Written on 29 July 2014.
The paper assesses the benefits from international factor diversification under a regime-based portfolio construction framework that takes into account the dynamic changes in stock markets and shows that there are significant costs to investors who fail to pursue an international diversification strategy using sources of return other than the market premium and take into account the existence of regimes in portfolio construction and asset allocation. He also discussed the paper "Forward-Looking Measures of Higher-Order Dependencies with an Application to Portfolio Selection" authored by Alexander Kempf , Felix Brinkmann and Olaf Korn, which provides implied measures of higher-order dependencies between assets.
Nikolaos Tessaromatis was also invited to present his paper on "Global Portfolio Management Under State Dependent Multiple Risk Premia" in the Portfolio Management and Performance Evaluation session at the 5th World Finance Conference held in Venice on 2-4 July, 2014, where he also discussed the paper "The Influence of Market States on Security Returns", authored by Warren Thomson and Graham Bornholt, an empirical study investigating whether an industry’s past relative performance in the same market state as the current market state predicts the industry’s future performance.
More recently, on July 16-18, 2014, Dr. Tessaromatis was invited to participate in the CFA Program Partner Conference organised in Los Angeles by the CFA Institute.
Nikolaos Tessaromatis is a financial economist with interest and experience in applying modern portfolio theory to the management of institutional assets. His professional experience includes creation and management of quantitatively driven investment products, index fund management, portfolio risk management and advice on strategic asset allocation. Prior to joining EDHEC Business School, Nikolaos Tessaromatis was CEO and CIO of EDEKT Asset Management, the leading fiduciary manager of Greek pension funds, and Associate Professor of Finance at ALBA Graduate Business School. Before EDEKT, he was Director of Investments at ATE Finance, Principal and Head of Research and Product Development at Gartmore Investment Management, Associate Director at Nat-West Investment Management and Senior Quantitative Analyst at Hermes Investment Management.