Money, Models, and Digital Innovation
Date: Friday, January 12, 2018
San Diego, CA
GIC is proud to present the GIC Frederick Heldring Award for Global Leadership to Eric Rosengren, President of the Federal Reserve Bank of Boston. President Rosengren will give the keynote talk at the Money, Models, and Digital Innovation conference in San Diego on January, 12, 2018.
Presentation Documents
- Fraud and Cryptocurrencies: An Alternative Payment System Exploited by Fraudsters – Jane Hennessy
- MODERN PORTFOLIO THEORY: Dealing with Uncertainty – Philippe Jorion
- Considering Alternative Monetary Policy Frameworks: An Inflation Range with an Adjustable Inflation Target – Eric Rosengren
- Will Crypto-currencies and ICO’s be the next bubble to burst – Harley Bassman
- Rambling Near the Edge – Harley Bassman
- Tulips for the Masses – Harley Bassman
- Smart Beta: Will rules-based factor investing commoditize active management? – Jeremy Schwartz
- The Rise of Big Data and Machine Learning: Can data science and quantitative methods co-exist with judgment and heuristics? – Michael Melvin
- The 100 Trillion Dollar Line – Stephen Sexauer
- Quantitative methods and judgment: Competitors or complements? – Allan Timmermann
- Blockchain and Bitcoin Regulation – Dov Greenbaum
Event Detail
Money, Models, and Digital Innovation
Please join GIC and University of California, San Diego, for the presentation of the GIC Frederick Heldring Award for Global Leadership to Eric Rosengren, the President of the Federal Reserve Bank of Boston at the January 12, 2018, conference on Money, Models, and Digital Innovation. After receiving his award, President Rosengren will give remarks on An Economic Outlook on the U.S. Economy.
The conference will explore digital innovation in money and portfolio management, with expert panels on Big Data and Machine Learning, Portfolio Optimization, and Crypto-Digital currencies as money and as investments. Lunch will be a conversation with Nobel Prize winner Harry Markowitz, who started the modern portfolio era with his pioneering work on risk and portfolio selection.
About the Frederick Heldring Award: The Global Interdependence Center presents the Frederick Heldring Award to individuals who have demonstrated an exemplary commitment to the development of international relations, trade, and global citizenship in their lifetimes. In 1976, Frederick Heldring founded the Global Interdependence Center (GIC), serving as Chair until 2000. The Global Interdependence Center encourages the expansion of global dialogue and free trade to improve cooperation and understanding with the goal of reducing international conflicts and improving worldwide living standards. For a list of previous award recipients, click here.
Attendees of Money, Models, and Digital Innovation can receive credit from the following organizations:
- AFCPE Post Certification (5 credits)
- CFP Board (5 CE credit hours)
Agenda
9:30 a.m. | Registration
Welcome
- Donald Rissmiller, Founding Partner of Strategas
- Robert Sullivan, Dean, Rady School of Management, University of California, San Diego
10:00 a.m. | The Rise of Big Data and Machine Learning: Can data science and quantitative methods co-exist with judgment and heuristics?
- The arms race in big data, machine learning, and mathematics in the pursuit of alpha
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- Sylvain Champonnois, BlackRock
- Smart Beta: Will rules-based factor investing commoditize active management?
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- Jeremy Schwartz, Director of Research, WisdomTree
- Quantitative Methods and Judgment: Competitors or complements?
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- Allan Timmermann, Atkinson/Epstein Endowed Chair, Co-Director, Master of Finance Program, UCSD
- Moderator: Michael Melvin, Executive Director, Master of Finance Program, UC San Diego
11:00 a.m. | Modern Portfolio Theory: Best practices in setting risk and return while avoiding the illusion of precision
- Risk and Return: Setting long-term return expectations with limited historical data and outliers like 2008-2009. Dealing with estimation error that creates a fuzzy efficient frontier, not a crisp line.
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- Philippe Jorion, Managing Director, Risk Management, PAAMCO and Professor at UC Irvine
- Blending Judgment and Empiricism to Optimize Your Portfolio
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- Ross Valkanov, Zable Endowed Chair in Management and Professor of Finance at the Rady School of Management, UC San Diego
- Managing Global Asset Allocation Portfolios with Big Data, Modern Portfolio Theory, and Judgment
- Phillip Green, Managing Director, BlackRock
- Moderator: Stephen Sexauer, CIO, San Diego County Employees Retirement Association
12:00 p.m. | Lunch Conversation with Harry Markowitz
The story of the insights behind Markowitz’s PhD dissertation on Portfolio Selection. Insights that have stood the test of time for 65 years and earned the Nobel Memorial Prize in Economic Sciences.
1:00 p.m. | Presentation of the GIC Frederick Heldring Award for Global Leadership to Eric Rosengren
- Presented by David Kotok, CIO Cumberland Advisors and GIC Board Member
1:15 p.m. | Keynote Address: An Economic Outlook on the U.S. Economy
- Eric Rosengren, President and CEO, Federal Reserve Bank of Boston
2:00 p.m. | Crypto-Digital Currencies: Are they money? Are they secure? Who’s in charge? Are cryptocurrencies currencies an asset class? Do they belong in your investment portfolio?
- Crypto-Digital Currencies, from J-Coin to Bitcoin: How big? Are they money? Will there be “Fedbits?”
- David Mills, Deputy Associate Director, Reserve Bank Operations and Payment Systems, Federal Reserve Board of Governors
- Bitcoin, a currency, commodity, or asset? Who regulates? Gains from decreasing regulatory uncertainty
- Dov Greenbaum, Yale professor of molecular biophysics and Biochemistry and director of the Zvi Meitar Institute for Legal Implications of Emerging Technologies.
- Is Bitcoin to money what Amazon was to retail? Can Bitcoin be valued How?
- Nicholas Colas, Co-founder, DATATREK Research
- A Bitcoin Future Contract: What is it? Why have it? How does it work
- Tim McCourt, Chicago Mercantile Exchange Group
- Fraud and cryptocurrencies: An alternative payment system exploited by fraudsters.
- Jane Hennessy, Head of External Alliances, G2 Web Services
- Will Cryptocurrencies and Initial Coin Offerings be the Next Bubble to Burst?
- Harley Bassmann, The Convexity Maven
- Moderator: David Altig, Executive Vice President and Director of Research, Federal Reserve Bank of Atlanta
3:45 p.m. | Conclusion
- Stephen Sexauer, CIO, San Diego County Employees Retirement Association
Event Location
Speakers
Eric Rosengren, Ph.D.
President and CEO of the Federal Reserve Bank of BostonEric Rosengren is president and CEO of the Federal Reserve Bank of Boston, one of 12 regional Federal Reserve banks. Eric is a participant in the Federal Open Market Committee, the monetary policymaking body of the United States. As CEO, Eric leads the Boston Fed’s work, which includes economic research and analysis, banking supervision and financial stability efforts, community economic development activities, and a wide range of payments, technology, and finance initiatives.
Harry Markowitz
Nobel Memorial Prize recipient, Economic SciencesHarry Markowitz was born on Aug. 24, 1927 in Chicago, as the child of Morris and Mildred Markowitz. During high school, Markowitz picked up an interest in physics and philosophy, in particular the ideas of David Hume, an interest he continued to follow during his undergraduate years at the University of Chicago.
David E. Altig, Ph.D.
Executive Vice President and Chief Economic Adviser, Federal Reserve Bank of AtlantaDavid E. Altig is executive vice president and chief economic adviser at the Federal Reserve Bank of Atlanta. He serves on the executive leadership team for the Bank's economic mobility and resilience strategic priority, is an executive cosponsor of the Working Families Employee Resource Network, and is an adviser to the executive leadership committee.
Harley Bassman
Private InvestorHarley Bassman created, marketed and traded a wide variety of derivative and structured products during his twenty six year career at Merrill Lynch.
Sylvain Champonnois
Member of Active Equity Team, BlackRockSylvain Champonnois is a member of BlackRock's Active Equity team. He focuses on the use of alternative datasets, machine learning, and natural language processing for generating alpha.
Nicholas Colas
Co-Founder, DATATREK ResearchNick is a 30+ year veteran of Wall Street with experience in equity research, money management and investment banking.
Phil Green
Managing Director, BlackRockPhil Green, Managing Director, is head of the Global Tactical Asset Allocation team within BlackRock's Multi-Asset Strategies group. Mr. Green's service with the firm dates back to 1999, including his years with Merrill Lynch Investment Managers (MLIM), which merged with BlackRock in 2006.
Dov Greenbaum
Director of the Zvi Meitar Institute and Professor at Yale UniversityDov Greenbaum has undergraduate degrees in economics and biology from Yeshiva University and a doctorate in bioinformatics/genetics, a data science field, from Yale University. Dov also has a law degree with a focus on intellectual property from the University of California, Berkeley.
Jane Hennessy
Head of External Alliances, G2 Web ServicesJane Hennessy is Head of External Alliances at G2 Web Services, headquartered in Bellevue, Washington. G2 Web Services is a technology and services company that helps banks, processors and their partners ensure safer and more profitable commerce. Clients representing over half of merchant outlets globally use our solutions to identify bad actors and keep them out of the payments system.
Philippe Jorion
Professor of Finance, Paul Merage School of Business at the University of California -IrvinePhilippe Jorion has authored more than a hundred publications directed to academics and practitioners on the topics of portfolio allocation, investment management, and risk management. His research has received wide recognition, including prizes for best papers in the Journal of Finance and in the Financial Analysts Journal.
David Kotok
Chief Investment Officer of Cumberland AdvisorsDavid Kotok co-founded Cumberland Advisors in 1973 and has been its Chief Investment Officer since inception. David’s articles and financial market commentaries have appeared in the New York Times, the Wall Street Journal, Barron’s, and other publications. He is a frequent contributor to Bloomberg TV and Bloomberg Radio, Yahoo Finance TV, and other media.
Tim McCourt
Executive Director, Equity Products, CME GroupTim McCourt serves as CME Group’s Managing Director and Global Head of Equity Products. He is responsible for leading the company’s global Equity Index product line. He also serves on the S&P Dow Jones Indices U.S. Advisory Panel.
Michael Melvin, Ph.D.
Executive Director, Master of Finance Program and Pacific Center for Asset Management, UCSDMichael Melvin’s research in investments and international finance focuses on real issues facing global investors. He has published research in topics including exchange rates, currency investing, and international equity markets. His current research is focused on currency carry trades and transaction costs and exchange rate models.
David Mills
Deputy Associate Director, Board of Governors of the Federal Reserve SystemDavid Mills is Deputy Associate Director at the Board of Governors of the Federal Reserve System in Washington, DC. He has responsibilities for the Board’s payments research and retail payments.
Donald Rissmiller
Founding Partner and Chief Economist of StrategasMr. Rissmiller is a founding Partner of Strategas and has directed the Firm's macroeconomic research efforts since 2006. He oversees Strategas' thematic research as well as high-frequency econometric forecasting.
Jeremy Schwartz
Global Chief Investment Officer, WisdomTreeJeremy Schwartz has served as our Global Chief Investment Officer since November 2021 and leads WisdomTree’s investment strategy team in the construction of WisdomTree’s equity indexes, quantitative active strategies and multi-asset model portfolios.
Stephen Sexauer
Chief Investment Officer, The San Diego County Employees Retirement AssociationStephen Sexauer is SDCERA’s Chief Investment Officer and oversees SDCERA’s $14 billion Trust Fund, investment team, and investment consultants. In addition to the day-to-day operation of SDCERA’s Investment Division, he also assists SDCERA’s Board with determining the Fund’s investment policies, strategy and asset allocation.
Robert S. Sullivan
Dean, Rady School of Management University of California, San DiegoRobert S. Sullivan joined the Rady School of Management at UC San Diego as its founding dean in January 2003. Dr. Sullivan is an expert on entrepreneurship, knowledge management and operations management.
Allan Timmermann
Atkinson/Epstein Endowed Chair, Co-Director, Master of Finance Program, UCSDAllan Timmermann uses a mix of theory, data and econometric techniques to understand the behavior of prices and expectations in financial markets.
Rossen Valkanov
Zable Endowed Chair in Management and Professor of Finance at the Rady School of Management, UC San DiegoRossen Valkanov is the Zable Endowed Chair in Management and Professor of Finance at the Rady School of Management, and inaugural Co-Director of the new Master’s in Finance program. He received his Ph.D. in economics from Princeton University (1999) and graduated summa cum laude from the University of California, Irvine with a BA in economics (1995).
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