I hold a PhD in Finance from the University of Cambridge and am a postdoctoral research associate at the Centre for Endowment Asset Management (CEAM), University of Cambridge Judge Business School.
My empirical research focuses predominantly on the mutual fund industry. My latest working papers examine:
I primarily use the Julia Programming Language for my research and actively contribute to its ecosystem through open-source projects. These contributions aim to make financial data more accessible and support data-driven decision-making in finance.
As part of this effort, I created and maintain YFinance.jl, a Julia interface for accessing financial data from Yahoo Finance. This package provides easy access to a wide range of financial information, including but not limited to historical stock prices, company fundamentals, option chains, mutual fund data, ESG ratings, analyst ratings, and insider transactions.
In addition to YFinance.jl, I've developed other Julia packages supporting various aspects of financial data analysis. You can explore these projects and more on my GitHub profile.
Excel Files
MV Optimization with 5 AssetsI use a slightly different version of this to illustrate Mean Variance Optimization in one of my session with the Masters in Finance programme.
Some of my students might find it useful to see a more automated version of the sheet used in class, using some simple macros.
This file allows the user to perform a multiple-regression that updates dynamically with changes in the input data by using the linest function.
Some of the students might find this useful, specifically doing their robustness on the impact of different estimation windows in factor regressions.