Research Focus
Systematic Strategies
Development and analysis of quantitative trading strategies with emphasis on risk-adjusted returns and institutional implementation considerations.
Risk Modeling
Advanced techniques for portfolio risk assessment, stress testing, and dynamic hedging across multiple asset classes and market regimes.
Portfolio Construction
Optimization frameworks combining traditional mean-variance approaches with machine learning techniques for robust allocation decisions.
Market Microstructure
Analysis of liquidity patterns, execution algorithms, and transaction cost modeling for institutional-scale portfolio management.
Recent Work
Volatility Scaling in Multi-Asset Portfolios
Working Paper • March 2025
An empirical examination of volatility targeting across asset classes, with particular focus on implementation challenges and transaction costs in institutional portfolios.
Mid-Frequency Liquidity Patterns
Research Note • June 2025Coming Soon
Analysis of crowding premiums in the 5-20 day holding period range and implications for systematic strategy design.
Risk Parity in Dynamic Markets
Research Note • May 2025Coming Soon
Adaptive approaches to risk budgeting across changing market regimes with transaction cost considerations.