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CRETA Workshop on Risk Theory 02 - 27 September 2013, C03 Michelangelo, GIS NTU Convention Center
CRETA is honored to invite Dr. Chi-fu Huang (黃奇輔博士) as a visitor on Sept. 27 (Friday). During his visit, Dr. Huang will lecture on A Relative Value Investment Paradigm -- Wholesale Capital Market Intermediation in Fixed Income on CRETA Workshop on Risk Theory 02. The workshop is due to take place on Sept. 27 (Friday) at C03 Michelangelo, GIS NTU Convention Center (集思台大會議中心米開朗基羅廳). All participants are welcomed! Please be sure to register your attendance online by noon, Sept. 23 (Monday).
* Date: Sept. 27 (Friday), 2013, 1:30pm – 5:45pm
* Venue: C03 Michelangelo, GIS NTU Convention Center (集思台大會議中心米開朗基羅廳)
* Topic: A Relative Value Investment Paradigm -- Wholesale Capital Market Intermediation in Fixed Income
(當天將開放現場繳交台灣經濟計量學會 2014 年年度會費)
The ''Relative Value Investment'' paradigm pioneered by the Bond Arbitrage Group of Salomon Brothers in the 1980's and further developed by Long-term Capital Management in the 1990's, Platinum Grove Asset Management and others in the 2000's will be discussed in some detail in the context of global fixed income markets. Investment opportunities are created by transitory imbalances between supply and demand. Thus this paradigm is tantamount to providing an intermediation service in the market place to smooth out the transitory imbalances and to earn a return in the process. Finally, the role of leverage and principles of risk management will also be discussed.
Dr. Chi-fu Huang (黃奇輔博士) is the co-author, with R. Litzenberger, of Foundations for Financial Economics, a distinguished textbook for economics and finance graduate students. He is also a founder and the Non-Executive Chairman of Platinum Grove Asset Management L.P. (PGAM), an investment management company based in New York. He was a full professor and held the J.C. Penney Professorship in finance when he left MIT in the summer of 1994.
Dr. Huang has made major contributions to the theory of financial economics, and has written on dynamic general equilibrium theory, intertemporal utility theory, and the theory of individual consumption and portfolio decisions. His research articles have been published in several prestigious journals, such as Econometrica, Journal of Financial Economics, Journal of Financial and Quantitative Analysis and Review of Financial Studies.
Sept. 27 (Friday), C03 Michelangelo, GIS NTU Convention Center (集思台大會議中心米開朗基羅廳, 台北市羅斯福路四段 85 號 B1)
13:30-15:30: Lecture 1
15:30-15:45: Tea Break
15:45-17:45: Lecture 2