Attilio Meucci - Università degli studi di Pavia

Attilio Meucci
via Palestro 4, 22100 Como, Italy
tel: +39-335-7529-810
[email protected]
Education
• in progress: C.F.A.
• June '99: M.A., Economics, Bocconi University, Milan
• March '99: Ph.D., Mathematics, Università Statale, Milan
Dissertation: The bi-Hamiltonian route to the discrete Sato Grassmannian
B.A. summa cum laude, Physics, Università Statale, Milan
• July '94:
Thesis: A generalization of Arnold diffusion
Experience
• July ’99-present:
Bain & Company, Milan. Current position: manager
Projects: personal financial planning, credit-and market-risk
measurement, portfolio insurance, tactical and strategic asset
allocation, performance attribution
• Fall '99-present:
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Bocconi University, Milan. Graduate School of Economics
Lecturer: Mathematics, Risk Management
Spring '02:
Università di Pavia, Pavia. Master in Applied Econometrics
Lecturer: Asset Allocation
October '01:
CEIBS, Shanghai. MBA Program
Visiting professor: Applied Finance
Dec '95-May '97: U.C. Berkeley. Dept. of Mathematics Visiting Scholar
Fall '94, Spring '95: Università dell’ Insubria, Como. Dept. of Physics
Teaching Assistant: Mechanics
Languages
(♦♦♦♦) close to native speaker (♦♦♦) very good (♦♦) good (♦) basic knowledge
• English.....................(♦♦♦♦)
• French......................(♦♦♦♦): Centre Culturel Francais1, DALF2
• German....................(♦♦♦♦): Goethe Institut1, GDS2
• Italian........................(♦♦♦♦): native language
• Spanish.....................(♦♦♦♦): Instituto Cervantes1, DELES2
• Mandarin Chinese...(♦♦♦)
• Modern Greek.........(♦♦)
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Sole official institution 2 Certificate of highest proficiency
Publications
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Mr. Risk: Getting to Know Him Better. To appear EGEA (2002)
Multi-period Optimal Asset Allocation for a Multi-Currency Hedged Portfolio, with
D.Mignacca. Comp. Methods in DM, Economics and Finance. Kluwer 1 (2002), 1-12
Introducing Mr.Risk. EGEA (2001)
A Common Pitfall in Mean-Variance Asset Allocation. www.wilmott.com (2001)
Tuning a practitioner’s views. working paper
Bayesian Diagnostics for Portfolio Allocation, with F.Corielli. working paper
Style Analysis Revisited, with F.Corielli. working paper
A Dynamic Factor Model for Bond Portfolio Allocation, with G.Fusai. working paper
Toda equations, bi-Hamiltonian systems, and compatible Lie algebroids.
Mathematical Physics, Analysis and Geometry, 4 (2001), 131-146
Compatible Lie algebroids and periodic Toda lattice.
Journal of Geometry and Physics, 35 (2000), 273-287
The bi-Hamiltonian route to the discrete Sato Grassmannian, Ph.D. dissertation (1998)
Computer skills
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Programming: C++, Visual Basic
Mat/Stat/Eco packages: Matlab, Maple, Mathematica, PcFiml, PcGive, E-views,...
General: Windows Office (XL, Word, Access, PP), www (HTML, JavaScript),...
International schools
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Spain, Valladolid, July '95. European School of Group Theory
Germany, Dresden, September '93. Summer School of Quantum Physics
Honors
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R.E. Invernizzi Fellowship (for the M.A. in Economics), Sept.'98 through June '99
Italian Government Dottorato Fellowship, November '94 through October '98
Italian Government Fellowship (for study abroad), December '95 through May '97
EU Fellowship (for the European School of Group Theory), July '95
First B.S. in Physics, Università Statale, Milan, Polo di Como, July '94
WE-Heraeus Fellowship (for the Summer School of Quantum Physics), Sept. '93
Pastimes
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Basketball, fitness, biking, hiking
References
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Prof. Francesco Corielli, Dept. of Quantitative Methods, Bocconi University, Milan
[email protected]
Prof. Carlo Favero, IGIER, Bocconi University, Milan
[email protected]
Prof. Marco Pedroni, Dept. of Mathematics, Università Statale, Genova
[email protected]
Prof. Cecilia Chu, Dept. of East Asian Languages, U.C. Berkeley
[email protected]