About Me

I am a Professor of Practice in Quantitative Finance and Systematic Investing at the University of Liechtenstein (UniLi) and a Senior Research Associate at the Department of Economics, University of Zurich (UZH). In addition, I serve as a Lecturer in Empirical Finance at UZH's Department of Finance and as Head of Quantitative Research at OLZ AG. Previous roles include: Research Fellow at the New York University (NYU) Stern Volatility and Risk Institute, Postdoctoral Researcher at Yale University, and Visiting Researcher at Copenhagen Business School (CBS).

My research focuses on Financial Econometrics and Machine Learning, with applications in Empirical Asset Pricing, Portfolio Optimization, and Climate Risk. At NYU and Yale, collaborations with Nobel laureate Robert F. Engle and Bryan Kelly present real-time risk signals and international financial market data, including volatility, correlations, systemic, and climate risks. Work with Lasse Pedersen at CBS explores (market) concentration risk, while projects with Michael Wolf and Olivier Ledoit at UZH focus on large-dimensional risk estimation models for applied investment solutions.

I have (co-)authored ten publications in leading journals, including the Journal of Finance, Journal of Financial Econometrics, Journal of Banking and Finance, Journal of Empirical Finance, Journal of Portfolio Management, and Financial Analysts Journal. Current working papers explore topics such as:

Quantitative asset management and systematic investing
Sustainability and climate risk (measurement and hedging)
Covariance matrix estimation for large-dimensional portfolio optimization and factor models
Machine learning methods for volatility and stock return prediction
Improved inference methods for financial factor models

These projects have often been developed with renowned co-authors, including Robert F. Engle, Bryan Kelly, Michael Wolf, Olivier Ledoit, and Markus Leippold.

My research efforts have been recognized through scholarships and grants (SNF, FAN), as well as the Engle Prize 2025 in Financial Econometrics, and further awards from organizations like the Swiss Risk Association and FAN.

At OLZ AG, the role as Head of Research involves managing quantitative investment strategies, including risk-optimized equity, tactical multi-asset allocation, and equity multi-factor strategies. Responsibilities also include leading product innovations and overseeing research projects. OLZ AG is a Swiss quantitative asset management boutique specializing in risk-based, sustainable strategies, with offices in Bern, Zurich, and Hong Kong and approximately CHF 1.8 billion in assets under management.

For more details about research, teaching, and professional activities, please explore the website or get in touch directly via the contact form.