About
Summary
PhD and MSc in Financial Engineering and Operation Research. Extensive experience with equity research and implementation of systematic strategies focused on alternative risk premia and alpha generation. Strong knowledge of feature engineering, machine learning (unsupervised/supervised learning and ensemble methods), risk modelling and portfolio construction.
Key Competences
Computational Finance ● Machine Learning ● Operations Research ● Stochastic Optimization ● Asset Management ● Risk Modelling ● Hedge Fund Strategies
Work Experience
| Date | Experience |
|---|---|
| 2018 - Present | Quantitative Analysist and Portfolio Manager, P+ Pension for Academics |
| Manager selection, development and management of systematic alpha capture strategy, development of tools and automation of tasks supporting the general portfolio management process | |
| 2016 - 2018 | Portfolio Manager and Co-founder, ANNOX Alternative Investment fund (Lux SICAV-RAIF) |
| Research, development and management of alternative risk premium strategies within equity, fixed-income, and FX. In addition, establish trading infrastructure for systematic and autonomous trading. | |
| 2013 | Research Assistant in Energy markets, Technical University of Denmark |
| Research position focused on development of models for decision-making and trading in the Nordic power markets. | |
| 2013 - 2016 | Co-founder of Robust Investment Systems, Fintech Consulting company |
Education
| Date | Level |
|---|---|
| 2014 - 2017 | Ph.D in Financial Engineering and Operations Research, The Technical University of Denmark |
| PhD thesis: Tactical Asset Allocation using Stochastic Programming. The thesis focuses on alleviating problems arising in quantitative portfolio management, such as parameter estimation risk, estimation of risk premia, dimensionality reduction, and portfolio construction | |
| 2011-2013 | MSc in Mathematical Modelling and Computation, The Technical University of Denmark |
| Master’ thesis: Multi-stage stochastic programming with Drawdown Constrains. Application of different portfolio optimization models, hidden Markov chains, time series analysis and scenario generation. | |
| 2007 - 2011 | BSc in Mathematics, The Technical University of Denmark |
Programming
Python (Expert), R (Expert), Matlab (Advanced), GAMS (Advanced)
Computer Skills
Microsoft SQL, MySQL, PostgreSQL, Python Dash, R Shiny, AWS, Bitbucket/Git, Bloomberg Terminal, TR Eikon, API Programming
Languages
Danish (Native Speaker), English (Professional), German (Elementary)