Conference Agenda

Session

Volatility, Risk, and Returns

Time:

Friday, 13/Mar/2026:

3:30pm - 5:15pm

Session Chair: Zhi Da, University of Notre Dame

Location: Aegean

Presentations

Optimal Sharpe Ratio Timing with Stop Loss

Yufeng Han¹, Hong Liu², Jing Xu³, Guofu Zhou²

1: University of North Carolina at Charlotte; 2: Washington University in St. Louis; 3: Remin University

Discussant: Michael O'Doherty (University of Missouri)

A Century of Market Reversals: Resurrecting Volatility

Vincent Bogousslavsky¹, Blake LeBaron², Jeffrey Pontiff¹

1: Boston College; 2: Brandeis University

Discussant: Huseyin Gulen (Purdue University)

Local Estimation for Option Pricing: Improving Forecasts with Market State Information

Hyung Joo Kim, Dong Hwan Oh

Federal Reserve Board of Governors

Discussant: Junbo Wang (Louisiana State University)