Kasper Johansson

kasperjo@stanford.edu

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I’m a Quantitative Researcher at Citadel’s Global Quantitative Strategies team in New York. Previously, I completed my PhD in Professor Stephen Boyd’s group at Stanford, where my research focused on convex optimization applied to quantitative finance. Before Stanford, I was a research fellow at Harvard and a research intern at Caltech. I hold a BSc in Physics and an MSc in Machine Learning, both from KTH Royal Institute of Technology in Stockholm, Sweden.

news

Jun 6, 2025 My dissertation thesis has been published: Convex Optimization in Quantitative Finance.
Mar 29, 2025 We published a preprint of our manuscript A Tax-Efficient Model Predictive Control Policy for Retirement Funding.
Jan 24, 2025 I gave a talk on Markowitz Portfolio Construction Using CVXPY at BlackRock’s portfolio construction summit.
Dec 11, 2024 I defended my PhD thesis: Convex Optimization in Quantitative Finance.
Nov 16, 2024 We published a preprint of our manuscript Simple and Effective Portfolio Construction with Crypto Assets. (Now published in Crypto Insights and Trends, Competition Policy International, 2025.)
Jun 11, 2024 We published slides illustrating several uses of Convex Optimization in Quantitative Finance .
Jun 8, 2024 We published a preprint of our manuscript A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages .
Mar 21, 2024 I presented our work on covariance prediction in finance at the Fidelity Investments seminar series. The slides are available here.
Dec 24, 2023 We published a preprint of our manuscript Markowitz Portfolio Construction at Seventy. A software package is available on GitHub. (Now published in The Journal of Portfolio Management, 2024.)
Dec 9, 2023 We published a preprint of our manuscript Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization. (To appear, Optimization and Engineering, 2024.)
Sep 18, 2023 I (successfully) completed my PhD qualifying exam. My slides are available here.
Jul 11, 2023 We published a preprint of our manuscript A Simple Method for Predicting Covariance Matrices of Financial Returns. (Now published in Foundations and Trends in Econometrics, 2023.) A software package is available on GitHub.

selected publications

2025

  1. correlations_2023-05-01.png
    Convex Optimization in Quantitative Finance
    Kasper Johansson
    2025
    PhD Dissertation Thesis, Stanford University

2024

  1. NAV.png
    A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages
    Kasper Johansson, Stephen Boyd, and Thomas Schmelzer
    2024
    Working Paper, Stanford University
  2. yearly_means.png
    Markowitz Portfolio Construction at Seventy
    Stephen Boyd, Kasper Johansson, Ronald Kahn, and 2 more authors
    Journal of Portfolio Management, Harry Markowitz Special Issue, 2024

2023

  1. SA_visualize_win2.png
    Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization
    Kasper Johansson, Thomas Schmelzer, and Stephen Boyd
    2023
    Working Paper, Stanford University
  2. ewma_weights.png
    A Simple Method for Predicting Covariance Matrices of Financial Returns
    Kasper Johansson, Mehmet G. Ogut, Markus Pelger, and 2 more authors
    Foundations and Trends® in Econometrics, 2023