Today's speaker is Professor William Goetzmann, from the Yale School of Management.
William N. Goetzmann is the Edwin J. Beinecke Professor of Finance and Management Studies, Faculty Director of the Yale International Center for Finance, and Faculty Director of Executive MBA in Asset Management at the Yale School of Management. He is an expert on a diverse range of investments. His past work includes studies of stock market predictability, hedge funds and survival biases in performance measurement. His current research focuses on alternative investing, factor investing, behavioral finance and the art market.He will be speaking about arbitrage pricing theory. He recommends the wiki article on APT as a good place to start. Also recommended but not required is Chapteer VI: The Arbitrage Pricing Theory from his book on investment theory, as well as his paper: Pairs Trading: Performance of a Relative-Value Arbitrage Rule.Professor Goetzmann has written and co-authored a number of books, including Modern Portfolio Theory and Investment Analysis (Wiley, 2014), The Origins of Value: The Financial Innovations that Created Modern Capital Markets (Oxford, 2005), The Great Mirror of Folly: Finance, Culture and the Crash of 1720 (Yale, 2013) and most recently, Money Changes Everything: How Finance Made Civilization Possible (Princeton, 2016). He teaches portfolio management, alternative investments, real estate, and financial history at the Yale School of Management, and is Executive Editor of the Financial Analyst Journal.
He will be in person and we will take him out to dinner afterward. We will invite up to four students.