• About

    Brief Professional Bio

    I currently work at American Century Investments as a quantitative researcher. Before I jumped over to industry, I was an academic, and in my last position taught mathematics for Concourse, a teaching community at the Massachusetts Institute of Technology.

    Longer Professional Bio

    I taught economics, finance, statistics, and mathematics for over two decades. I see myself as an entrepreneur, a teacher, and a researcher (probably in that order).

    I was an associate professor (tenured) at Saint Mary’s College of California. There, I taught finance in the Graduate Business Programs (MS in Finance, MBA, and occasionally MS in Business Analytics). I was also the Director of the MS in Finance program and the now nonexistent FinTech Certificate program.

    I also taught for various departments at the University of California, Berkeley, including the Haas School of Business. My industry experience included time with the Global Transfer Pricing Group at Deloitte Tax as well as with Headstrong (formerly James Martin and Co.).

    I ran my own consulting firm, Gaji Analytics from 2014 through 2022. We consulted on issues in quantitative finance, and mathematical or statistical problems encountered in industry. I consulted primarily in the area of quantitative finance, and my clients were RIAs, hedge funds, and other financial services firms. I also consulted with some startups and non-profits in the area of analytics and modeling.

    Research

    My research has been published in several journals, and has been presented at several conferences around the U.S., Europe and Asia. My first book — Optimal Operating Strategies Under Stochastic Cash Flows — was published in 2011.

    I received my doctorate in Quantitative Finance from Rutgers University in 2007, where my adviser was the late, great mathematician Larry Shepp. Here’s my math genealogy. For those who know what it means, Larry’s Erdös number was 2 (source). Since I have published a paper with Larry, that makes my own Erdös number 3. (What is an Erdös number?)

    I also have an MBA in Finance, and a Masters in Behavioral Economics, also from Rutgers.

    Research Interests

    My doctoral dissertation was about examining the optimality of risk-taking under various circumstances, and that is still a current research interest. For that, Larry and I developed a numerical technique to solve a certain class of stochastic control problems using Ito calculus and linear programming.

    Since then, I have worked on several projects, including a portfolio optimization model that accounts for tail risk (the risk of extreme events occurring); a model for optimal executive compensation in the presence of management misbehavior; and a few more.

    Two of my current working papers (these have propelled me into the top 10% of downloaded authors on SSRN from January 2018 through December 2020):

    • a model for trading foreign exchange based on a widely used FX benchmark, the WM/R Fix (with Keisuke Teeple, now published in the Journal of Investment Strategies);
    • the behavior of the Fama-French factors during business cycles (with Tee Lim).

    Idle-Time

    Outside of my work, I have made five expeditions to the Himalayas, climbed Mount Whitney, hiked the Grand Canyon in a weekend, run three marathons, have done the swim from Alcatraz to San Francisco and many other open water swims in the San Francisco Bay Area. I had about 60 hours towards my Private Pilot License but that got stalled (pun intended).

    I also like to take photographs. All the photographs on this site are taken by me, during my travels across the world.

    Contact

    twitter: @arnavsheth (I’m not very active here anymore)
    linkedin: in:arnavsheth