Kasper Johansson

kasperjo@stanford.edu

prof_pic.png

Office:

Packard 243

350 Serra Mall

Stanford, CA 94305

I’m a PhD student in Prof. Stephen Boyd’s group at Stanford. My current research is on convex optimization applied to quantitative finance. Prior to joining Stanford I was a research fellow at Harvard, and prior to that a research intern at Caltech. I received a BSc in Physics and an MSc in Machine Learning, both from KTH Royal Institute of Technology in Stockholm, Sweden.

news

Dec 11, 2024 I defended my PhD thesis: Convex Optimization in Quantitative Finance.
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

2024

  1. sparse_inv_cov.png
    Convex Optimization in Quantitative Finance
    Stephen Boyd, Kasper Johansson, and Philipp Schiele
    2024
    Working Slides, Stanford University
  2. 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
  3. 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