*Thursday, April 2, 2015, at 5:30PM. Networking, hors d'oeuvres (including vegetarian options); 6:15 PM: Presentation
Agenda
Ashwin will discuss a recent paper co-authored with Myron Scholes and soon to be submitted for publication in academic journals. Traditional academic literature has relied on so-called "limits to arbitrage" theories to explain why investment managers are unable to eliminate the effects of investor "irrational" preferences (either the asset-pricing anomalies or the behavioral finance literature) on asset pricing.
They demonstrate, however, that investment managers may not eliminate the observed asset-pricing anomalies because they may contribute to their existence. They show that if managers face constraints such as a "tracking-error constraint," coupled with the need to hold liquidity to meet redemptions or to actively-manage investments, managers optimally hold higher-volatility securities in their portfolios.
Download the paper: http://www.gsb.stanford.edu/faculty-research/working-papers/cost-constraints-risk-management-agency-theory-asset-prices
Background
Ashwin Alankar is Global Head of Asset Allocation & Risk Management for Janus Capital Group. In this role he will have responsibility for leading and advising on risk management issues across the platform and define short- and long-term approaches to asset allocation. He also co-manages the Janus Global Allocation Funds. Prior to joining Janus in August 2014, Mr. Alankar served from 2010 to 2014 as co-chief investment officer of AllianceBernstein's tail risk parity and senior hedge fund portfolio manager of the firm's multi-asset class market neutral systematic hedge fund. Prior to that, he was a partner and capital allocation committee member for Platinum Grove Asset Management from 2003 to 2010. Mr. Alankar's experience also includes serving as a consultant in the financial litigation division of the Law and Economics Consulting Group from 2001 2002.
Education
Mr. Alankar holds a bachelor of science degree in chemical engineering and mathematics and a master of science degree in chemical engineering, both from Massachusetts Institute of Technology. He also holds a Ph.D. in finance from the University of California at Berkeley Haas School of Business. Mr. Alankar has 14 years of financial industry experience.
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LocationMarco's Coal-Fired Pizzeria (View)
2129 Larimer St.
Denver, CO 80205
United States
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