8,107 reputation
1957
bio website wingedfootcapital.com
location New York
age 35
visits member for 2 years, 7 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?


Mar
7
answered What are some quantitative ways to obtain the view confidences in Idzorek's version of Black-Litterman?
Mar
6
answered CAPM - Beta of zero and its implications on diversification
Feb
24
answered copula-marginal algorithm
Feb
4
answered How to compute performance attribution between daily rebalanced strategies?
Feb
3
answered What is the best way to forecast prepayment rate in an emerging market mortgage loan portfolio?
Feb
1
answered Why does the minimum variance portfolio provide good returns?
Jan
29
answered Are there ways to measure the risk aversion of a representative investor, based on publicly available market data?
Jan
25
answered From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?
Jan
24
answered Has spectrum analysis ever been used successfully to analyse historical price data?
Jan
21
answered RMT (Random Matrix Theory) issue with callibrating MP distribution -
Jan
21
answered Does random matrix theory (RMT) for returns' correlation matrices apply if there are high correlations?
Jan
16
answered Why do expected return models and risk models use different factors?
Jan
10
answered One dimensional analog of cleansing a correlation matrix via random matrix theory
Jan
6
answered How do you mix quantitative asset allocation with qualitative views?
Jan
4
answered How can higher co-moments be applied to portfolio optimization in an asset allocation context?
Jan
2
answered Econometric vs ANN models for forecast?
Jan
2
answered Which indices to use for an equity vs. fixed-income portfolio simulation?
Dec
30
answered Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
Dec
28
asked How to apply risk-parity portfolio construction to a dollar-neutral portfolio?
Dec
26
answered How to test for and how to simulate price rise/fall asymmetry in the stock market