2025 SAIF-CAFR Financial Research Summer Camp
July 6 -7, 2025
Shanghai, China
The 8th SAIF-CAFR Financial Research Summer Camp, jointly organized by Shanghai Advanced Institute of Finance (SAIF) and China Academy of Financial Research (CAFR) at Shanghai Jiao Tong University, will take place from July 6 to 7, 2025 in the city of Shanghai, China.
Designed for emerging scholars in China and beyond, the SAIF-CAFR Financial Research Summer Camp introduces the participants to the frontiers of academic research in finance and provides them with cutting-edge research methodologies and fresh perspectives, with the objective of inspiring their future academic careers and enhancing the overall quality of research and teaching in finance in China. This year’s Summer Camp consists of onsite lectures given by three renowned finance scholars. Listed in the alphabetical order, they are:
Will Cong
The Rudd Family Professor of Management and Finance, SC Johnson College of Business, and Faculty Director of the FinTech@Cornell, Cornell University
Prof. Cong’s research spans financial economics, information economics, fintech, digital economy, and entrepreneurship. A world-leading scholar for AI, digital economics, and financial technology, he pioneered the studies of blockchain economics, tokenomics, AI for Finance, etc. and has won numerous paper prizes and research grants, spoken at hundreds of world-renowned universities, venture funds, investment and trading shops, and central banks. He has also advised leading investment and FinTech and investment firms and various government and regulatory agencies. He is also an Editor at the Management Science, an editorial board member for leading journals, a Research Associate at the NBER and a senior fellow at ABFER, a faculty scientist at IC3, a lead founder of multiple research forums, and is formerly a Kauffman Foundation Junior Faculty Fellow, an UBRI Educator Awardee, a Poets & Quants 40 under 40 World Best Business School Professor, a 2022 Top 10 Quant Professor.
Prof. Cong’s webpage: https://business.cornell.edu/faculty-research/faculty/lc898/
Jun Liu
Professor of Finance, Rady School of Management, University of California at San Diego, and Visiting Professor, Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University
Professor Liu’s research focuses on theoretical and empirical asset pricing, and the development and use of econometric methods. His Journal has been published in the Journal of Finance, Review of Financial Studies, and Journal of Financial Economics, as well as the Journal of Business, Review of Accounting Studies, Accounting Review, and Financial Analyst Journal. Professor Liu won the Michael Brennan Award for the best paper published in Review of Financial Studies in 2005. Professor Liu teaches Chinese Economy: Theory and Practice for Master of Finance Program and Asset Pricing Theory for Ph.D. Program at SAIF. Professor Liu holds a Ph.D. in Finance (2000) from Stanford University and a Ph.D. in Physics (1988) from University of Texas at Austin.
Prof. Liu’s webpage: https://en.saif.sjtu.edu.cn/faculty-research/liu-jun
Rossen Valkanov
Zable Endowed Chair in Management and Professor of Finance at the Rady School of Management, University of California San Diego
Prof. Valkanov’s main research interests are in the areas of empirical finance, financial econometrics, financial forecasting, risk management, portfolio allocation, and real estate. He has authored numerous articles and book chapters. His research has been published in some of the most prestigious peer-reviewed journals such as the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies. Empirical methods and big data applications based on his research—such as Mixed Data Sampling Regressions (MIDAS), parametric portfolio approaches, and forecasting procedures—have received significant interest from the finance industry practitioners. He is currently Editor of the Journal of Empirical Finance. Professor Valkanov an award-winning educator and has taught at UCSD, UCLA, UC Berkeley, Princeton, and various other institutions in the US and abroad. He is a member of many professional organizations, including the American Finance Association, the American Economic Association, the Econometric Society, and the American Real Estate and Urban Economics Association.
Prof. Valkanov’s webpage: https://rady.ucsd.edu/faculty-research/faculty/rossen-valkanov.html
The SAIF-CAFR Summer Camp lectures are provided free of charge and will be offered in English. If you are interested, please follow the link below to submit your registration by 20 June:
https://www.wjx.cn/vm/es4k71o.aspx#
All registrations are subject to a screening process. We will inform you if you have successfully registered for the event in due time.
Please note that expenses related to participation in the summer camp, such as travel and accommodation, are of your own responsibility.
We look forward to meeting you in person at the summer camp soon.
2025 SAIF-CAFR Financial Research Summer Camp
Preliminarily Program
9:00AM - 12:00AM, July 6, 2025
Macroeconomic shocks, expectations, and large-scale portfolios
Professor Rossen Valkanov
Rady School of Management, University of California San Diego
We will cover two distinct topics. The first focuses on recent advances in tracing the effects of macroeconomic shocks—such as oil supply disruptions, investment-specific technology changes, and government spending—on credit and equity markets. We will also examine how these shocks influence expectations, both objective and subjective (as captured by survey-based expectations) and actual price realizations, and what these responses reveal about investors’ expectation formation. The second topic addresses the estimation of large optimal portfolios at the firm level using recent methodological innovations. We will also explore potential avenues for extending this research through the application of machine learning techniques.
2:00PM - 5:00PM, July 6, 2025
Factor Structure and Risk Premium
Professor Jun Liu
Rady School of Management, University of California at San Diego
One foundational insight of asset pricing is that only systematic risk are priced and the idiosyncratic risks are not priced. We study the assumptions and requirements needed for this insight. The condition for idiosyncratic risk not being priced is that the optimal portfolio is well-diversified, which is likely not true in the data. We will derive analytically risk premium when the optimal portfolio is not well-diversified. When the market cap of the optimal portfolio follows a Pareto distribution, idiosyncratic risk premium also follows a Pareto distribution. Calibrated to data, the idiosyncratic risk premium puzzle can be explained.
9:00AM - 12:00AM, July 7, 2025
AI for Economics and Finance
Professor Will Cong
SC Johnson College of Business, Cornell University
I characterize modern AI development as featuring two core themes: (i) goal-oriented end-to-end optimization in large modelling space, and (ii) generative pre-trained foundational models. Combining the insights from both, I introduce Goal-Oriented Algorithms in Large Space (GOALS) involving transformer-based reinforcement learning or panel trees. In several specific financial applications, I show how GOALS can effectively and flexibly manage investment portfolios, generate test portfolios or latent factors for evaluating extant pricing models or more accurate pricing, and separate assets of higher and lower return predictabilities under different macroeconomic regimes. With pre-trained foundational models and GOALS effectively capturing individual agents’ optimizing behavior in a given economy or market, I further introduce the concept of data-driven generative equilibrium for counterfactual analysis. Finally, I remark on using AI agents for experimentation or to generate counterfactual data: we need to understand AI agents as a new species that potentially differ from humans, but can either substitute or complement humans. Therefore, it is necessary to introduce a new field of behavioral economics of AI and its foundations, which promise a fruitful path for future research.