I manage the factor and quantitative strategies team focusing on R&D and maintenance of equity and fixed-income indexes at STOXX (now part of ISS STOXX). We interact with asset owners, asset managers, and ETF providers to generate bespoke passive (factor and sustainable) equity and fixed-income ...more

I manage the factor and quantitative strategies team focusing on R&D and maintenance of equity and fixed-income indexes at STOXX (now part of ISS STOXX). We interact with asset owners, asset managers, and ETF providers to generate bespoke passive (factor and sustainable) equity and fixed-income solutions that use Axioma's flagship portfolio optimizer and risk models for index construction. My team also manages the STOXX and iSTOXX quantitatively managed (optimized) flagship and client driven factor and sustainable (ESG and climate including CTB/PAB) indexes at STOXX. We also work on customized factor and sustainable offerings such as trading-off "factor/sustainable exposure vs tax efficiency" for wealth and direct indexing clients in the US. Specialties: Portfolio optimization; Factor risk models and attribution; Multi-asset class instruments for asset manager, asset owner, and hedge fund portfolios and their pricing; Monte-Carlo methods in finance; Econometrics; Deep Learning; Convex optimization including linear, second order, and semidefinite programming; Interior point methods; Branch and cut algorithms for mixed integer problems; Parallel decomposition algorithms for large optimization problems in shared and distributed computing environments; Optimization under uncertainty including robust and stochastic optimization; Stochastic optimal control; Sparse numerical algebra. Developed commercial APIs in Python/C++/Java. Proficient in C/C++ including the Standard Template Library and Boost; Python including NumPy, SciPy, Statsmodels, Matplotlib, Scikit-learn, Pandas, PyTorch, and TensorFlow; Several optimization software; Parallel methodologies including OpenMP and MPI; MATLAB; R; Java; and SQL.less