LIST OF CONTRIBUTORS
Emmanuel Acar ("Maximum Drawdown: Further Results") has researched the foreign exchange and futures markets at Bank of America for the past thirteen years, mostly on the trading side. His specific interest are in designing hedging strategies, performance measurement, modeling time series, market timing and asset allocation studies. Prior to joining Bank of America, Emmanuel worked at Citibank within the FX Engineering Group. He was a proprietary trader and portfolio manager for almost ten years at Dresdner Kleinwort Benson, BZW and Banque Nationale de Paris’ London Branch. His is also a member of the Institute of French Actuaries. Emanuel holds a PhD on the stochastic properties of trading strategies from City University in London.
Emmanuel may be contacted at email@example.com.
Noël Amenc ("Indexing Hedge Fund Indexes") is a professor of finance at Edhec, where he heads the Edhec Risk and Asset Management Research Center. He is also a director of research and development at Misys Asset Management Systems. His expertise is in the relationship between modern portfolio theory and performance evaluation of actively managed funds. Noël received his PhD, the focus of which was on modern portfolio theory, from the University of Nice Sophia-Antipolis.
Boris Arabadjiev ("Understanding Risks Embedded in Portfolios of Hedge Funds") is the head of risk management in the hedge fund investments group at Credit Suisse Asset Management. He is in charge of developing and implementing a quantitative risk management and performance measurement platform for all HFIG products. Prior to joining the fund-linked products group at CSFB in 2001, Boris worded at Barra in Berkeley and London. Whilst in London, he was responsible for the business development of Barra’s cross-asset classes risk product in Europe. Before transferring to London, he was a consultant, managing Barra’s relations with large asset managers throughout the Western United States. Boris holds a BA and BSc in mathematics and economics from West Virginia Wesleyan College, and a PhD in economics from the University of Southern California.
Jean-François Bacmann ("Optimal Hedge Fund Style Allocation Under Higher Moments") is a member of the quantitative analysis group of RMF Investment Management, based in Pfaffikon, Switzerland. His key responsibilities are the implementation of quantitative in-house software tools and the development of innovative solutions in the context of portfolio management. Prior to joining RMF Investment Management in 2002, he spent five years as a research and teaching assistant in finance at the Enterprise Institute at the University of Neuchâtel, Switzerland. Jean-François received his engineering degree in computer science and applied mathematics from the ENSIMAG, France, a master’s degree in finance from the University of Grenoble, France, and a PhD in finance from the University of Neuchâtel. Jean-François has published several articles in professional and academic financial journals.
Jean-François may be contacted at firstname.lastname@example.org.
Turan Bali ("Alternative Approaches to Estimating VaRfor Hedge Fund Portfolios") is an associate professor of finance at Baruch College. He teaches financial econometrics and options/derivatives at MBA and PhD levels. He does research in financial risk management, extreme value theory and its applications, pricing fixed income derivatives and interest rate options, term structure of interest rates, conditional value at risk, optimal portfolio selection, dynamic asset allocation, GARCH, diffusion and stochastic volatility models. Previously, he was an assistant professor of finance at Queens College, where he taught financial econometrics, macroeconomics, international finance and financial derivatives at the undergraduate and PhD level. Turan holds a PhD and an MPhil in financial economics from the City University of New York, and a BA in economics from Bogazici University, Istanbul Turkey.
Tanya Styblo Beder (Forward) is CEO of Tribeca Investments. Prior to joining Tribeca, she was a managing director of Caxton Associate, LLC, a US$10 billion investment management firm located in New York City, where she headed the strategic quantitative investments division. Prior to Caxton, Ms. Beder had over 20 years of Wall Street experience as president of Capital Market Advisors, Capital Market Risk Advisors, and as a vice president of the First Boston Corporation. In 1997, Euromoney named Ms. Beder on of the top 50 women in finance around the world. From 1987 to 2003, Tanya was chairman of the Board of the International Association of Financial Engineers and currently serves as US chair of the Investor Risk Committee. She was an author of Risk Standards for Institutional Investors and Institutional Investment Managers. She has taught courses for many years at the Yale University School of Management, is an appointed Fellow of the International Center for Finance at Yale, and has been on the adjunct faculty at the Columbia University Graduate School of Business Administration. Tanya holds an MBA in finance from Harvard University and a BA in mathematics from Yale University. She has written several articles in the financial area, published in the Journal of Portfolio Management, the Financial Analysts Journal, the Harvard Business Review, and the Journal of Financial Engineering.
Claus Bang Christiansen ("A Quantitative Analysis of Hedge Funds: Style and Performance") is a controller at Arla Foods amba, Denmark. His position involves corporate controlling and financial budgeting. His research interest is performance evaluation on hedge funds. Claus holds an MSc in finance from the Aarhus School of Business, Denmark
Michael Christensen ("A Quantitative Analysis of Hedge Funds: Style and Performance") is an associate professor at the Aarhus School of Business, Denmark. His research interests include performance evaluation, mutual funds and hedge funds. He has published in various journals including the Journal of Economic Literature and the Journal of Private Portfolio Management. Michael holds an MsC in economics from Aarhus University, Denmark, and a PhD in economics from the University of Southampton, UK.
Suleyman Gokcan ("Alternative Approaches to Estimating VaRfor Hedge Fund Portfolios") is a quantitative analyst for the fund of hedge funds group at Citigroup. He develops portfolio optimization models, builds statistical models and tools for active portfolio management and conducts empirical research in the hedge funds area. Previously he was an assistant professor in the economics and finance department of Saint Peter’s College, where he taught various graduate and undergraduate economics and finance courses. He has published articles in the Journal of Forecasting, the AIMA Journal, and the Journal of Alternative Investments. Suleyman holds a PhD in economics-financial economics/econometrics from the City University of New York, MA Economics, from the City University of New York, and a BS in business administration from the University of Istanbul, Turkey.
Niclas Hagelin ("Evaluating Gains fro Diversifying into Hedge Funds Using Dynamic Investment Strategies") works for the Swedish National Debt Office, where he is a senior analyst responsible for developing models for credit risk assessment and pricing. He also holds a position at the Stockholm University School of Business, from which he received his PhD in finance. Niclas has previously held senior positions in quantitative trading as well as financial consulting. He ahs also published numerous articles in scholarly journals on various topics including corporate risk management, market microstructure, and dynamic portfolio allocations.
Harry M. Kat ("Hedge Funds Versus Common Sense: An Illustration of the Dangers of Mechanical Investment Decision Making") is a professor of risk management and director of the Alternative Investment Research Centre at Sir John Cass Business School at City University in London. Before returning to academia, Harry was head of equity derivatives Europe at Bank of America in London, head of derivatives structuring and marketing at First Chicago in Tokyo and head of derivatives research at MeesPierson in Amsterdam. He is a member of the editorial board of the Journal of Derivatives and the Journal of Alternative Investments. He has co-authored numerous articles in well-known finance journals such as the Journal of Financial and Quantitative Analysis, the Journal of Financial Engineering, the Journal of Derivatives, the Journal of Portfolio Management and the Journal of Alternative Investments. His latest book, entitled Structured Equity Derivatives, was published in July 2001. Harry holds MBA and PhD degrees in economics and econometrics from the Tinbergen Graduate School of Business at the University of Amsterdam.
Bernard Lee ("The Alternative Sharpe Ratio" and "How 'Sharpe' Are Fund of Funds") is a co-founder of HedgeFundSolution.Com, as well as a researcher at the Centre for Quantitative Finance, Imperial College, University of London. Until recently, he was principal and head of quantitative research at Allianz Hedge Fund Partners, based in San Francisco, for which he remains as a consultant. For years, Bernard has been actively publishing and speaking in the field of quantitative finance. He sits on the editorial board of the Journal of Derivatives Accounting and has acted as an anonymous referee for a leading industry publication. Bernard has a BA from Princeton with a double major in engineering and the Woodrow Wilson School, as well as an MS from Stanford in computational mathematics, and is waiting for his final defense for a PhD in mathematical finance to be scheduled by the University of London. He also holds the Chartered Financial Analysts designation.
Youngju Lee ("The Alternative Sharpe Ratio" and "How 'Sharpe' Are Fund of Funds") is vice president in the quantitative research department at Allianz Hedge Fund Partners, based in San Francisco. Youngli received her BA in economics from Yonsei University, Seoul, Korea, her doctorate and masters degrees in statistics from the University of Pittsburgh, and her masters in financial engineering from the University of California, Berkeley.
François-Serge Lhabitant ("Evaluating Hedge Fund Investments: The Role of Pure Style Indices") is a member of the senior management of Union Bancaire Privée, where he heads the quantitative analysis and portfolio management activities of the alternative asset management group. He is also a professor of finance at the Edhec Business School (France) and at HEC University of Lausanne.
Peter Brink Madsen ("A Quantitative Analysis of Hedge Funds: Style and Performance") is a financial analyst at Henton Group A/S. His position involves analyses of financial investments and portfolio management. His research interests are performance evaluation on hedge funds. Peter holds an MSc in finance from Aarhus School of Business, Denmark.
Lionel Martellini ("Indexing Hedge Fund Indexes") is a professor of finance at Edhec and the scientific director of the Edhec Risk and Asset Management Research Center. He conducts active research in alternative investment strategies, quantitative asset management and derivatives valuation, and has served as a consultant for various international institutions on these topics. Lionel received his PhD from the Haas School of Business, University of California at Berkeley. The focus of the PhD was on modern portfolio theory.
Amy Middleton ("Maximum Drawdown: Further Results") is a risk analyst on the risk management advisory desk at Bank of America, London. She assists clients in the analysis of currency exposures and her main areas of interest includedhedging, risk measurement and forecasting techniques. She has had articles published in international periodicals and has spoken at several conferences. Amy hold a BA with honors in international finance awarded by the University of Brighton, England, is a qualified member of the Association of Chartered Certified Accountants and is currently studying part-time for a masters degree in finance at Birkbeck University London.
Amy may be contacted at email@example.com.
John Okunev ("An Analysis of the Risk Factors Underlying Hedge Fund Returns") is chief risk officer of Principal Global Investors. Principal Global Investors is the asset management division of the Principal Financial Group. At the present time, the organization manages over USD 120 billion globally. This position has overall responsibility for the group’s risk management functions across all asset classes. Prior to this, he was head of investment process and control (executive vice president) of BT Funds Management, a subsidiary of the Principal Financial Group in Sydney, Australia. In this position he was responsible for monitoring/managing risk exposures of all portfolios for all asset classes. His research interests focus on developing alternative sources of alpha for traditional and alternative asset classes. He holds a PhD in finance from the Australia National University.
Sébastien Pache ("Optimal Hedge Fund Style Allocation Under Higher Moments") is currently working in the corporate finance practice of Ernst & Young in Geneva. He holds an MSc in banking and finance from the University of Lausanne. He completed his master’s thesis investigating hedge fund portfolio optimization within RMF Investment Management. Prior to his master’s studies, Sébastien worked in the mergers and acquisitions business with Lombard Odier & Cie in Geneva, and in the private equity sector with BCV Corporate Finance in Lausanne. His research interests encompass applied corporate finance and alternative investments.
Nolke Posthuma ("A Critical Examination of Historical Hedge Fund Returns") is a researcher at the research department of ABP Investments. ABP Investments is a fully privatized money manager of the pension fund for Dutch public employees and teachers. Nolke joined ABP Investments in 2002. He has worked on quantitative strategies, asset allocation and hedge funds. He holds an MSc degree in business administration from Erasmus University, Rotterdam.
Bengt Pramborg ("Evaluating Gains fro Diversifying into Hedge Funds Using Dynamic Investment Strategies") Is an assistant professor at Stockholm University School of Business. His previous experience includes positions as a financial controller in the oil industry, financial consultant in banking, and senior analyst at the Swedish National Debt Office. His area of interest involves issues concerning corporate risk management, capital budgeting methods, and dynamic portfolio allocations. Bengt focuses on empirical research and has published his findings in scientific journals such as the Journal of Multinational Financial Management, and the Journal of International Financial Management and Accounting. Bengt has a PhD in finance and an MSc in mathematical statistics from Stockholm University, as well as an MBA from Yonsei University, Seoul.
Leola B. Ross ("Threading a Rope Through a Needle: How Does a Large-Scale Investor Approach Hedge Funds?") is a senior research analyst with Russell Investment Group, where she is responsible for conducting research and providing advice on capital markets. Leola’s primary area of research is hedge funds, but she also covers various regional equity markets. Within the hedge fund area, she has focused on understanding risk exposures and deciphering the myths and realities behind many presumed properties of hedge funds and popular methods of analysis. Leola has presented for Russell at conferences and published for Russell in the Journal of Performance Measurement, the Journal of Asset Management, and Institutional Investor Investment Guides, as well as Russell Research Commentaries and Reports. In addition to publishing her own research, Leola assists other in the process of publishing as a member of the publications committee. Leola joined Russell’s investment policy and research area in 1998 and received the CFA designation in 2001. Before joining Russell, Leola was a university professor, teaching and performing research in the areas of industrial organization, law and economics, managerial economics, and macroeconomic and microeconomic principles from 1994 to 1998. She served on the faculties of Seattle University and East Carolina University. During her time as an academic, Leola specialized in airline pricing and market structure, railroad efficiency, and efficiency in the provision of public goods. Leola holds a BA in economics from Drew University, and MA in economics from Southern Methodist University and a PhD in economics from Southern Methodist University.
Barry Schachter (Editor) is Chief Risk Officer at Balyasny Asset Management, LP, a large hedge fund. He is also the creator of GloriaMundi.org (website), a non-commercial website for risk management. Barry is a Fellow of the Program in Mathematics in Finance at the Courant Institute of NYU. He is a member of the Blue Ribbon Advisory Panel of PRMIA and a member of the Advisory Board of IAFE; additionally, he serves on the editorial boards of the Journal of Derivatives and Finance Letters. Prior to his current position, Barry was Chief Risk Officer at SAC Capital Advisors and Caxton Associates, both large hedge funds. He has also worked at Chase Manahattan Bank, the US Comptroller of the Currency, the US Commodity Futures Trading Commission, and several universities. He has also been a consultatn to the International Monetary Fund, has published his research in academic and practitioner journals, and has edited Derivatives, Regulation, and Banking, published by Elsevier Science. He has spoken widely on the topic of risk management. Barry received his PhD in economics from Cornell University.
Milind Sharma ("AIRAP - Alternative Views on Alternative Investments") Milind Sharma is Director and Senior Proprietary Trader at Deutsche Bank. He was Vice President and founding member of Risk and Performance at Merrill Lynch Investment Managers, where his investment role spanned a dozen quantitatively managed funds (including the five-star rated ML Large Cap Series). Prior to MLIM, he was Manager of the Risk Analytics and Research Group at Ernst and Young LLP. Milind holds dual MS degrees in Computational Finance and Applied Mathematics from Carnegie Mellon University, where he was a doctoral student. He graduated Summa Cum Laude from Vassar College and completed the Honours Moderation curriculum at Oxford University en-route. His publications have appeared in the Journal of Investment management, Risk, Wiley Finance and Elsevier amongst others.
Milind may be contacted at firstname.lastname@example.org.
Pieter Jelle van der Sluis ("A Critical Examination of Historical Hedge Fund Returns") is a senior researcher who manages the active quantitative strategies team within the research department of ABP Investments. ABP Investments is a fully privatized money manager of the pension fund for Dutch public employees and teachers. Pieter Jelle’s team focuses on quantitative strategies for equities, commodities, currencies and GTAA. He is also involved in research on more strategic issues such as hedge funds, real estate and derivatives. His expertise is in active quantitative investment strategies, asset allocation, asset liability management, forecasting, portfolio construction, risk management and option pricing. Before joining ABP, Pieter Jelle was an assistant researcher at the department of actuarial science and econometrics at the University of Amsterdam. Pieter Jelle holds an MSc degree in econometrics and operations research from Free University Amsterdam and a PhD in economics and econometrics from the University of Amsterdam. Currently, he also serves as an assistant professor to the finance department at Free University Amsterdam where hi is affiliated to the post-graduate program for financial and investment analysts. He has published several articles on financial econometrics and option pricing in international journals, such as Studies in Nonlinear Dynamics and Econometrics, the Econometrics Journal, and the European Finance Review.
Hilary Till ("The Benefits and Costs of Illiquidity") co-founded Chicago-based Premia Capital Management, LLC, of which she is a portfolio manager, with Joseph Eagleeye. Premia Capital specializes in detecting pockets of predictability in derivatives markets using statistical techniques. Hilary is also a principal of Premia Risk Consultancy, Inc., which advises investment firms on derivatives strategies and risk management policy. Prior to Premia, Hilary was chief of derivatives strategies at Boston-based Putnam Investments. Her group was responsible for the management of all derivatives investments in domestic and international fixed income, tax-exempt fixed income, foreign exchange, and global asset allocation. Prior to this, Hilary was a quantitative equity analyst at Harvard Management Company (HMC) in Boston. Her articles on derivatives, risk management, and alternative investments have been published in the Journal of Alternative Investments, Derivatives Quarterly, Quantitative Finance, and Risk. Hilary has a BA in statistics with general honors from the University of Chicago and an MSc in statistics from the London School of Economics (LSE). She studied at LSE under a private fellowship administered by the Fulbright Commission.
Hilary may be contacted at email@example.com
Mathieu Vaissié ("Indexing Hedge Fund Indexes") is a research engineer at Edhec Risk and Asset Management Research Center and a PhD candidate in finance at University Paris IX Dauphine. He specializes in multi-factor models and their use for benchmarking hedge fund returns.
Derek White ("An Analysis of the Risk Factors Underlying Hedge Fund Returns") is a senior quantitative analyst with Principal Global Investors, specializing in fixed income strategies. Prior to taking this position, he held the position of senior lecturer at the University of New South Wales, in Sydney, Australia, where he was director of the Master of Commerce Program. His research interests include quantitative currency management techniques, portfolio management, and fixed income strategies. He holds a PhD in finance from the University of Texas at Austin.