8,262 reputation
2059
bio website wingedfootcapital.com
location New York
age 35
visits member for 2 years, 11 months
seen May 27 at 18:53

Quantitative Equity Portfolio Management research with a focus on market-neutral and long/short investing strategies. Focus is on systematic, multi-disciplinary, and hypothesis-based approaches to alpha generation and risk control across regimes.

Previous roles: Fixed income credit portfolio decisioning at a major bank/broker-dealer, Management Consulting in Financial Services, Columbia Economics, and Machine Learning. Live and work in NYC.

All posts and comments represent my views and not that of my employer. email: ram - at - wingedfootcapital . com

My favorite answers:

How do you mix quantitative asset allocation with qualitative views?

Empirical or theoretical insights that have shaped your thinking

Why is the first principal component a proxy for the market portfolio?

How do I graphically represent the evolution of a covariance matrix over time?

Which approach dominates? Mathematical modelling or data mining?


Apr
17
awarded  Notable Question
Mar
12
awarded  Popular Question
Mar
8
awarded  Necromancer
Feb
28
awarded  Popular Question
Feb
3
accepted Tools in R for estimating time-varying copulas?
Jan
29
awarded  Nice Question
Jan
28
accepted What are some research articles on using principle components to generate alpha?
Jan
23
comment Robust-Bayesian optimization in Markowitz framework
Can you post the link to the paper? Reminds me of an Atillio Meucci paper
Jan
21
asked Typical coefficients uses in square-root model for market impact
Jan
19
awarded  Good Answer
Jan
16
awarded  Nice Answer
Jan
15
awarded  Good Answer
Jan
9
awarded  Popular Question
Dec
23
comment Are there any tools or useful algos for identifying corner portfolios?
No - an efficient portfolio is only a linear combination of any two corner portfolios.
Dec
19
awarded  Yearling
Dec
16
awarded  Necromancer
Dec
13
awarded  Nice Answer
Nov
29
awarded  Nice Answer
Nov
29
comment Bootstrapping first, then data mine?
Great point re: preserving the auto and cross correlations. Block bootsrap method discussed by Stambaugh appears effective in that regard but it seems to me that the research on the best bootstrapping method is not definitive
Nov
21
answered portfolio optimization from empirical return distributions