Alexander Passow

Nationality: German

Entered Doctoral Program: 2000 / 2001

Languages
German: mother tongue
English: fluent
French: advanced

Research Interests
Portfolio construction using higher moments
Capital structure arbitrage
Tactical asset allocation
Quantitative hedge fund selection
Strategy and Index Development
Performance Measurement

Research Papers

• RISK Book, August 2008, “Portfolio Management: Groundbreaking Technical Papers”, contribution edited by Bernd Scherer
• RISK Magazine, April 2005, “Omega Portfolio Construction with Johnson Distributions”.
• FAME Research Paper No. 120, November 2004, “Omega Portfolio Construction with Johnson Distributions”. 2^nd PhD paper (short version published)
• FINANCIAL LETTERS, 2003, vol. 1, issue 4 "Quantitative Selection of Long-Short Hedge Funds", with Kaifeng Chen
• FAME Research Paper No. 94, July 2003, "Quantitative Selection of Long-Short Hedge Funds". 1^st PhD paper with Kaifeng Chen
  

Working Papers

• “Johnson-Omega Portfolio Construction for US Government Pension Fund”, 2006 (ongoing research)
• “Real Estate Investment Timing with Real Options”, 2005
• “Exotic Option Pricing using Johnson Distributions”, with Sergei Sontchik, 2005
  

Presentations & Activities

New York, 2008
Presentation on workshop jointly with US academics organized by Deutsche Bank. Topic: "Factor Models".

New York, 2007
Presentation on workshop organized by Deutsche Bank. Topic: "Performance Measurement".

Lausanne, 2006
Referee for RISK Magazine Article.

Boston, 2005
Invited as speaker by Head of US Research (Gottex): Topic: "Omega Portfolio Construction with Johnson Distributions". Research stay to develop Black-Litterman type return estimates.

Zürich, 2004
Invited speaker at the "European Bond Commission Meeting". Topic: "Omega Portfolio Construction using Johnson Distributions".

Toronto, 1999
Active participation at "XXVI General Assembly of Union Radio-Scientifique Internationale (U.R.S.I.)" supported by the "German Science Foundation".

Freiberg, 1999
Invited speaker at the "Mining College". Topic: "Wiener-Hopf Solution for Anistropic Half Plane Problem in Electromagnetics".

Prague, 1998
Invited speaker at Prague University of Technology and "Czech Academy of Sciences". Topic: “Sommerfeld Half-Plane Problem with Anisotropic Boundary Conditions”.

Stuttgart, 1998
Lecture at Stuttgart University for "International Similarity Workshop". Topic: "Derivation of Leontovich Boundary Conditions for Anisotropic Media".

Lisbon, 1995
Invited speaker at "Instituto Superior Têcnico"; Topic: "Derivation of Impedance Boundary Conditions". 3 weeks research stay sponsored by "German Science Foundation".

Germany, 94-99
Attendance and lecture several "U.R.S.I." seminars and conferences. Topics related to electromagnetic theory and mathematical physics.

Munich, 1992
Ten week full time internship at Siemens Research Centre.

Swiss Finance Institute (SFI former FAME), Université de Lausanne, HEC, (Switzerland)
PhD in Finance (final phase).

Université de Lausanne, HEC
MSc in Banking and Finance (Master Thesis: "Exotic Options in Tax planning")

Darmstadt University of Technology, Germany

PhD in Mathematics, "magna cum laude", December 1998 (German: Dr. rer. nat.)Thesis: “Sommerfeld Half-Plane Problem with Anisotropic Boundary Conditions”.MSc in Mathematics, "very good", October 1994 (German: Diplom)BSc in Mathematics, "good", October 1989 (German: Vordiplom)

Ph.D. in Mathematics, "magna cum laude, Technical University of Darmstadt, Germany

Darmstadt University of Applied Sciences, Germany
BSc Computer science, "very good", June 1987 (German: Grundstudienzertifikat)

Alternative Investment Strategy (AIS), Index Development (dbIQ) and Performance Evaluation
(dbGrade), Deutsche Bank (CIB, Global Markets Research), London (UK)

Co-Head Global Asset Allocation Support, HSBC Investments, London (UK)
Research Assistant: TU of Darmstadt, Institute for Mathematical Methods in Physics

Private Investment Manager and Independent Advisor for fund of hedge funds, Lausanne:

• Managing partner in a private (prime location) retail real estate investment including property development in Heidelberg (Germany).
• Absolute Return Management SA, Geneva (Switzerland)
• Select Asset Management Ltd., Sydney (Australia)

Senior Research Analyst and Research Manager at Gottex Fund Management, Lausanne

Research Assistant (full position): Darmstadt University of Technology, Mathematics Department, Institute for Mathematical Methods in Physics.

Teaching Assistant: Darmstadt University of Technology, Department of Mathematics. Tutorial sessions in mathematics for undergraduate engineering and economics students.

Managing Partner in Family Office with investments in traditional assets, fund of hedge funds, retail real estate and building land based in Kleinheubach (Germany).