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June 2016
Ali Lazrak
Curriculum Vitae
Sauder School of Business
University of British Columbia
2053 Main Mall
Vancouver, BC Canada V6T 1Z2
tel : (604) 822 9481
fax: (604) 822 4695
E-mail: [email protected]
Web page: http://finance.sauder.ubc.ca/~lazrak/
Employment
Jul 2010-present
Associate Professor of Finance, Sauder School of Business, UBC (Vancouver)
Jan2009-Aug 2010
Associate Professor, finance Department, HEC Paris
Sep 2002 –Jul 2009
Assistant Professor of Finance, Sauder School of Business, UBC (Vancouver)
Sep 1997-Sep 2002
Assistant Professor, Math Department, Evry University.
Research Interest
Asset pricing and portfolio selection theory, preference theory under uncertainty, portfolio performance
measure, corporate finance, CEO compensation, behavioral finance .
Education
Sep. 1993 to Sep 1997
Sep. 1991 to Sep. 1992
Sep. 1988 to Sep 1991
Ph.D in applied mathematics in Universite Toulouse 1
Masters degree in Applied Probability and Statistics at the University of
Jussieu (Paris VII).
Masters degree in Mathematical Economics at the Sorbonne University
(Paris I) and the Ecole Polytechnique.
Ecole Nationale de la Statistique et de l'Administration Economique
(ENSAE), Paris.
Research Interest
Asset pricing and portfolio selection theory, preference theory under uncertainty, portfolio performance
measure, corporate finance, behavioral finance.
Publications
"A Martingale Characterization of Equilibrium Asset Price Processes", with J.P Décamps Economic
Theory, vol. 15.1, p. 207-213, 2000.
"Recursive Utility Optimization under Incomplete Information", with Jaksa Cvitanic, Marie Claire
Quenez and Fernando Zapatero, International Journal of Theoretical and Applied Finance, vol4, No. 2,
p. 1-17, 2001.
"A Generalized Stochastic Differential Utility", with M-C. Quenez, Mathematics of Operation research,
vol 28, No. 1, February 2003, pp. 154-180.
"Optimal Allocation to Hedge Funds: An Empirical Analysis", with with Jaksa Cvitanic, Lionel
Martellini and Fernando Zapatero, Quantitative Finance vol 3, February 2003, 28-39.
"Efficient Consumption Set under Recursive Utility and Unknown Beliefs", with F. Zapatero, Journal
of Mathematical Economics, 40 (2004) 207-226.
"Generalized Stochastic Differential Utility and Preference for Information", Annals of Applied
Probability Vol 14 (2004), 2149-2175.
"Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts'
Recommendations" (previously entitled "Revisiting Treynor and Black (1973): a Second Step Towards
a Theory of Active Portfolio Management "), with J. Cvitanic, L. Martellini and F. Zapatero. the Review
of Financial Studies, 2006, vol 19, issue 4, 1113-1156, (Lead Article).
"Sharpe ratio as a performance measure in a multi-period model", with Jaksa Cvitanic and Tan Wang,
Journal of Economics and Dynamic Control, 2008, volume 32, issue 5, 1622-1649.
"Leverage choice and credit spread when managers risk shift", with Murray Carlson, The Journal of
Finance, December 2010, volume 65, issue 6, 2323-2362
“The golden rule when preferences are time inconsistent”, with Ivar Ekeland, Mathematics and
Financial Economics, 2010, volume 4, Issue 1, 29-55.
“On managerial risk-taking incentives when compensation may be hedged against”, with J. Cvitanic and V.
Henderson, Mathematics and Financial Economics, 2014, volume 8, Issue 4, 453-471.
Research Papers
“Contracting with a group of agents in presence of moral hazard”, 2016 with Jiongmin Yong (in
preparation)
“ `Ambiguity’ and the corporation: heterogeneous beliefs and inefficient investment”, 2014 with Lorenzo
Garlappi and Ron Giammarino (Second round in JFE)
“Household wealth and portfolio choice when tail events are salient”, 2014 with Murray Carlson (second round
in RFS)
Editorial Board
Associate editor: Mathematics and Financial Economics, Springer.(2006-)
Professional Services
Anonymous referee for academic journals:
-Finance: Journal of Finance, The Review of Financial Studies, Journal of Financial
Economics, Management Science, Quarterly Journal of Finance, Revue of Finance, European
Financial Management, Journal of Banking and Finance
-Economics: Econometrica, Theoretical Economics, Journal of Economic Theory, Journal of
Economic Dynamics and Control, Journal of Mathematical Economics, Mathematics and
Financial Economics, Macroeconomics Dynamics, The Geneva Papers on Risk and
Insurance Theory, Mathematical Social Sciences, Canadian Journal of Economics.
-Mathematical Finance: Finance and Stochastics, Mathematical Finance, Quantitative
Finance, the International Journal of Theoretical and Applied Finance, SIAM Journal on
Financial Mathematics
-Operation research: Mathematics of Operation Research, Annals of Operations Research,
Applied Stochastic Models in Business and Industry.
-Other mathematical journals: Stochastic Processes and their Applications, SIAM Journal of
control and Optimization, Australian and New Zealand Industrial and Applied Mathematics
Journal, IEEE Transactions on Automatic Control
Anonymous referee for research agencies:
-The National Science Foundation (USA)
-The Social Sciences and Humanities Research Council (Canada)
-The Natural Sciences and Engineering Research Council (Canada)
Conference co-organization:
-“Optimization problems in financial economics” Banff May 2006.
- Summer school “Frontiers in Mathematics and Economics” , Vancouver, July 2006
- Summer school “Stochastic Models in Mathematical Finance”, Marrakech , April 2007
Program committee member
-Financial Management Association annual meeting (2008, 2009, 2010, 2011)
-Northern Finance Association annual meeting (2008, 2011, 1012, 2013, 2014, 2015, 2016)
-European Finance Association annual meeting (2015, 2016)
-Western Finance Association (2013, 2014, 2015, 2016)
-Midwest Finance Association (2016)
University Service
Director of the Master of Science in Finance at the Sauder School of Business, UBC (May 2006-June
2008, February 2011-today), Member of the Steering committee of the Pacific Institute of Mathematical
Sciences (June 2004-June 2008). Member of the UBC graduate council (2012-)
Teaching Experience
HEC: Financial Markets, Theory of Finance
UBC: International Finance (comm377), Financial Engineering and Risk Management (comm378),
Security Markets (comm374) and, Asset Pricing Theory (comm673, PhD).
USC (economics): Investment and Asset Pricing (PhD).
Universite d’Evry: Introduction to probability, Investment, option pricing and portfolio allocation
(Master).
Toulouse (as a TA): Analysis, Applied statistics, Financial Mathematics and Macroeconomics.
Research Seminars
American University of Beirut (April 2015), KFUPM (April 2015), Boston University Finance seminar
(October 2014), UBC econ workshop (November 2013), USC math colloquim (April 2013), Konstanz
finance (January, 2013), CalTech (November 2008), UBC (November 2008), HEC Paris (Dec 2007),
HEC Lausanne (Dec 2007), Stockholm School of Economics, Finance (Sep 2007), University of Cergy,
economics (Jun 2007), University of Southern California, maths (Jun 2003), Simon Fraser University,
finance (Dec 2001), Calgary University, finance (Dec 2001), UBC (Jan 2001 in math and Mar 2001 in
Commerce/finance), Columbia University, Statistics (Mar 2001), Rochester University joint between
the mathematics and economics department (Apr 2000), University of Technology of Sydney, finance
(Jul 1999), HEC Paris, finance (1998), Humboldt University, maths (1998), Dauphine University,
maths (1997), University of Bordeaux, economics (1997), University Pierre et Marie Curie (May 2002),
Institut Henri Poincaré (Apr 1997 and Apr 2001, Mar 2002.
Visiting positions
University of Southern California Marshall Business School and the economic department (September
1999- January 2000, April 2000 and September 2000-January 2001), ), University of Technology at
Sydney, School of Business and economics (July-September 1999), UBC business school (July 2001 to
December 2001).
Research Grants
March 2003: Team member of project “Modelling, Trading and Risk in the Market” leaded by Ulrich
Haussmann (MITACS)
March 2004: Discovery Research Grant from NSERC (Portfolio decision and Backward stochastic
differential equations, (5 years)
April 2006: SSHRC, Standard Research Grant (Leverage Choice, credit spread and managerial
compensation. Principal investigator with Murray Carlson, (3 years)
April 2011: SSHRC, Standard Research Grant (Compensation, Leverage and the going public decision.
Co investigator with Murray Carlson (3 years)
April 2014: SSHRC, Standard Research Grant (Ambiguity in corporate finance. PI: Ali Lazrak Co
investigator with Lorenzo Garlappi and Ron Giammarino (5 years)
PhD Committee
Universite d’Evry: examiner (rapporteur) of Nadine Bellamy’s PhD in appliced mathematics (2000).
UBC Sauder: Rodriguez Mancilla Jose Ramon (management sciences, 2004) and Hua Sun (real estate,
2006).
Mcgill: external examiner for a PhD in finance (July 2007)
Chair of a Phd in economics (Mustafa Tugan, Feb 2014)
University examiner for a Phd in economics (David Jihn Freeman, Oct 2013)
PhD Students
Kyung Shim (co-chair with Alan Kraus). Topic: Asset allocation with education choice (now assistant
professor at the University of New South Wales, Defense: July 2009).
Shubo Wang (co-chair with Adlai Fisher). Topic: Asset pricing in production economies with learning
(in the job market in 2010/2011, Defence: June 2011).
David Newton (co-chair with Alan Kraus). Topic: Foundations of relative wealth in financial theory
(now assistant professor at Concordia University, defence: March 2010).
Charles Martineau (co-chair with Adlai Fisher). Topic: High frequency trading
MSc Students
Reza Bolandnazra (2013-2015, now a Phd student in Columbia University): probability weighting and
portfolio choice
Radhika Nangia (2012-2014): High frequency trading
Bingxu Fang (2014-2016, now a Phd student in Toronto University): Dynamic portfolio choice
Sandra Ramirez (2015-2017): Fund manager compensation structure
Academic Conferences
•
•
ZIF closing conference on robust finance and beyond, (May 2016, Bielefeld) (Presentation of the pape
“Household wealth and portfolio choice when tail events are salient”)
American Economic Association annual meeting (January 2016, San Fransisco) (Presentation of the pape
“Household wealth and portfolio choice when tail events are salient”)
•
ZIF conference on robust finance and beyond, (May 2015, Bielefeld)
•
Libanese mathematical society annual meeting (April 2015) (gave a lecture on contract theory)
•
5rd Miami Behavioral finance conference (December 2014). ( I attended and my co author Murray Carlson
presented the paper “Household wealth and portfolio choice when tail events are salient”)
•
Northern Finance Association, September 2014 Ottawa, (Discussant for the paper: “Model Disagreement and
Economic Outlook” by Daniel Andrei, Bruce Carlin, Michael Hasler).
•
Mitsui finance conference (University of Michigan, Ann Arbor, May 2014) (Presentation of the paper
“Ambiguity in corporate finance: collective choice, underinvestment and security issuance”)
•
UBC Winter conference (April 2014)
•
European Finance Association (Cambridge, August 2013) (Presentation of the paper “Ambiguity in corporate
finance: real investment dynamics”)
•
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UBC Summer conference (July 2013
Multinational Finance Society (Izmir, July 2013) (Presentation of the paper “Ambiguity in corporate finance: real
investment dynamics”)
•
Western Finance Association (June 2013)
•
UBC Winter conference (March 2013)
•
3rd Miami Behavioral finance conference (December 2012). (Discussant of the paper “Sparse Dynamic
Programming and Aggregate Fluctuations” by Gabaix)
•
ITAM Finance Conference Mexico (June 2012) (Discussant of the paper “Young, Old, Conservative and Bold: The
implications of Heterogeneity and finite lives for asset pricing” by Garleanu and Panageas)
•
UBC Winter finance conference (March 2012)
•
NFA (sep 2011, Vancouver): Paper discussant
•
UBC Summer Finance conference (July 2011)
•
USC (conference on Backward Stochastic Differential Equations June 2011)
•
HEC/INSEAD annual conference March (March 2010) (Paper discussant)
•
European Financial Association, Bergen August 2009 (Presentation: “Leverage Choice and Credit Spread
Dynamics when Managers Risk Shift” and discussant).
•
Third conference on PDE and Mathematical Finance, Stockholm August 2009 (Presentation: “Equilibrium
Growth when the Planner is Time Inconsistent”)
•
UBC summer conference in Finance, Kelowna, Jul 2009.
•
Summer meeting of the econometric Society, Boston June 2009 (Presentations: “Equilibrium Growth when the
Planner is Time Inconsistent” and “Leverage Choice and Credit Spread Dynamics when Managers Risk Shift”)
•
Northern Finance Association meeting, Calgary, Sep 2008 (Discussant).
•
UBC summer conference in Finance, Whistler, Jul 2008.
•
World congress of non linear analysis, Florida, June 2008
(Presentation: “Growth Theory under Time
Inconsistency”)
•
Individual and Collective risk making workshop, Paris, December 2007 (Presentation: “Decision making
under time inconsistency”).
•
The French Finance Assosiation, Paris, December 2007 (Presentation: “Leverage Choice and Credit Spread
Dynamics when Managers Risk Shift”).
•
The 23rd Annual Pacific Northwest Conference, Vancouver, October 2007 (Presentation: “Leverage Choice
and Credit Spread Dynamics when Managers Risk Shift”).
•
Bank of Canada –Rotman School workshop on portfolio choice, Toronto July 2007 (Presentation: “Sharpe
ratio as a performance measure in a multi-period model”)
•
"CAIMS MITAC conference", Manitoba , June 2007 (Presentation: “Perfect competition among generations:
growth theory under time inconsistency”).
•
•
Co-organiser of the summer school "Stochastic models in mathematical finance", Morocco,
Marrakesh, April 2007. (I taught a course on portfolio allocation)
"American Finance Association", Chicago, January 2007. (Presentation by a coauthor: “Leverage Choice and
Credit Spread Dynamics when Managers Risk Shift”).
•
"UBC summer conference in Finance", Whistler, August 2006. (Presentation: “Non-commitment in continuous
time”).
•
"Society of Economic Dynamic", Vancouver, July 2006 (Presentation: “Non-commitment in continuous time”).
•
"Western Finance Association", Keystone, Colorado, June 2006 (Presentation:“ Dynamic Portfolio Choice with
Parameter Uncertainty and the Economic Value of Analysts' Recommendations”)
•
"CAIMS MITAC conference", York University, Toronto, June 2006 (Presentation Non-commitment in
continuous time”).
•
"CMS summer meeting", University of Calgary, June 2006 (Presentation Non-commitment in continuous time”).
•
Co-organizer of the workshop "Optimization Problems in Financial Economics", Baff, May 2006
(Presentation Non-commitment in continuous time”).
•
"Stochastic Analysis and Probability", Marrakech, Invited speaker, December 2005 (Presentation: “Non
commitment in continuous time”)
•
"Journees d’analyse numerique et optimisation", December 2005. Rabat, Organizer of a session on
mathematical finance (Presentation: “Sharpe ratio as a performance measure in a multi-period model”)
•
"Northern finance Association Annual Meeting", Vancouver, Septemeber 2005, (Sessiom chair (portfolio
allocation), Presentation: “Sharpe ratio as a performance measure in a multi-period model”, and dicussant )
•
"Conference in Honor of Alan Kraus", Tofino, British Columbia, August 2004 (Discussant for the paper
“Exotic preferences for macroeconomists” by D. Backus, S. Zin and B. Routledge)
•
"Bachelier III World Congress", Chicago, July 2004 (Presentation: “Sharpe ratio as a performance measure in a
multi-period model”).
•
"Western Finance Association", Vancouver, June 2004 (Discussant of “Lifetime Consumption-Portfolio Choice
under Trading Constraints, Recursive Preferences and Nontradeable Income''” by M.Schroder and C. Skiadas).
•
"Fund Management Conference", CIRANO, Montreal, December 2003
•
"Pacific Northwest Finance Conference", Seattle, November 2003
•
Invited speaker for the Mathematics of Information Technology and Complex Systems group,
Vancouver November 2003. (Presentation: Sharpe ratio as a performance measure in a multi-period model).
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"First Annual UBC Finance Conference", Vancouver, July 2003
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''Blaise Pascal Conference on Financial modeling", Paris, June 2003.
''Summer Meeting of the Canadian Mathematical Society", Edmonton, June 2003. Invited speaker.
Presentation: Information neutrality in the Stochastic Differential Utility.
•
45th annual conference of the Canadian Society of Operation Research, June 2003 Vancouver Invited
speaker. Presentation: Sharpe ratio as a performance measure in a multi-period model).
•
''Conference on Asset Pricing and Microstructure", CIRPEE, HEC and McGill, Mai 2003 Invited
speaker. Presentation: Sharpe ratio as a performance measure in a multi-period model).
•
''Conference on Portfolio Choice", Montreal, CIRANO, March 2003 (Invited speaker. Presentation:
Revisiting Treynor and Black (1973): a Second Step Towards a Theory of Active Portfolio Management).
•
"American Finance Association", Washington, January 2003 (job market recruiting committee, no
presentation).
•
"Pacific Northwest Finance Conference", Seattle, November 2002 (Presentation: Revisiting Treynor and Black
(1973): a Second Step Towards a Theory of Active Portfolio Management)..
•
''Second World Congress of the Bachelier Finance Society", Crete,
Information neutrality in the Stochastic Differential Utility).
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''Risk Uncertainty and decision 2002", Paris, June 2002.
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''IPAM Conference in Financial Mathematics", Los Angeles (UCLA), January 2001.
•
''Information Modeling in Finance", Evry, February 2000.
June
2002 (Presentation:
•
''Quantitative Methods in Finance ", Sydney, July 1999.
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''International Conference on Mathematical Finance", Hammamet (Tunisia), June 1999.
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''Backward Stochastic Differential Equation", Le Mans, May 1999 .
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''The 24th Seminar of the European Group of Risk and Insurance Economists", Paris, September 1997.
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''Quantitative Methods in Finance 1997 ", Sydney-Cairns-Canberra, August-September 1997.
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''14th AFFI meeting" (French Finance Association), Grenoble, June 1997.
•
''III Italian Conference on Mathematical Finance", Trento, May 1997.
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''Journées SMAI-MODE sur les Mathématiques de l'optimisation et de la décision", Paris la Sorbonne,
March 1997.
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''Conférence annuelle sur la finance", AFFI Paris, December 1996.
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''CIME Session of Financial Mathematics", Bresanonne (Italie) July 1996.
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''Workshop on the Mathematics of Finances", University of Montréal and CIRANO, May 1996.
•
The annual ENTER (European Network Training Economics Research ) meeting in London (January
1995), in Toulouse (January 1996) and in Tilburg (January 1997).
Personal
Married, 2 children (Amin 10 years and Ismael 13 years).