Programme

Latest Information as of 10th April 2024.

Download PDF Conference Programme

Presentations: 25 minutes followed by 5 minutes general discussion. Speakers and session chairs should meet in the lecture theatre at least 5 minutes before their session.

Wednesday, 24 April 2024
Time Details Rooms
10:00 – 11:00 hrs Conference Registration LCC, Lounge
Session 1 – Parallel Sessions
11:00 – 13:00 hrs Parallel Session 1A – Factor Investing I Chair: Kevin Schneider Support: TBC
LCC, Training Room 2
11:00 – 13:00 hrs Parallel Session 1B – Corporate Bonds Chair: Joris Blonk  Support: TBC
LCC, Training Room 3
11:00 – 13:00 hrs Parallel Session 1C – Options Chair: Manuela Pedio Support: TBC
LHH, Dalton Suite
13:00 – 14:00 hrs Lunch Break and Poster Session I LUMS LT2 & 3 Breakout
14:00 – 14:15 hrs Welcome and Logistics LUMS, LT1
Session 2 – Keynote (Plenary) Chair: TBC Support: TBC
14:15 – 15:15 hrs Keynote Speech: Marcin Kacperczyk, Imperial College London
“Climate Finance”
LUMS LT1
15:15 – 15:45 hrs Refreshment Break LCC, Lounge
Session 3 – Parallel Sessions
15:45 – 17:45 hrs Parallel Session 3A – Next Gen Quant Investing Chair: Teng Andrea Xu
Support: TBC
LCC, Training Room 2
15:45 – 17:45 hrs Parallel Session 3B – Factor Models Chair: Alberto Quaini
Support: TBC
LCC, Training Room 3
15:45 – 17:45 hrs Parallel Session 3C – Risk Chair: Christoph Frey
Support: TBC
LHH, Dalton Suite
18:00 hrs

18:15 – 20:15 hrs
20:15 hrs

Coach departs promptly from outside the Management School for The Ashton Memorial
Drinks Reception and Canapes
Coach departs – drop off City Centre and Campus
The Ashton Memorial
Thursday, 25th April 2024
Session 4 – Keynote (Plenary) Chair: Harald Lohre Support: TBC
09:00 – 10:00 hrs Keynote Speech: Magnus Dahlquist, Stockholm School of Economics
“The Anatomy of Currency Trading Strategies”
LU, GF LT1
10:00 – 10:15 hrs Refreshment Break LCC, Lounge
10:15 – 12:15 hrs Session 5 – Parallel Sessions
10:15 – 12:15 hrs Parallel Session 5A – Asset Pricing Chair: Alexandre Corhay
Support: TBC
LCC, Training Room 2
10:15 – 12:15 hrs Parallel Session 5B – Factors & Funds Chair: Yuekun Liu Support: TBC
LCC, Training Room 2
10:15 – 12:15 hrs Parallel Session 5C – Currencies Chair: Aleksey Kolokolov
Support: TBC
LHH, Dalton Suite
12:15 – 13:30 hrs Lunch Break and Poster Session II Lounge
Session 6 – Keynote (Plenary) Chair: Harald Lohre Support: TBC
13:30 – 14:30 hrs Keynote Speech: Scott Wolle, Invesco
“Macro Factor Investing: Practical Applications”
LUMS, WP LT17
14:30 – 14:45 hrs Refreshment Break LCC, Lounge
14:45 – 16:15 hrs Parallel Session 7A – Climate Risk Chair: Cheng Xue Support: TBC
LCC Training Room 2
14:45 – 16:15 hrs Parallel Session 7B –Mispricing Chair: Soohun Kim Support: TBC
LCC Training Room 3
14:45 – 16:15 hrs Parallel Session 7C – Bonds Chair: Katerina Tsakou
Support: TBC
LHH, Dalton Suite
16:15 – 16:45 hrs Refreshment Break  LHH, Lounge
16:45 – 17:45 hrs Session 8 – Parallel Sessions
16:45 – 17:45 hrs Parallel Session 8A – Hedge Funds and Retail Investors Chair: Xi Dong Support: TBC
LCC, Training Room 2
16:45 – 17:45 hrs Parallel Session 8B – Analysts Chair: Gabriel Cabrera Support: TBC
LCC, Training Room 3
16:45 – 17:45 hrs Parallel Session 8C – Sustainability Chair: Raman Uppal Support: TBC
LHH, Dalton Suite
 Conference Dinner
18:15 hrs A coach departs promptly from outside LUMS for Wyreside Hall
18:30 – 19:30 hrs Welcome Drinks
19:30 hrs Conference Dinner

Best Paper Awards:

  • Invesco Factor Investing Prize
  • Robeco Sustainable Investing Prize
  • Quoniam Innovation in Data-driven Investing Prize
22:00 hrs Coach Departs – Drop off outside LUMS and City Centre
Friday, 26th April 2024
Session 9 – Keynote (Plenary) Chair: TBC Support: TBC
09:00 – 10:00 hrs Keynote Speech: Laurens Swinkels, Robeco
“My Life as a Pracademic: Reflections on Finance in Practice and Academia”
LUMS, WP LT15
10:00 – 10:15 hrs Refreshment Break LCC, Lounge
10:15 – 12:15 hrs Session 10 – Parallel Sessions
10:15 – 12:15 hrs Parallel Session 10A – Transaction Costs & Corporate Bonds Chair: Victor DeMiguel
Support: TBC
LCC, Training Room 2
10:15 – 12:15 hrs Parallel Session 10B – Factor Portfolio Construction Chair: Nikolaos Vasilas
Support: TBC
  • Sebastian Weibels, University of Cologne
    Deep Parametric Portfolio Policies (with Frederik Simon & Tom Zimmermann, University of Cologne)
  • Mohammad Pourmohammadi, University of Geneva
    Universal Portfolio Shrinkage (with Bryan Kelly, Yale University, Semyon Malamud, École Polytechnique Fédérale de Lausanne, Fabio Trojani, University of Geneva)
  • Rasmus Lönn, Erasmus University Rotterdam
    Dynamic Parametric Portfolio Policies (with Bram van Os, Vrije University Amsterdam, Dick van Dijk, Erasmus University Rotterdam)
  • Nikolaos Vasilas, Lancaster University and Ultramarin
    Power Sorting (with Anastasios Kagkadis, Liverpool University, Harald Lohre, Robeco, Ingmar Nolte & Sandra Nolte, Lancaster University)
LCC, Training Room 3
10:15 – 12:15 hrs Parallel Session 10C – Forecasting Chair: Franziska Peter
Support: TBC
LHH, Dalton Suite
12:15 – 13:30 hrs Lunch Break and Poster Session III Lounge
13:30 – 15:30 hrs Session 11 – Parallel Sessions
13:30 – 15:30 hrs Parallel Session 11A – Factor Investing II Chair: Steffen Windmüller Support: TBC
LCC, Training Room 2
13:30 – 15:00hrs Parallel Session 11B – Portfolio Allocation and Factor Models Chair: Costas Xiouros
Support: TBC
LCC, Training Room 3
13:30-15:30 hrs Parallel Session 11C – Quality Factors Chair: Jerry Sun Support: TBC
LHH, Dalton Suite
15:30 hrs End of Conference

Room References

  • LUMS = Lancaster University Management School
  • LUMS WP = Lancaster University Management School West Pavilion
  • LHH = Lancaster House Hotel
  • LCC = Lancaster Conference Centre (which is situated at the back of Lancaster House Hotel)
  • LU GF = Lancaster University George Fox

POSTER SESSION I
Wednesday, 24th April 2024

POSTER SESSION II
Thursday, 25th April 2024

POSTER SESSION III
Friday, 26th April 2024