International Association of Quantitative Finance (IAQF) and The Thalesians Present:
Forced Liquidations, Fire Sales, and The Cost of Illiquidity: A Talk by Andrew Weisman
Institutional investors seeking diversification often build portfolios using collections of securities with widely varying characteristics. To facilitate diversification, investors rely on the “common currencies” of reported return, volatility, and correlation, and employ them as inputs to portfolio construction/ optimization models or processes. Investors using this approach are often drawn to investment opportunities that appear to exhibit diversifying properties because of their limited price discovery.
Such opportunities tend to be relatively illiquid when compared to traditional investments. Investors simply take for granted that they receive a “liquidity premium” that compensates them for the lack of liquidity. This presentation examines an intuitive, rigorous method for pricing this cost.
Andrew Weisman is Chief Investment Officer, Liquid Alternatives. In this role, Mr. Weisman serves as the firm’s subject-matter expert and thought leader on multi-asset strategies. Mr. Weisman also co-manages Janus’ liquid alternative strategies and is a member of the Janus Capital Group Global Allocation Committee.
Prior to joining the firm in 2012, Mr. Weisman was CEO of WR Platform Advisors, Inc., a technology platform and service provider of managed accounts, risk analytics, and investor reporting for hedge funds. Before that, he was Managing Director and Chief Portfolio Manager for Merrill Lynch’s Hedge Fund Development and Management Group. Prior to Mr. Weisman was Chief Investment Officer and Member of the Board of Directors for Nikko International.
Mr. Weisman has published an extensive collection of articles on asset allocation and risk issues related to hedged portfolios. His research awards include the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in The Journal of Portfolio Management in 2002 and the 2003 GAIM Research Paper of the Year. He has a bachelor’s degree from Columbia College, a master’s in international affairs from Columbia and was awarded a doctoral fellowship to Columbia University’s Graduate School of Business, where he completed all coursework and comprehensive exams toward a PhD.
He serves on the board of the International Association for Quantitative Finance, the Editorial Advisory Board of the Journal of Portfolio Management, and as Treasurer of the Society of Columbia Graduates.
Date: Monday January 12, 2015
Venue: NYU Kimmel Center, Room 914, 60 Washington Square South, New York, NY
A reception will follow the presentation
For more information and registration click here
About the Series: The IAQF’s Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The series provides a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work.