3607179: After-Work Lecture: Classical and Alternative Risk Premia: Back to the Roots of Investment Returns

Beschreibung

For practitioners in the asset management industry the question of identifying attractive risk premia in financial markets is of preeminent importance. Today’s financial markets pose a dilemma: bond markets are not likely to produce the returns of the last decades and the expected returns for equities look particularly uncertain after the low returns of the last decade and the unresolved structural issues in government finances. We discuss available historical information on risk premia. In particular, we discuss the equity risk premium and alternative FX carry trade strategies over longer time horizons. We also discuss approaches to capture so-called alternative risk premia.

Speaker
Dr. Sandro Merino is managing partner and portfolio manager at Arecon AG. He holds a degree in theoretical physics and a doctorate in mathematics from the University of Zurich. He was the recipient of a European Union research fellowship for postdoctoral studies in Edinburgh, Oxford, and Glasgow between 1994 and 1999. In 2013 he completed a dual degree Executive MBA at Carnegie Mellon Tepper Business School and the University of Lausanne.
At UBS AG he led a quantitative analysis team between 2000 and 2003 and was Head of Wealth Management Research Europe from 2006 to 2012. Sandro Merino has published several articles in pure and applied mathematics as well as in mathematical finance and applied risk management. He is also co-author of a textbook on mathematical finance.