I bring a unique blend of academic rigor and practical industry know-how, with a focus on strategic asset allocation, tactical portfolio tilts, and asset-liability management.

Profound expertise in both the theoretical and practical aspects of factor-based investing, as well as total fund management including liquidity control, foreign exchange risk mitigation, and tail-hedging strategies.

Proven ability to produce and interpret high-quality research and deliver valuable insights on current investment trends and macroeconomic conditions.

Publications

Factor Investing using Capital Market Assumptions with Redouane Elkamhi and Jacky S.H. Lee
- The Journal of Portfolio Management QES Special Issue 2022
Practical Applications of Factor Investing Using Capital Market Assumptions (2022)
Agency Conflicts and Investment: Evidence from a Structural Estimation with Redouane Elkamhi and Chanik Jo
- The Review of Corporate Finance Studies, 2022
Financial Anomalies in Asset Allocation: Risk Mitigation with Cross-sectional Equity Strategies with Redouane Elkamhi and Jacky S.H. Lee
- The Journal of Portfolio Management, November 2022
Portfolio Tilts using Views on Macroeconomic Regimes with Redouane Elkamhi and Jacky S.H. Lee
- The Journal of Portfolio Management, February 2023
- Winner of the Pacific Center for Asset Management (now KCFR) Award
- Winner of the International Centre for Pension Management (ICPM) Research Award
Practical Applications of Portfolio Tilts Using Views on Macroeconomic Regimes (2023)
How Large are Pre-Default Costs of Financial Distress? Estimates from a Dynamic Model with Redouane Elkamhi and Daniel Kim
- Management Science (2023)
Measuring State-level Economic Policy Uncertainty with Redouane Elkamhi and Chanik Jo
- Journal of Financial and Quantitative Analysis (2023)
How Optimal Are Risk-Based Portfolios? with Redouane Elkamhi and Jacky S.H. Lee
- The Journal of Portfolio Management, November 2023
- Honorable mention by the International Centre for Pension Management (ICPM)
Factor-targeted Asset Allocation: a Reverse Optimization Approach with Jacky S.H. Lee
- Financial Analyst Journal, 2023
- Marketing content from CFA available here
Enhancing the Inverse Volatility Portfolio through Clustering with Redouane Elkamhi and Jacky S.H. Lee
- The Journal of Financial Data Science, 2024
(Re)Balancing Act: The Interplay of Private and Public Assets in Dialing the Asset Allocation with Redouane Elkamhi and Jacky S.H. Lee
- The Journal of Portfolio Management, 2024
Practical Applications of Enhancing the Inverse Volatility Portfolio through Clustering (2024)
Applications of FX derivatives to portfolio management with Redouane Elkamhi, Frank J. Fabozzi, Jacky S. H. Lee, Kari Vatanen and Suprita Vohra
- Journal of Asset Management, 2024
Rebalancing Portfolios with Private Assets with Redouane Elkamhi and Jacky S. H. Lee
- The Palgrave Encyclopedia of Private Equity, 2024
The Strategic Role of Balance Sheet Management in Asset Management with Redouane Elkamhi and Jacky S. H. Lee
- The Journal of Portfolio Management, 2025

Conference Presentations

American Finance Association (2021)
- Presented an in-depth analysis in my paper, "How Large are Pre-Default Costs of Financial Distress? Estimates from a Dynamic Model". This work, which delved into the significant costs incurred by firms prior to financial distress, was later published in the Management Science journal.
European Financial Association (2021)
- Presented the findings "How Large are Pre-Default Costs of Financial Distress? Estimates from a Dynamic Model", which was later published in Management Science journal.
Northern Finance Association (2021)
- Discussed another aspect of financial decision-making in my presentation titled "Agency Conflicts and Investment: Evidence from a Structural Estimation". This study, which was later published in the Review of Corporate Finance Studies, explored the nuanced relationships between agency conflicts and investment decisions in corporate finance.
CAASA (2021)
- Presented comprehensive findings from three distinct research papers. Each paper offered innovative perspectives on portfolio management: "Portfolio Tilts Using Views on Macroeconomic Regimes" and "Factor Investing using Capital Market Assumptions" both published in the Journal of Portfolio Management, and "Factor-targeted Asset Allocation" featured in the Financial Analyst Journal.
Frontiers of Factor Investing (2022)
- Presented the findings of my paper "Factor-targeted Asset Allocation", published in the Financial Analyst Journal. This session provided a comprehensive overview of the methodologies and implications of targeting specific factors in asset allocation.
CAASA (2022)
- As an invited speaker, I led an engaging session on the intricacies of volatility timing and portfolio construction. This talk was tailored to address how to incorporate clustering and machine learning techniques into portfolio construction.
EQDerivatives in Australia (2023)
- As a keynote speaker alongside Professor Redouane Elkamhi, we provided a comprehensive talk on a total portfolio approach to asset management and factor investing. This presentation highlighted innovative strategies and practical applications of factor investing, drawing on our extensive research and experience in the field.

Working Papers

When Are Financial Covenants Relevant? with Sergei Davydenko and Redouane Elkamhi (2019)
- University of Toronto 2019, AFA 2021*

* indicates presentation by co-author

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