Measuring Portfolio Liquidity
Fabozzi, Pasquali, Anson, and Ahluwalia discussed a wide range of challenges associated with measuring portfolio liquidity, including:
- The use of Machine Learning and Artificial Intelligence in liquidity modelling
- Is the liquidity premium for illiquid assets sufficient?
- Estimating risk characteristics of private equity historical returns
- Incorporating private equity into a multi-asset portfolio construction framework
- Do HFTs really add liquidity to the market?
- Measuring and monitoring liquidity in fixed income
- TCA models and tools
- Forecasting bid-ask spreads
During the event, Mark Anson mentioned his article on liquidity premiums: Measuring Liquidity Premium for Illiquid Assets
More related content:
Pricing and Liquidity of Fixed Income ETFs in the COVID-19 Virus Crisis of 2020
Robust and Interpretable Proxies for Market and Funding Liquidity
An Application of Transaction Cost in the Portfolio Optimization Process
Interpretable Machine Learning for Diversified Portfolio Construction
PANELIST BIOGRAPHIES
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STEFANO PASQUALI Stefano is responsible for market liquidity modelling both at the security and portfolio level, as well as estimating portfolio liquidity risk profiles and provide analytics for trading support. His responsibilities include defining cross asset class models, leveraging available trade data and developing innovative machine learning based approaches to better estimate market liquidity and optimal trading strategies.
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MARK ANSON Mark Anson is the Chief Executive Officer and Chief Investment Officer of the Commonfund and Chairman of the Board of Commonfund Capital Inc. and Commonfund Asset Management Company. Previously, he was the President and Chief Investment Officer for the Bass Family Office of Ft. Worth, Texas which was recognized as Family Office of the Year for 2014 & 2015. He was the President and Global Head of Investment Management at Nuveen Investments, a fullservice asset management company with over $900 billion in assets under management. Prior to Nuveen, Mark served as the Chief Executive Officer and Chief Investment Officer for the British Telecom Pension Scheme (BTPS), the largest institutional investor in the UK with assets of £65 billion. In addition, Mark was the CEO of Hermes Pensions Management in London, a £55 billion asset management company that is wholly owned by the BTPS.
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HARSHDEEP AHLUWALIA Harshdeep Ahluwalia is a senior investment strategist and head of asset allocation, Americas at Vanguard’s Investment Strategy Group. Mr. Ahluwalia leads a team of quantitative analysts that research and develop proprietary models for multi-asset portfolio allocation, including allocation to illiquid assets like Private Equity.
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MODERATOR
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Frank J. Fabozzi is a Professor of Finance at EDHEC Business School and a Senior Scientific Adviser at EDHEC-Risk Institute. He is a trustee of the BlackRock fixed-income fund complex. He is the editor of The Journal of Portfolio Management and co-founder and co-editor of The Journal of Financial Data Science. He is the CFA Institute’s 2007 recipient of the C. Stewart Sheppard Award and the CFA Institute’s 2015 recipient of the James R. Vertin Award. He was inducted into the Fixed Income Analysts Society Hall of Fame in November 2002. He received his BA and MA in economics in 1970 from The City College of New York where he was elected to Phi Beta Kappa and a PhD in economics in 1972 from the City University of New York. He is earned the designations of CFA and CPA. |