Robert J. Frey

               

Robert J. Frey, Research Professor

Director, Program in  Quantitative Finance

  

Applied Mathematics and Statistics
College of Engineering and Applied Sciences

    

Stony Brook University

Stony Brook, NY 11794-3600

 

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+1 631-473-6314

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+1 631-513-3690

    

Robert.Frey@StonyBrook.edu

Proud graduate of

Saint Saviour's Elementary School

Brooklyn, NY, 1968

    


After 25 years as an applied mathematician in industry, the last 15 years spent in quantitative finance as a managing director with a well known hedge fund, I retired in 2004 and embarked on an academic career. My focus is on risk management, modeling the process of managing complex and dynamic portfolios, particularly those that naturally arise in so-called alternative investment strategies. This interest has found its expression in two areas of research: characterizing those interactions via regime-switching models and developing policies for risk control and capital structure management through micro-simulations.

    

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Announcements and Updates

       

  • 30 Mar 2015 - Tutorials for use of the EM algorithm in fitting finite mixtures and for estimating the mean and covariance of multivaritate Normal data with missing values have been downloaded to the AMS-512 Capital Markets & Portfolio Theory course page.
  • 06 Mar 2015 - This Friday will follow Monday's schedule in order to make up for snow days. This means that a session of  AMS-512 Capital Markets & Portfolio Theory will be held.
  • 28 Feb 2015 - Survivor bias, the problem of multiple models and other reasons why most empirical financial research is BS. http://econ.st/1LUfxIO
  • 23 Feb 2015 - Prof. Rachev has graciously consented to conduct an additional lecture each week for the benefit of students. The optional lectures will be held on Wednesdays from 07:00 PM to 09:30 in Physics P112. See additional information on the AMS-512 Capital Markets & Portfolio Theory course page.
  • 26 Jan 2015 - Snow day. No Classes.
  • 02 Feb 2015 - Snow day. No Classes.
  • 09 Feb 2015 - First day of classes for AMS-512 Capital Markets & Portfolio Theory. The class schedule on the course page has been updated to reflect the additional Friday classes that the Provost's Office has designated to replace Monday classes cancelled due to snow. Further adjustments are likely but the first two classes are stable.
  • 09 Feb 2015 - Information for Mr. Tiantian Li, the teaching assistant for AMS-512 Capital Markets & Portfolio Theory, has been added to the course page.

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