Professor Collin-Dufresne will be presenting his paper “Liquidity regimes and optimal dynamic asset allocation”
The paper was published in the Journal of Financial Economics and the authors solved a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios in all future states. The trading speed is higher in more persistent, riskier, and higher-liquidity states. It can be optimal to overweight low Sharpe-ratio assets such as Treasury bonds because they remain liquid even in crisis states. Pierre Collin-Dufresne will illustrate their methodology by constructing an optimal US equity market timing portfolio based on an estimated regime-switching model and on trading costs estimated using a large-order institutional trading data set.
About the presenter
Pierre Collin-Dufresne is a Professor at the Swiss Finance Institute of the École Polytechnique Fédérale de Lausanne.
He has published in leading academic journals such as Econometrica, The American Economic Review, and The Journal of Finance and won various research awards including Amundi Smith Breeden Prizes. He has served as director of the American Finance Association, director of the Western Finance Association, associate editor for several leading finance journals, and has been a member of the Center of Economic Policy Research and of the National Bureau of Economic Research. Before joining the SFI, he was the Carson Family Professor of Business at Columbia University. He previously held professorships at the Haas School of Business of UC Berkeley and at Carnegie Mellon University. Professor Collin-Dufresne also worked in the Quantitative Strategies group of Goldman Sachs Asset Management and as consultant for the Federal Reserve Bank of New York and the European Central Bank, as well as for Cornerstone Research.
Title: “Liquidity regimes and optimal dynamic asset allocation”
Speaker: Professor Pierre Collin-Dufresne, Swiss Finance Institute at EPFL
Date: 14 October 2021
Time: 16.00h CET
To register please click here
The webinar will be accessible to Inquire Europe and Inquire UK members, as well as to other interested members of the public.