Quant Around the Country: Uncertainty, Long Run Risks & Asset Prices

Join Wharton Professors Christopher Geczy and Amir Yaron for an overview of the latest research in the field of quantitative finance. The event is hosted by the Wharton Club of Boston and the Jacobs Levy Equity Management Center for Quantitative Financial Research.

CHRISTOPHER GECZY
Adjunct Professor of Finance and Academic Director, Jacobs Levy Equity Management Center for Quantitative Financial Research, The Wharton School of the University of Pennsylvania

Chris Geczy has been on the Finance Department faculty at the Wharton School of the University of Pennsylvania since 1997. He is Academic Director of the Jacobs Levy Equity Management Center for Quantitative Financial Research, and the Wharton Wealth Management Initiative at Wharton Executive Education. He has a bachelor’s degree in economics from the University of Pennsylvania and a doctorate in finance and econometrics from the Graduate School of Business at the University of Chicago (now the Booth School).

Before his studies at Chicago, Geczy worked for the Board of Governors of the Federal Reserve System, Washington, D.C. in its Division of Research and Statistics. He regularly teaches investment management and co-created the first full course on hedge funds at Wharton, a course on Impact Investing, and a large number of executive education courses. He has taught AIMR/CFA Institute-accredited professional Risk Management courses through the University of Chicago's Graduate School of Business.

He currently serves on Intel’s US Retirement Plans’ Investment Policy Committee. He has served on the Economic Advisory Board of NASDAQ, has been an editor of The Journal of Alternative Investments, and is on the editorial advisory board of The Journal of Wealth Management. He is also a founding board member and past Chairman of the Mid-Atlantic Hedge Fund Association and served on the curriculum and exam committee of the Chartered Alternative Investment Analyst Association (CAIA). He serves on the Impact Investing Advisory Council of the Wharton Social Impact Initiative.

Geczy’s current research focuses on various topics including multifactor models, wealth management, risk management, asset allocation, the performance of managed funds including hedge funds, venture capital and private equity as well as other alternatives, and various aspects of equity lending and short-selling. His work has appeared in numerous books and scholarly journals including The Journal of Finance, Journal of Financial Economics and Journal of Political Economy, and published by The Society for Industrial and Organizational Psychology. It has also been covered in The Wall Street Journal, The New York Times, Financial Times, Forbes, NPR, on CNBC’s Squawk Box and in numerous other media outlets.

AMIR YARON
Robert Morris Professor of Banking, Professor of Finance, The Wharton School of the University of Pennsylvania

Amir Yaron is the Robert Morris Professor of Banking and Finance at The Wharton School of the University of Pennsylvania. He received his doctorate in economics from the University of Chicago, and his bachelor’s and master’s degrees in economics from Tel‐Aviv University. He is Co-Editor of The Review of Asset Pricing Studies, Associate Editor of Quantitative Economics and Finance Research Letters, and serves on the Advisory Board of the Journal of Monetary Economics Carnegie‐NYU‐Rochester Conference Series on Public Policy. He is also currently the president of the Foundation for the Advancement of Research in Financial Economics (FARFE).

At the National Bureau of Economic Research, Yaron is a research associate in the Asset Pricing group and co‐heads the Capital Markets & Economy group. His research interests span asset pricing, macro-finance, financial econometrics, and household finance. It has been published in leading journals including the Journal of Political Economy, The Review of Financial Studies, The American Economic Review, and The Journal of Finance, where his paper “Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles,” won the 2004 Smith Breeden Distinguished Paper Award. In 2008, his paper “Sources of Lifetime Inequality” won The Geewax, Terker, & Company First Prize in Investment Research.

Yaron’s teaching expertise and focus are in the areas of investment and asset pricing, international investments, and multinational firms. Many of his doctoral students have placed at leading academic institutions and in the risk management industry. He has been a visiting scholar in the Federal Reserve Bank in Philadelphia, Bank of Israel, CEMFI-Spain, IIES-Sweden, as well as the IMF.