Ingrid Tierens

Ingrid Tierens

New York, New York, United States
2K followers 500+ connections

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Experience

  • Atlantic Council Graphic

    Atlantic Council

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  • -

    Greater New York City Area

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    New York City Metropolitan Area

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    New York City Metropolitan Area

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    London, United Kingdom

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    London, United Kingdom

Education

Licenses & Certifications

Publications

  • 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 authors
    See 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 authors
    See 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
    • Samer Takriti
    See publication

  • 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 authors
    See publication

Patents

  • 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
    • Steven Harris Strongin II
    • Lewis Segal
    See patent

Organizations

  • KU Leuven Alumni - US Chapter

    Board member

    - Present

  • Chicago Booth PhD Alumni

    Steering group member

    - Present

  • Society of Quantitative Analysts (SQA)

    Past president and board member

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