Prof. Marc Paolella

Marc Paolella is Professor of Empirical Finance at the University of Zurich. Professor Paolella is the author of several books on graduate-level probability, statistics, and time series analysis. His research papers have been published in the top academic journals in his areas of expertise.

Professor Paolella studies different modeling techniques that claim to better forecast financial assets' returns and better select an optimal portfolio. He recently constructed a momentum factor that identifies cross-sectional winners and losers based on a weighting scheme that incorporates all the price data, over the entire lookback period, as opposed to only the window's first and last price points. This novel weighting scheme provides an economic interpretation by combining both reversal and momentum patterns. A subset of the stocks listed on the NYSE, AMEX, and Nasdaq indexes proves that his newly developed momentum strategy achieves significantly higher risk-adjusted returns and mitigates the notoriously large drawdowns of the classical momentum and short-term reversal strategies. Asset managers can benefit from these findings.

• Financial Markets
  • Financial Forecasting
• Portfolio Management and Asset Classes
  • Portfolio Management