NYC / Columbia

FINANCIAL ENGINEERING PRACTITIONERS SEMINAR AT COLUMBIA UNIVERSITY

We are pleased to invite you to hear Gur Huberman at the Financial Engineering Practitioners Seminar. Sponsored by: D E Shaw & Co., Guzman & Company, ISE, Murex, Prisma Capital Partners.

The Financial Engineering Practitioners Seminar meets on Monday evenings from 6:00 pm to 7:30 pm, and is followed by a reception and refreshments. The seminars are open to the public and we welcome attendees from industry and academia. See the fall and spring seminar schedule at:

www.ieor.columbia.edu/seminars/financialengineering/2007-2008/

For directions to the seminar please see below: The Financial Engineering Practitioners Seminar is held at 412 Schapiro CEPSR in Davis Auditorium on Columbia University's Morningside Campus. Enter through campus at 116th Street and then walk north. Davis Auditorium is located in the Schapiro Center towards the north end of the Morningside campus. Please click below for a map of the campus:

www.columbia.edu/cu/aboutcolumbia/maps/index.html

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Performance Maximization of Actively Managed Funds

Date: 02-25-2008
Start Time: 6:00pm
End Time: 7:30pm
Speaker: Gur Huberman, Columbia University - Graduate School of Business
Location: 412 Schapiro CEPSR, Davis Auditorium

ABSTRACT

If asset returns are unpredictable, only access to payoffs outside the benchmark space enables a fund manager to deliver superior returns relative to a set of benchmarks. Superior performance of a fund return is measured by its Sharpe ratio or by its appraisal ratio, which indicates the statistical significance of the fund's alpha. Explicit formulas for the trading strategy that maximizes the performance ratios and for the consequent ratios themselves are derived. The performance-maximizing strategy is shown to be a variant of a buy-write strategy, which can be implemented by taking long positions in the benchmark assets and writing options on them. The manager's ability to generate superior performance is discussed extensively under the assumption that he can trade the benchmark assets and derivatives on them as frequently as he wishes but has no superior ability to predict returns or access to additional assets.

BIO

Gur Huberman is the Robert G. Kirby Professor of Behavioral Finance at the Graduate School of Business of Columbia University. Previously, Mr. Huberman taught at Tel Aviv University and at the University of Chicago. He holds a Ph.D. from Yale University.

Mr. Huberman has published over forty articles in professional journals, including the American Economic Review, the Journal of Political Economy, and the Journal of Finance. His primary research interests include Behavioral Finance, Portfolio Theory, Return-Risk tradeoffs, Money Management and Retirement Savings.