Activity
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It was great to spend time with our high-performing women associates during Goldman Sachs’ 19th annual Women’s Career Strategies Initiative, with my…
It was great to spend time with our high-performing women associates during Goldman Sachs’ 19th annual Women’s Career Strategies Initiative, with my…
Liked by Ingrid Tierens
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It was a pleasure working with the Hoover Presidential Foundation, the Herbert Hoover Presidential Library and Museum as well as the Herbert Hoover…
It was a pleasure working with the Hoover Presidential Foundation, the Herbert Hoover Presidential Library and Museum as well as the Herbert Hoover…
Liked by Ingrid Tierens
Experience
Education
Licenses & Certifications
Publications
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Handbook of Artificial Intelligence and Big Data Applications in Investments
CFA Institute
The handbook profiles how investment Industry pioneers are using AI and Big Data technologies to augment the investment process. In Chapter 2, we demonstrate how we put them to productive use in Goldman Sachs Global Investment Research.
Other authorsSee publication -
AI Pioneers in Investment Management
CFA Institute
An examination of the trends and use cases of AI and big data technologies in investments, authored by Larry Cao.
Dan Duggan and I contributed the use case "LEVERAGING AI/ALTERNATIVE DATA ANALYSIS IN SELL-SIDE RESEARCH: GOLDMAN SACHS".Other authorsSee publication -
Incorporating Transaction Costs in the Construction of 130/30 Portfolios
Journal of Trading
This article analyzes how transaction costs of a 130/30 portfolio compare to the transaction costs of a long-only portfolio built using the same investment signals. It also demonstrates how the characteristics of a 130/30 strategy increase the importance of incorporating these costs directly in the portfolio construction process.
Other authors -
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Finding Alpha Via Covered Index Writing
Financial Analysts Journal
This article dissects the strategy underlying the BuyWrite Monthly Index on the S&P 500. The BXM is the most broadly quoted benchmark for index call–selling strategies. Also discussed are alternative structured S&P 500 option–overwriting strategies, which have even more attractive risk–return trade-offs than the BXM because they take advantage of the implicit positive risk premium of equities and potentially adjust the strike price of the call sold on the basis of the volatility environment.
Other authorsSee publication
Patents
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System and Method for Creating, Managing and Trading Hedge Portfolios
Issued US 7885885
The present invention discloses apparatuses, systems and methods for providing optimal hedge portfolios that minimize single stock idiosyncratic risk for a given level of transactional costs. This is accomplished by deriving hedge portfolios with the maximum effective n for various levels of transaction costs. In one exemplary embodiment the maximum effective n portfolios are derived by starting with a sample portfolio, such as a capital weighted index, and using a hill climbing algorithm to…
The present invention discloses apparatuses, systems and methods for providing optimal hedge portfolios that minimize single stock idiosyncratic risk for a given level of transactional costs. This is accomplished by deriving hedge portfolios with the maximum effective n for various levels of transaction costs. In one exemplary embodiment the maximum effective n portfolios are derived by starting with a sample portfolio, such as a capital weighted index, and using a hill climbing algorithm to iteratively modify the sample portfolio to map out the optimal effective n portfolios.
Other inventors -
Organizations
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KU Leuven Alumni - US Chapter
Board member
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Chicago Booth PhD Alumni
Steering group member
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Society of Quantitative Analysts (SQA)
Past president and board member
More activity by Ingrid
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Looking forward to this week's Society of Quantitative Analysts (SQA) virtual event, where Christian Mueller-Glissmann will show how to lever ML for…
Looking forward to this week's Society of Quantitative Analysts (SQA) virtual event, where Christian Mueller-Glissmann will show how to lever ML for…
Shared by Ingrid Tierens
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Our annual full day conference "Innovations and Insights for Multi-Asset Investors", was a great success! Check out some of the great photos from the…
Our annual full day conference "Innovations and Insights for Multi-Asset Investors", was a great success! Check out some of the great photos from the…
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Dare I say DataEng@GS is the new CoreStrat@GS? Thanks so much Bianca Chan and Business Insider for a really fun discussion on all things data at GS!…
Dare I say DataEng@GS is the new CoreStrat@GS? Thanks so much Bianca Chan and Business Insider for a really fun discussion on all things data at GS!…
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Looking forward to learning more from Geert Molenberghs about the central role biostatistics plays in dealing with pandemics…
Looking forward to learning more from Geert Molenberghs about the central role biostatistics plays in dealing with pandemics…
Shared by Ingrid Tierens
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🌟 Thrilling Announcement! 🌟 Save the date for the upcoming Society of Quantitative Analysts (SQA) Gathering scheduled for January 11, 2024! 🗓️ 🔗…
🌟 Thrilling Announcement! 🌟 Save the date for the upcoming Society of Quantitative Analysts (SQA) Gathering scheduled for January 11, 2024! 🗓️ 🔗…
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Looking forward to moderating the practitioner panel at the Data Science in Finance conference, co-organized by CFA Society New York and Society of…
Looking forward to moderating the practitioner panel at the Data Science in Finance conference, co-organized by CFA Society New York and Society of…
Shared by Ingrid Tierens
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