The Conventional Past, Behavioral Present, And Algorithmic Future of Risk And Finance

Tuesday, March 12, 2013 - 4:30pm - 5:30pm EDT

  • Location:RH 519

Phil Maymin Lecture - Sloan Foundation - March 12th

Tuesday, March 12, 2013

Time: 4:40PM

Location: RH519

FRE Social begins at 4PM in RH 519 (refreshments will be served)

Speaker

Philip Maymin

Assistant Professor
Department of Finance and Risk Engineering
Polytechinic Institute of New York University

Abstract

The three phases of modern finance:

  • 1950s modern portfolio theory -- regression and optimization
  • 1990s behavioral finance -- phychological factors and limits to arbitrage
  • 2010s algorithmic finance -- investor heuristics, automated processes, and disequilibrium models.