Quantitative Analyst @ memento.
Thesis on asset pricing, portfolio theory, and general equilibrium models
Visiting student, department of finance at NUS Business School (4 months)
Thesis: "Historical analysis of US stock exchanges and stock markets, 1990-2010"
Rank: top 5
Visiting student, department of financial engineering (one semester)
Rank: top 10
We construct mean-variance portfolios using a factor model approach. We show the importance of portfolio allocation for large unbalanced equity data sets using the full CRSP database. We compare the performance of our portfolio construction methodology to the 1/N naive diversification strategy, standard shrinkage procedures, and alternative factor model estimation. We document significant out-of-sample performance improvement in terms of Sharpe ratios, turnover and certainty equivalent. We show that it is due to improved expected returns estimation coming from the 2-pass regression approach.
We consider an economy with a continuum of firms paying out cash-flows which are affected by an aggregate shock and a firm specific shock. The representative agent has incomplete information and must learn about the aggregate cash flow process which follows a continuous time Markov chain. We study the dynamics of pairwise correlations and show that (i) pairwise correlations are U-shaped as a function of the probability of the good state (ii) correlations are stronger for higher beta stocks, and increase more during bad time for lower beta stocks. In addition, the model calibrated to the US business cycle matches the data in terms of volatility, correlation, and risk premium.
From walking on hot lava in Hawai'i to looking for mountain gorillas in the Bwindi impenetrable forest of Uganda to kayaking my way to a lake full of jellyfish in Palau.
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