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.

Articles by Boris Gnedenko

Original research

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…

03 Jan 2018

Original research

Equal risk allocation with carry, value and momentum

The authors of this paper analyze an equal-weight portfolio of global cross-asset-class risk factor exposures.

07 Nov 2016

Original research

Reconciling factor optimization with portfolio constraints

This paper projects an optimal unconstrained factor portfolio onto a set of all feasible portfolios using tracking error as a distance measure.

21 Apr 2016

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