BNP Paribas Investment Partners
Thomas Heckel manages the Financial Engineering team within BNP Paribas Investment Partners since the end of 2013. BNP Paribas Investment Partners is the dedicated, autonomous asset management business of BNP Paribas. The Financial Engineering team is responsible for the quantitative analysis. The team comprises around to 15 quantitative analysts and deploys its expertise across different investment teams in order to benefit from synergies regarding quantitative analysis, to spread the use of good practices over all management capacities and to think out of the box.
Thomas has more than 15 years of experience in quantitative disciplines. He has started to work at both INSEE (French official statistical office) and Banque de France (national central bank) from 1999 to 2007 as a research analyst in economics and short term forecasting. He has then worked in the asset management industry for BNP Paribas Investment Partners since 2007. Before taking the lead of the Financial Engineering team he was in charge of quantitative analysis related to multi assets solutions within this team from 2007 to 2013.
Thomas holds a PhD in Economics and econometrics from Paris VI University. He also graduated from the Ecole des Mines de Paris and the ENSAE, two famous French Engineering Schools ("Grandes Ecoles"). Thomas has published academic articles in several economic journals.
This paper revisits the cross-sectional approach to the performance analysis of multifactor investment strategies.
The authors of this paper aim to demystify portfolios selected by robust optimization by looking at limiting portfolios in the cases of both large and small uncertainty in mean returns.