Quantitative finance

Collaborators: Ivilina Popova, Edward George, David Morton, Alexander Galenko (ORIE PhD candidate)

Recent papers

· Popova I., Popova E. and E. George, "Bayesian forecasting of prepayment rates for individual pools of mortgages," Bayesian Analysis, accepted, 2008, http://ba.stat.cmu.edu/journal/forthcoming/popova.pdf

· Popova I., Morton D., Popova E., Yao J., “Optimizing benchmark-based portfolios with hedge funds”, Journal of Alternative Investments, vol. 10, no. 1, pp. 35-55, 2007.

· Morton D., Popova E., Popova I., "Efficient fund of hedge funds construction under downside risk measures", Journal of Banking and Finance, vol. 30, 2006, pages 503-518, pdf file

· Morton D.,Popova E.,  Popova I. and M. Zhong, "Optimizing benchmark-based utility functions", Bulletin of the Czech Econometric Society, Volume 10, Issue 18, pp. 1-18, 2003, pdf file

Working papers

· Galenko A., Popova E., Popova I., Investment Decisions in the Presence of Long Term Dependencies”, under review, Management Science, 2008.

· Popova I., Popova E., " The art and science of creating a trading strategy"

· Popova I., Popova E., “Adaptive directional trading strategies”

Ongoing research topics:

· Quantitative trading strategies

· Bayesian models and computation for equity pricing

· Fund-of-funds construction under nontrivial risk measures and return distributions

· Modeling, estimation, and simulation of stochastic dependencies

· Impact of stochastic dependencies on asset allocation decisions

· Intraday volatility modeling and estimation