8,237 reputation
2058
bio website wingedfootcapital.com
location New York
age 35
visits member for 2 years, 10 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?


Oct
27
answered How to normalize Futures data(different leverage) for cointegration test?
Oct
27
answered How to cluster stocks and construct an affinity matrix?
Oct
26
answered Fixed income modeling
Oct
25
asked Which is a more appropriate choice of risk measurement in a utility function, CVaR or VaR?
Oct
21
asked Has any research used Bayesian networks to estimate risk factor betas?
Oct
20
asked Cleansing covariance matrices via Random matrix theory
Oct
20
answered How to calculate unsystematic risk?
Oct
17
answered How to forecast expected volatility from high-frequency equity panel data?
Oct
14
answered How can one determine approximately what percentage of options trades are buyer-initiated vs. seller-initiated?
Oct
13
answered Why is an inverted yield curve a problem?
Oct
13
answered How to optimally allocate capital among trading strategies?
Oct
13
answered How do earnings estimates respond to changes in underlying fundamentals and economic conditions?
Oct
13
answered How to detect regime change when estimating asset correlation from historical time series?
Oct
6
answered Switching from C++ to R - limitations/applications
Oct
5
answered How to build a regime-switching model which knows its own limits?
Oct
5
asked Choice of prior as a shrinkage target in portfolio construction?
Oct
3
answered Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia?
Oct
1
asked What is the best way to “fix” a covariance matrix that is not positive semi-definite?
Sep
27
answered How do you distinguish “significant” moves from noise?
Sep
26
answered Recommendations for books to understand the math in quantitative finance papers?