Genetically Modified Markowitz - Managing Portfolios of Hedge Funds with the GM Distribution
He completed his PhD in theoretical physics in the Blackett Laboratory at Imperial College in 1992 and then worked for the portfolio management software company BARRA International for three years, before entering academia to work as a Research Fellow in the Centre for Quantitative Finance, in the Tanaka Business School, for a decade before taking up his current position at King's. His research interests include:
- Model calibration using the maximum entropy principle
- Implementing and calibrating chaos models for interest rate, foreign exchange, and equity pricing
- Implementing the Brody Hughston Macrina incomplete information framework for modelling credit risk
- Portfolio management for alternative asset classes.