(p. xviii) List of Contributors
(p. xviii) List of Contributors
Heiko M. Bailer is Head of Quantitative Solutions at Clariden Leu, the private bank of Credit Suisse. He is also a partner of Corepoint Capital AG and the developer of their Q2 products. Dr. Bailer began his financial career in 1999 at Deutsche Bank, Global Markets Fixed Income in New York. In 2005, he joined ABN AMRO’s Delta One Trading Group in London. In 2007, he moved to Zurich as a Deputy CRO of Harcourt AG, a $5 billion fund of hedge funds. In 2005, Dr Bailer received his Ph.D. in Statistics from the University of Washington for his dissertation on financial robust factor models, and additionally earned a Certificate in Computational Finance. He also holds a master’s degree in mathematics and physics from the University of Munich.
Dan diBartolomeo is President and Founder of Northfield Information Services, Inc., a provider of quantitative models of financial markets. He is a visiting professor at the CARISMA research center of Brunel University in London. In addition, he serves on the Board of Directors of the Chicago Quantitative Alliance and the advisory board of the International Association of Financial Engineers. Mr. diBartolomeo also continues his several years of service as a judge in the Moscowitz Prize competition, given for excellence in academic research on socially responsible investing by the University of California, Berkeley. He has written extensively for the CFA Research Foundation. This work includes “The risk of equity securities and portfolios” published in Equity Specialization Program Readings, 1997 and a wealth management textbook Investment Management for Private, Taxable Wealth (with Jarrod Wilcox and Jeffrey Horvitz). He has contributed chapters to eight other finance textbooks and published more than a dozen research papers in refereed journals. His most recent publications are “Equity portfolio volatility with market information and sentiment” (with G. Mitra and L. Mitra, Quantitative Finance, December 2009) and “Equity risk, default risk, default correlation and corporate sustainability,” Journal of Investing, Winter 2010). Mr. diBartolomeo holds a B.Sc. degree from Cornell University in Applied Physics.
Jules H. van Binsbergen is Assistant Professor of Finance at the Kellogg School of Management at Northwestern University and the Stanford Graduate School of Business. Professor Binsbergen conducts theoretical and empirical research in finance. His current work focuses on asset pricing, in particular consumption-based asset pricing, return predictability, and quantitative portfolio management. Some of his recent research focuses on the implications of good-specific habit formation for asset prices, the interaction between cash flow growth predictability and stock return predictability, and the maturity structure of risk and return in financial markets. His research has (p. xix) appeared in leading academic journals such as the Journal of Finance. He is alsoa Faculty Research Fellow of the National Bureau of Economic Research (NBER).
Yossi Brandes is a managing director at Investment Technology Group, Inc., responsible for ITG’s European Analytical Products & Research group as well as its business development. Prior to that, he ran the Trading Analytics Group within the Analytical Products and Research group. He has coauthored several articles on market microstructure, transaction costs, and portfolio construction. Mr. Brandes holds a master’s in business administration from the Stern School of Business at NYU and a B.Sc. in computer science and economics from Haifa University.
Michael W. Brandt is Professor of Finance and the IBM Research Fellow at the Fuqua School of Business at Duke University. Professor Brandt conducts theoretical and empirical research in finance. His work on quantitative portfolio management, the response of financial markets to news, the role of order flow in price discovery, and the link between financial markets and the macro-economy has appeared in leading academic journals, including The Journal of Business, Journal or Finance, Journal of Financial Economics, Journal of Monetary Economics, and Review of Financial Studies. He serves as co-editor of the Review of Finance, the official journal of the European Finance Association, and as associate editor of the Journal of Finance, the official journal of the American Finance Association. He is also a faculty research associate of the National Bureau of Economic Research (NBER). Prior to joining the Fuqua School of Business in 2003, Professor Brandt was at the Wharton School of the University of Pennsylvania for six years.
Francis Breedon is Professor of Economics and Finance at Queen Mary College, University of London. His research focuses mainly on exchange rate economics and policy. Professor Breedon has extensive industry and policy experience including a period as Global Head of Currency Research at Lehman Brothers and before that as a senior economist at the Bank of England. He acts as a consultant to a number of financial institutions including hedge funds, central banks and ministries of finance on foreign exchange issues.
Sebastián Ceria is the Chief Executive Officer of Axioma. Before founding Axioma, he was an Associate Professor of Decision, Risk, and Operations at Columbia Business School from 1993 to 1998. Dr. Ceria has worked extensively in the area of optimization and its application to portfolio management. He is the author of many articles in publications including Management Science, Mathematical Programming, Optima, and Operations Research. Most recently, Ceria’s work has focused on the area of robust optimization in portfolio management. He has co-authored numerous papers on the topic, including, “Incorporating estimation errors into portfolio Selection: robust portfolio construction,” which was published in The Journal of Asset Management. He is a recipient of the Career Award for Operations Research from the National Science Foundation. Ceria completed his Ph.D. in operations research at Carnegie Mellon Uni versity’s Graduate School of Industrial Administration.
(p. xx) Ian Domowitz is a managing director at Investment Technology Group, Inc., responsible for analytical and network products, and a member of the company’s Management and Executive Committees. Prior to joining the company in 2001, he served as the Mary Jean and Frank P. Smeal Professor of Finance at Pennsylvania State University and previously was the Household International Research Professor of Economics at Northwestern University. A former member of the NASD’s Bond Market Transparency Committee, he also served as chair of the Economic Advisory Board of the NASD. Mr. Domowitz has held positions with Northwestern’s Kellogg Graduate School of Management, Columbia University, the Commodity Futures Trading Commission, the International Monetary Fund and the World Bank. He is currently a Fellow of the Program in the Law and Economics of Capital Markets at Columbia University.
Daniel Giamouridis is an assistant professor in the Department of Accounting and Finance of the Athens University of Economics and Business. He is also a senior visiting fellow at Sir John Cass Business School of City University and a research associate at the EDHEC-Risk Institute. His specialties are quantitative asset management and alternative investments on which he has published in journals, such as the European Financial Management Journal, Journal of Alternative Investments, Journal of Asset Management, Journal of Banking and Finance, Journal of Financial Research, Journal of Derivatives, Journal of Futures Markets, and Journal of Portfolio Management, among others, and has advised financial institutions covering areas such as quantitative equity research, hedge fund replication, asset management, and derivatives valuation.
Campbell R. Harvey is the J. Paul Sticht Professor of International Business at the Fuqua School of Business, Duke University, and a Research Associate of the National Bureau of Economic Research in Cambridge, Massachusetts. Professor Harvey obtained his doctorate at the University of Chicago in business finance. He has served on the faculties of the Stockholm School of Economics, the Helsinki School of Economics, and the Graduate School of Business at the University of Chicago. He has also been a visiting scholar at the Board of Governors of the Federal Reserve System. He has published over 100 scholarly articles. One focus of his research is on the implications of changing risk and higher moments for both asset allocation strategies and risk management. Harvey is the Editor of The Journal of Finance — the leading scientific journal in his field and one of the premier journals in the economic profession through 2012. He is the past-President of the Western Finance Association and serves on both the Board of Directors and the Executive Committee of the American Finance Association.
Thomas Hewett is the Chief Risk Officer of the Morgan Stanley Traditional Asset Management business and heads up the Global Risk and Analysis Team responsible for managing investment, credit, and operational risk. Prior to taking on this role Dr. Hewett managed the quantitative research group responsible for the development, testing, and enhancement of quantitative analytics relating to risk, portfolio construction, performance measurement, and attribution. Before joining Morgan Stanley, he was a senior manager in the Quantitative Services Group at Deloitte & Touche responsible for (p. xxi) model validation and quantitative risk consulting. Previously, he was on the mathematics faculties at the Massachusetts Institute of Technology and Princeton University. He holds a B.Sc. with honors in mathematics and applied mathematics from the University of Cape Town and a Ph.D. in mathematics from Stanford University.
Roy P. M. M. Hoevenaars is Senior Portfolio Manager Global Tactical Asset Allocation at APG Asset Management in Amsterdam, the Netherlands. His responsibilities include the portfolio management, development, and research of cross-asset systematic absolute return strategies. He also focuses on volatility and correlation markets. Prior to joining GTAA in 2007, he was Coordinator ALM modeling. Dr. Hoevenaars joined APG Asset Management in 2001 and worked in various roles on asset liability management, asset allocation, hedge funds, and quantitative equity modeling. His expertise includes quantitative investment strategies, derivatives, asset allocation, asset liability management, hedge funds, and risk management. He holds a Ph.D. in financial econometrics and an M.Sc. degree in econometrics and operations research from the University of Maastricht. His Ph.D. dissertation is entitled “Strategic asset allocation and asset liability management.” Dr. Hoevenaars is a lecturer on post-graduate courses. He has published numerous book chapters and articles in international refereed academic journals.
Bruce I. Jacobs is Co-founder and Principal of Jacobs Levy Equity Management, a provider of quantitative equity strategies. He is Co-chief Investment Officer, Portfolio Manager, and Co-director of Research. He is the author of Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes; Equity Management: Quantitative Analysis for Stock Selection (with Ken Levy) and co-editor of Market Neutral Strategies (with Ken Levy) and The Bernstein Fabozzi/Jacobs Levy Awards: Five Years of Award-Winning Articles from the Journal of Portfolio Management. Dr. Jacobs’ writing has received numerous awards including Financial Analysts Journal Graham and Dodd Awards. Dr. Jacobs is an Associate Editor of the Journal of Trading and serves on the Journal of Portfolio Management Advisory Board and the Financial Analysts Journal Advisory Council. He also served on the Committee to Establish the National Institute of Finance and is a member of its successor, the Office of Financial Research Discussion Forum. Dr. Jacobs has a B.A. from Columbia College, and an M.S. in operations research and computer science from Columbia. He also has an M.S.I.A. from Carnegie Mellon, and an M.A. in applied economics and a Ph.D. in finance from the Wharton School.
Ralph S. J. Koijen is Assistant Professor of Finance at the Booth School of Business at the University of Chicago. Professor Koijen conducts theoretical and empirical research in finance. His current work focuses on asset pricing, in particular quantitative portfolio management, return predictability, and performance measurement. Some of his recent research focuses on the interaction between cash flow growth predictability and stock return predictability, and the maturity structure of risk and return in financial markets, and performance measurement. His research has appeared in leading academic journals such as the Journal of Finance, Review of Financial Studies, and the Journal of Financial (p. xxii) Economics. He is also a faculty research fellow of the National Bureau of Economic Research (NBER).
Petter N. Kolm is the Director of the Mathematics in Finance Masters Program and Clinical Associate Professor at the Courant Institute of Mathematical Sciences, New York University. Previously, he worked in the Quantitative Strategies Group at Goldman Sachs Asset Management where his responsibilities included researching and developing new quantitative investment strategies for the group’s hedge fund. Professor Kolm co-authored the books Financial Modeling of the Equity Market: From CAPM to Cointegration (Wiley, 2006), Trends in Quantitative Finance (CFA Research Institute, 2006), Robust Portfolio Management and Optimization (Wiley, 2007), and Quantitative Equity Investing: Techniques and Strategies (Wiley, 2010). He holds a Ph.D. in mathematics from Yale, an M.Phil. in applied mathematics from The Royal Institute of Technology, and an M.S. in mathematics from ETH Zurich. He is a member of the editorial board of the Journal of Portfolio Management. Asa consultant and expert witness, he has provided his services in areas such as algorithmic and quantitative trading strategies, econometrics, forecasting models, portfolio construction methodologies incorporating transaction costs, and risk management procedures.
Robert Kosowski is Director of the Risk Management Lab and Centre for Hedge Fund Research and Assistant Professor in the Finance Group of Imperial College Business School, Imperial College London. His research focuses on asset pricing and hedge fund strategies. Dr. Kosowski’s research has been published in top peer-reviewed finance journals such as The Journal of Finance and The Journal of Financial Economics and has been awarded best paper awards from the European Finance Association (2007) and INQUIRE UK (2008). Prior to joining Imperial College London he was an Assistant Professor of Finance at INSEAD. He holds a B.A. and M.A. in economics from Cambridge University and an M.Sc. and Ph.D. from the London School of Economics. Dr. Kosowski consults for private and public sector organizations and he was Specialist Advisor to the UK House of Lords and Expert Technical Consultant to the IMF. He has worked for Goldman Sachs, the Boston Consulting Group, and Deutsche Bank.
Mark Kritzman is President and CEO of Windham Capital Management, LLC, and the Chairman of Windham’s investment committee. He is responsible for managing research activities and investment advisory services. He is also a founding partner of State Street Associates, and he teaches a graduate course in financial engineering at the Massachusetts Institute of Technology. He serves on several corporate and non-profit boards, including the Institute for Quantitative Research in Finance, The Investment Fund for Foundations, and State Street Associates. He is a member of several advisory and editorial boards, including the Center for Asset Management at Boston College, the Advisory Board of the MIT Sloan Finance Group, the Emerging Markets Review, the International Association of Financial Engineers, the Journal of Alternative Investments, the Journal of Derivatives, and the Journal of Investment Management, where he is Book Review Editor. He has written numerous articles for academic and (p. xxiii) professional journals and is the author of six books including Puzzles of Finance and The Portable Financial Analyst. Mr. Kritzman won Graham and Dodd awards in 1993 and 2002, the Research Prize from the Institute for Quantitative Investment Research in 1997, and the Bernstein Fabozzi/Jacobs Levy Award in 2003 and 2006. In 2004, he was elected a Batten Fellow at the Darden Graduate School of Business Administration, University of Virginia. He received a master’s in business administration from New York University.
Kenneth N. Levy is Co-founder and Principal of Jacobs Levy Equity Management, a provider of quantitative equity strategies. He is Co-chief Investment Officer, Portfolio Manager, and Co-director of Research. He is the co-author with Bruce Jacobs of Equity Management: Quantitative Analysis for Stock Selection; co-editor with Bruce Jacobs of Market Neutral Strategies; and co-editor of The Bernstein Fabozzi/Jacobs Levy Awards: Five Years of Award-Winning Articles from the Journal of Portfolio Management. Levy’s writing has received numerous awards including Financial Analysts Journal Graham and Dodd Awards. Mr. Levy is a CFA charterholder and has served on the CFA Candidate Curriculum Committee, the POSIT Advisory Board, and the investment board of a community foundation. Mr. Levy has a B.A. in economics from Cornell University; an M.B.A. and an M.A. in business economics from the University of Pennsylvania’s Wharton School; and has completed all requirements short of a dissertation for a Ph.D. at Wharton.
John C. Liechty is a professor at the Smeal College of Business at Penn State University and has extensive experience developing solutions for top investment banks and marketing research firms. He is an expert in derivative pricing and asset allocation, computational statistics and high-performance computing, and marketing research. He has extensive experience in organizing and leading research efforts and has experience in creating production level pricing and analysis systems. He has consulted extensively for top investment banks, including Morgan Stanley and Goldman Sachs, helping develop models and parallel computing software solutions for calibrating basket, credit derivatives, and statistical based trading strategies. He has also helped lead software development efforts at In4mation Insights, a quantitatively focused marketing research firm, where software for leading edge marketing research models was integrated into a high-performance/parallel computing platform. In addition, he is a founding member and a leading organizer of an effort that resulted in a provision in the Dodd—Frank Act of 2010 that creates a new Office in the U.S. Treasury, the Office of Financial Research, which has the mandate to provide better data and analytic tools to the regulatory community in order to safeguard the U.S. financial system (see www.ce-nif.org). Dr. Liechty has a Ph.D. from the Statistical Laboratory at Cambridge University.
Merrill W. Liechty is an associate professor of clinical practice at the LeBow College of Business, Drexel University. Dr. Liechty has done research in Bayesian statistics applied to higher moment estimation, computationally intensive problems, and finance related topics. He has a Ph.D. from the Department of Statistical Science at Duke University.
(p. xxiv) Lee Maclin is Adjunct Professor at the Courant Institute of Mathematical Sciences, New York University and Founding Partner of Pragma Financial Systems. He has over 20 years of experience on Wall Street and has worked and consulted for some of its largest and best known firms. Since 1999, he has taught in The Courant Institute’s Master of Science Program in Mathematics in Finance including classes on algorithmic trading and quantitative strategies, computing in finance, econometrics and statistical inference, and computational methods. In 2002, he was one of the founding partners of Pragma Financial Systems and, for the next six years, served as its Director of Research. At Pragma, his work focused on the development of optimal execution and dynamic portfolio management tools. He is a frequent speaker on the topic of algorithmic trading and computational finance.
Tatiana A. Maravina is a Ph.D. student in the Department of Statistics at the University of Washington. She is working on her dissertation with Professor R. Douglas Martin. Her research interests are in the area of post-modern statistics in finance, including robust and Bayesian methods for portfolio optimization. She has a master’s degree with honors in mathematical statistics from Moscow State University, Russia.
R. Douglas Martin is Professor of Statistics, Adjunct Professor of Finance, and Director of Computational Finance at the University of Washington, and former Chairman of the Department of Statistics. He was a consultant in the Mathematics and Statistics Research Center at Bell Laboratories from 1973 to 1983. He founded Statistical Sciences to commercialize theS language for data analysis and statistical modelling in the form of S-PLUS. Subsequently he was a co-founder and Chairman of FinAnalytica, Inc., developer of the Cognity portfolio construction and risk management system, and served as CEO from 2006 to 2008. Professor Martin has authored numerous publications on time series and robust statistical methods, and is co-author of two books: Modern Portfolio Optimization (2005), and Robust Statistics: Theory and Methods (2006). His research is on applications of modern statistical methods in finance and investment. He holds a Ph.D. in electrical engineering from Princeton University.
Simon Myrgren is a vice president at State Street Associates in Cambridge. He is primarily involved with research concerning portfolio allocation and portfolio risk models. Before joining State Street Associates he devised mathematical and computational models for theoretical physics applications at the University of California, Berkeley. He received his Ph.D. in theoretical chemistry in August 2004. Dr. Myrgren has published several papers in several leading physics and finance journals.
Colm O’Cinneide is a partner and head of portfolio construction at QS Investors, an independent asset management firm with approximately $13 billion under management formed in 2010 from the Quantitative Strategies group of Deutsche Bank’s institutional asset management arm, DB Advisors. Dr. O’Cinneide had joined Deutsche in 2000 after a 17-year career in academia featuring tenured faculty positions in Mathematical Sciences at the University of Arkansas and Industrial Engineering (Operations Research area) at Purdue University. He has 40 refereed academic publications and was sole (p. xxv) Principal Investigator on several National Science Foundation grants supporting his research in applied probability. He holds a Ph.D. in statistics from the University of Kentucky and B.Sc. and M.Sc. degrees in mathematical sciences from the National University of Ireland. He is a former president of the Society of Quantitative Analysts in New York.
Sébastien Page is an executive vice president and head of the client analytics group in PIMCO’s Newport Beach office. Prior to joining PIMCO in 2010, he was a senior managing director and head of the portfolio and risk management group at State Street Associates, where he managed the firm’s asset allocation advisory and currency management activities. He joined State Street in 2000 as a research associate and subsequently held a number of roles with increasing responsibility. Mr. Page has written and spoken extensively on issues pertaining to portfolio analytics throughout his career. He has more than 10 years of experience and holds a master’s degree in finance and a bachelor’s degree in business administration from Sherbrooke University in Quebec, Canada.
Michael Peskin is the CEO and founding partner of Hudson Pilot LLC, an advisory firm focused on delivering enterprise management solutions to corporations, insurance companies, and endowments and foundations. Prior to establishing Hudson Pilot, Mr. Peskin served in a senior capacity at Morgan Stanley in Investment Banking, Global Capital Markets, Asset Management, and the Fixed Income and Equity divisions. He has spoken and written extensively on a wide variety of pension finance and investment issues. He is an associate of the Society of Actuaries, and the Institute of Actuaries, a member of the American Academy of Actuaries and is a Chartered Enterprise Risk Analyst. He served as chair of the Joint Academy of Actuaries/Society of Actuaries Pension Finance Task Force, as a member of the Pension Practice Council of the Academy of Actuaries, as a member of the Public Plan Subcommittee and Social Security Commitstee, and is the Academy of Actuaries representative to the International Actuarial Task Force on Financial Economics.
Bernd Scherer Ph.D. is full time Professor of Finance at EDHEC Business School in London and a member of EDHEC Risk. Prior to joining EDHEC Risk, Professor Scherer was Managing Director and Global Head of Quantitative Structured Products at Morgan Stanley in London and Honorary Visiting Professor at the University of London, Birkbeck College. Previously, he was with Deutsche Asset Management where he successively headed the Investment Solutions and Overlay Management Group in Frankfurt, and Global Quantitative Research and Portfolio Engineering from New York. Bernd has 16 years of investment experience within top financial institutions. He has published eight books on quantitative finance and over 50 articles in leading academic and practitioner journals.
Vitaly Serbin is a director at Investment Technology Group, Inc. He manages the Portfolio Analytics subgroup which is a part of the Financial Engineering department in Boston, MA. Mr. Serbin joined the company in 2001 after receiving a Ph.D. in finance from the University of Illinois at Urbana-Champaign. He has co-authored articles that (p. xxvi) have appeared in the Journal of Finance, the Journal of Portfolio Management, the Journal of Investment Management and others.
George Skiadopoulos is Associate Professor in the Department of Banking and Financial Management of the University of Piraeus. He is also an associate research fellow at the Financial Options Research Centre of the University of Warwick and an honarary senior visiting fellow in the Faculty of Finance in Cass Business School. He has published in academic journals such as the Journal of Business Finance, International Journal of Forecasting, Journal of Futures Markets, and Review of Derivatives Research, among others, and is a speaker in international conferences and executive training courses. He is a member of the editorial board of the Journal of Business Finance and Accounting and serves on the Academic Advisory Council of the Professional Risk Managers International Association (PRMIA).
David Starer is a senior quantitative analyst at Jacobs Levy Equity Management. Previous to Jacobs Levy, he was Research Analyst, Investment Technology, at the Investment Management Division of Lend Lease Corporation in Sydney, Australia. There he developed stochastic models of stock returns, portfolio optimizers, and real-time portfolio management systems. Dr. Starer has received the Journal of Portfolio Management Outstanding Article Award. Previously he was a patent engineer and on the Faculty of Informatics, Department of Electrical Engineering, University of Wollongong, Australia. Dr. Starer has a B.S. in electrical engineering from the University of Cape Town, and a master’s in electronic engineering from the University of Pretoria. He earned M.S., M.Phil., and Ph.D. degrees in electrical engineering from Yale University, where he was a research fellow at the Center for Systems Science.
Nils Tuchschmid is currently Professor of Banking and Finance at Haute École de Gestion, University of Applied Sciences in Geneva, Switzerland. He is also Invited Professor of Finance at HEC Lausanne University and lecturer at the University of Zurich and ULB in Bruxelles. He is the author of books and articles on traditional and alternative investments, on portfolio management, and on optimal decision making processes. Up to 1999, he was a Professor of Finance at HEC Lausanne. Prior to joining HEG in 2008, he worked for various financial institutions, among others, BCV, Credit Suisse, and UBS.
Reha H. Tütüncü is a managing director at Goldman Sachs Asset Management where he manages a team responsible for the optimization platform used for quantitative portfolio construction. Prior to joining GSAM, he was an associate professor in the Department of Mathematical Sciences at Carnegie Mellon University. He received his Ph.D. in operations research from Cornell University. He is the co-author of the book Optimization Methods in Finance and the author of many articles on the subjects of optimization and quantitative finance in academic and practitioner journals.
Erik Wallerstein is a quantitative analyst at Credit Suisse in Zurich, Switzerland. Previously he was a research fellow at Haute École de Gestion, University of Applied Sciences (p. xxvii) in Geneva, Switzerland. He holds an M.Sc. in applied mathematics from Lund University, Sweden, and a master’s in advanced Studies in Finance from ETH-Zurich and University of Zurich. At HEG he was working together with Professor Nils Tuchschmid where they published in the area of hedge fund research.
Kenneth Winston is the Chief Risk Officer of Western Asset Management, a global fixed income investment manager headquartered in Pasadena, California. Dr. Winston’s group assesses and manages investment risk, does quantitative research, and oversees enterprise and operational risk at Western Asset. Prior to Western Asset, Dr. Winston worked in firm risk management at Morgan Stanley and was Chief Risk Officer at Morgan Stanley Investment Management in New York. While he was at Morgan Stanley, he was an Adjunct Professor of Financial Mathematics at the Courant Institute of Mathematical Sciences at New York University. He began his financial career as a quantitative portfolio manager after having taught mathematics at Rutgers University. Dr. Winston is the author of a number of articles and papers, including “Buy side risk management” which won the 2006 Roger Murray Award for best paper at the Institute for Quantitative Research in Finance. Dr. Winston obtained his Ph.D. in pure mathematics from the Massachusetts Institute of Technology and a B.S. and M.S. in mathematics from the California Institute of Technology.
Michael Wolf is Professor of Econometrics and Applied Statistics at the University of Zurich. After obtaining a Ph.D. in statistics from Stanford University, he held previous academic positions at UCLA, Universidad Carlos III, and Universitat Pompeu Fabra. His research can be classified into three categories. First, inference methods which do not require overly strict parametric assumptions, such as bootstrap and subsampling methods; for example, such methods can be used for testing whether the Sharpe ratios of two investment strategies are different. Second, methods for multiple testing (which occurs whenever more than one test is carried out at the same time); for example, such methods can be used to find out which hedge fund managers deliver outstanding performance. Third, methods to estimate large-dimensional covariance matrices when the number of assets is of the same magnitude, or even larger, than the number of data points; for example, such methods can be used to construct Markowitz portfolios with superior out-of-sample performance. The methodological work of Dr. Wolf has been published in leading theory journals, such as Econometrica, The Annals of Statistics, and Journal of the American Statistical Associaton. On the other hand, his applied work has been published in practitioner journals, such as Journal of Empirical Finance, Journal of Portfolio Management, and Willmott Magazine. Dr. Wolf consults for private and public sector companies.
Dan Wunderli is a Ph.D. student in economics at the University of Zurich, where he also obtained his master’s degree in Quantitative Finance. He has carried out research for Credit Suisse as part ofa consulting project of the University of Zurich. He has given talks at the European Meeting of the Financial Management Association in Prague and at the Institute on Computational Economics at the University of Chicago. During his (p. xxviii) master’s degree studies, he attended a summer school on advanced econometrics at the London School of Economics. Before starting his master’s degree, he completed an internship at the Statistics Department of the Swiss National Bank.
Xiaodong Xu is a senior manager at the Alternative Asset Management division of Union Bank Privée (UBP). He is responsible for global quantitative asset allocation research. Prior to joining UBP in 2010, he spent five years as a quantitative analyst with the Quantitative Strategy group of Deutsche Bank. He received his Ph.D. from Northwestern University in 2005.
Sassan Zaker is a manager of Alternative Investments at Julius Bär. He joined Bank Julius är& Co. Ltd. in 2004 as Head Alternative Products and Advisory. Before joining Julius he worked for Swissca Portfolio Management, Finfunds Management AG, and UBS. Sassan Zaker has 17 years of business experience in quantitative analysis, portfolio management, and private and institutional client experience. He holds a master’s and Ph.D. engineering degree from the Swiss Federal Institute of Technology (ETH) and is also a CFA charterholder.