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The Drawdown Risk and Portfolio Concentration of Sector ETFs
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October 8, 2020
3
min read
Tim Leung, Ph.D.
Chief Crypto-Finance
Endowed Chair Professor of Applied Mathematics and director of the Computational Finance and Risk Management.
About Tim
Tim is a Boeing Endowed Chair Professor of Applied Mathematics and the director of the Computational Finance and Risk Management Programs and the founder of Quantitative Analytics Lab at the University of Washington. His research areas are Quantitative Finance and Stochastic Optimal Control. He has worked on a variety of problems, such as derivatives pricing, algorithmic trading, exchange-traded funds (ETFs), commodities, credit risk and cryptocurrencies. His research has been funded by the National Science Foundation (NSF). He has published over 60 peer-reviewed articles and 4 books, including Optimal Mean Reversion Trading, selected as one of the 100 Best Derivatives Books of All Time.
Tim's Association
Tim served as the Chair of the Institute for Operations Research and the Management Sciences (INFORMS) Finance Section and Vice Chair for the SIAM Activity Group on Financial Mathematics & Engineering (SIAG-FME). He is the founding editor of, Modern Trends in Financial Engineering. He's on the editorial board of a number of journals, including Stochastic Models, Applied Mathematical Finance, SIAM Journal on Financial Math, Journal of Financial Engineering, Studies in Economics & Finance, High Frequency, IISE Transactions, Digital Signal Processing. In 2020, he is the co-editor of the IEEE Intelligent Systems Special Issue on AI and Fintech. In 2016, he won the Emerald Literati Network Award. Learn more ...
