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Boris Gnedenko

ADG Capital Management LLP

Boris Gnedenko joined ADG Capital Management LLP in 2013 as a portfolio manager of a systematic global macro investment strategy. Prior to joining ADG Boris spent 4 years as Head of Investment Management at Sberbank (Russia). Boris also founded the SmartFolio project, which resulted in the creation of a widely used investment software application solving advanced portfolio optimization problems. Boris graduated from Moscow State University in 1997 with a master's degree in mathematics (diploma with distinction). In 2006 he obtained a PhD in mathematical finance from the Central Economics and Mathematics Institute of the Russian Academy of Sciences.

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Articles by Boris Gnedenko

JOIS
Speed and dimensions of trading

In this paper, two new portfolio statistics are introduced: ENT, which measures trading speed, and ENTD, which measures trading diversity. Together with vectors representing major trading directions, these provide new insight into the intrinsic…