Current research project

My current interest is in the active share measure widely used in portfolio management. I am examining the robustness of this metric and the extent to which it can be used to quantify and control portfolio risk. I have published the following working papers on this:

1. Consistent Formulations for Active Share and Portfolio Concentration
2. The Distributions of Funds' Active Shares
3. Approximating the Expectation and Variance of the Square Root of the Quadratic Form in Normal Random Variables
4. Estimating Ex-ante Tracking Error Variance from Active Share
5. Estimating Ex-ante Tracking Error from Active Share and Averages of Stocks' Variances and Squared Covariances

Previous research projects

My previous research projects that led to scholarly articles primarily involved the application of mathematics to population dynamics. Unlike my current research interest in 'populations' of financial assets, these were in biological populations. My projects involved the mathematical modelling of cell populations in developmental biology and disease, populations of genetically engineered organisms in ecology, and marine populations in natural resource management.