgeting
  •  Alternative performance measures
  •  Fund Rating and performance persistence
  •  Non-standard Utility models (expected and non- expected utility models)
  •  Derivative Markets information content
  •  Assessment of various investment strategies 
  •  Market anomalies detection
  •  New methods for performance attribution
  •  Portfolio insurance
  •  Big Data and Portfolio Management
  •  Artificial Intelligence Techniques in Asset Management
  •  Automation of portfolio management
  •  Extreme risk, fat tails, correlation modelling

Conférenciers invités :

 Thierry RONCALLI, LYXOR Asset Management 
 Louis EECKHOUDT, IESEG School of Management

Dates importantes :

Soumission des papiers complets avant le 15 septembre 2016
Décision avant le 30 septembre 2016

Télécharger l’appel à communication
Télécharger le programme

Les papiers présentés :

Mise à jour le 22/06/2017