Public/private asset allocation, portfolio construction and risk management specialist in the hedge funds and private alternatives industry.
Specialties:
Asset Allocation, Advanced Risk Management, Portfolio Optimization Techniques (Classic and Bayesian), Returns-Based and Factor-Based ...
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Public/private asset allocation, portfolio construction and risk management specialist in the hedge funds and private alternatives industry.
Specialties:
Asset Allocation, Advanced Risk Management, Portfolio Optimization Techniques (Classic and Bayesian), Returns-Based and Factor-Based Performance Attribution, Risk Models (Fundamental & Statistical), Advanced Credit Risk Measures, Robust Stress-Testing, Hedge Funds Strategies and Manager Selection, Dynamic Hedging Strategies, Tail-Risk Hedging Techniques
Research Interests:
Optimization with Derivatives, Machine Learning, Hedge Fund Crowding, High-Frequency Impact on Execution, Volatility Modeling, Multi-Period Optimization, Markov Switching Regimes for Risk Management and Allocation
Speaker:
Columbia University (Mar, 2015), Global Derivatives Conference (Nov, 2014), Cornell Financial Engineering (Oct 2014, 2012, 2011), Citi Global Equity Derivatives Trading Conference (Nov, 2013)
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