Associate Professor of Finance
Tony Berrada is Associate Professor of Finance at the University of Geneva and has been an SFI faculty member since 2006. Prof. Berrada is a regular speaker at leading finance conferences and workshops worldwide. He teaches executive education courses on portfolio management.
His main research interests lie in the pricing of financial assets and the modeling of market volatility dynamics, with a particular emphasis on the role of information.
In a recent paper, Prof. Berrada and his co-author revisit optimal portfolio allocation decisions. Using an unbalanced panel of 18’000 stocks covering a 45-year period, the researchers generate portfolios based on the factor loadings of individuals stocks and the risk premia of common factors. Considered portfolios outperform naive diversification by offering higher Sharpe ratios and certainty equivalents, as well as low turnover. These results are based on a 2-pass regression approach that uses all available information to compute the common risk premia.