I spend most of my week as Research Director at Windham Capital Management. My professional interests include computational finance, numerical methods, global asset allocation, and optimization. I love playing squash, hotrod guitars, go (baduk), and chess when not at my desk. On intermissions, I try for adventures without my phone - preferably in the middle of nowhere.
Origin:The Straits of Malacca
Research Director - Windham Capital Management 2004 to present
Currently managing applied research for Windham's asset management business and Windham's Strategic Partnerships. Engineered Windham's proprietary quant library, which provides internal and external clients access to Windham's intellectual property. Prior to moving into current role, was responsible for Windham's currency management partnership with State Street Associates and led the design and development of Windham's flagship portfolio construction platform, The Windham Portfolio Advisor, a comprehensive optimization and risk management tool used by institutional clients worldwide.
Consultant - WICN Public Radio 2002
Modeled and optimized the acoustics of a conference room for conversion into a broadcast studio. Analyzed it's modal frequencies and reverberation times. Proposed and presented solutions to the room’s acoustic problems within various budget constraints. Joint effort with the late Richard Campbell (Bang-Campbell Associates), Dr. Frederick Bianchi, and Shukanth Reddy.
Technical Assistant - Visioncom Pte. Ltd. 1996
Software and hardware consultant for private and federal agencies.
Boston University2003 - 2004
Master of Arts (M.A.), Mathematical Finance
Worcester Polytechnic Institute1999 - 2003
Bachelor of Science (B.Sc.), Mathematical Sciences
Graduated with distinction.
Honorable Mention, Provost's Major Qualifying Project Award.
Tournaments & Awards
Massachusetts State Doubles, Champion 2012
New England Regional Championship, Finalist 2011
Massachusetts State, Champion 2008-2009
Hyder Trophy Invitational, Finalist 2009
If a picture is worth a thousand words, then music is worth a thousand pictures. Some of my fun experiments are available on SoundCloud. Some highlights below:
The Trooper May 2, 2013
Raw (guitar) demo cut for Arthur and his band.
Diamonds and Rust (Live at Beach Street) Oct 18, 2011
A cover of Judas Priest’s acoustic take, originally written and performed by Joan Baez.
The Commuter Sept 15, 2006
A capture of a short session, primarily intended to explore an 8-track recorder.
One Year of Pain Nov 14, 2006
In memory of Percy. First track recorded with the new synth.
Portfolio Management Under Stress Nov 15, 2015
"Riccardo Rebonato and Alexander Denev deliver an exceptional reference to using Bayesian networks
in asset allocation and risk management. Portfolio Management Under Stress: A Bayesian-Net Approach to
Coherent Asset Allocation (2013, Cambridge) is an indepth extension of their 2012 paper, Coherent Asset Allocation
and Diversification in the Presence of Stress Events (Rebonato and Denev, 2012), and Rebonato’s Coherent Stress
Testing (Rebonato, 2010) text. Rebonato and Denev’s work enables the reader to build practical Bayesian networks in finance as
well as to help understand the depth of underlying algorithms, mechanics, and its theory with ease."
reviewed for the Journal of Investment Management, 2015, Fourth Quarter
Global Macro: Theory & Practice May 15, 2014
"Rozanov's anthology gives a good overview of the foundations of macro strategies and the major
themes which drove and shaped its successes in the past decades, and leaves the reader with a lot to think
about what themes, advantages, or derivative overlays are likely to drive and shape such strategies in the
reviewed for the Journal of Investment Management, 2014, Second Quarter
Active Credit Portfolio Management in Practice May 15, 2010
"Bohn and Stein, two veterans, satisfy their objective of providing a clear and comprehensive guide to
credit risk management. Active Credit Portfolio Management in Practice is an excellent risk management
text that is well structured and insightful which covers modeling, business research, data issues, and
organizational implementation problems, as well as potential developments. I highly recommend this book
to both the practitioner and academic."
reviewed for the Journal of Investment Management, 2010, Second Quarter
Financial Modeling of the Equity Market May 15, 2007
"Frank Fabozzi teams up with an academic and practitioner to write this comprehensive book
on equity modeling. Financial Modeling of the Equity Market is a well-organized text giving
a complete overview of deﬁnitions, notation, and sufﬁcient formal descriptions of the mathematical
tools common in asset management today. The book is intended as a reference for quantitative
practitioners and students of mathematical ﬁnance..."
reviewed for the Journal of Investment Management, 2007, Second Quarter
The Man Who Would Be King Dec 14, 2006
A great story of quest and adventure, friendship and power. Although I was introduced to this particular story through Caine’s film, I made it a point to read this to evaluate Kipling’s original. Well-written, descriptive with a class of its own. Short and must-read! Inspires the adventurous traveler in you.
Empirical Dynamic Asset Pricing Nov 15, 2006
"Experienced practitioners who seek a detailed review of the subject will ﬁnd Singleton’s book very appealing.
Even determined initiates with a sense of adventure will beneﬁt from Singleton’s excellent presentation of this
highly technical material. The bottom line is that whether you are an initiate or experienced practitioner,
Singleton’s book deserves space on your shelf."
reviewed for the Journal of Investment Management, 2006, Fourth Quarter
The Leather District, Boston, MA
A loose juxtaposition of anonymous souls, going about their own business, in a quirky two block radius in downtown Boston.
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