Johnew Zhang (张俊琪) is a Financial Services/FinTech investor at the CPP Investments. He holds a M.S. degree in Financial Economics from the Columbia Business School, and a B.Math. degree in Mathematical Finance from the University of Waterloo. He is also a member of the Society of Actuaries, the Casualty Actuary Society and the International Association of Quantitative Finance.

He is passionate about solving investment problems using model-based and data-driven approaches. He believes that models should be constructed based on fundamental economic intuition and validated by real-world data so that we can characterize proper risk premiums and alpha.

He also believes,

“Estimation” suggests a Bayesian approach to data, while “testing” suggests a classical approach. I prefer estimation since I think researchers who want to test often choose models that are more specific than the economics require. They talk of adding restrictions for no reason other than making their models easier to reject.

Research Interests

• Asset Pricing
• Game Theory
• Bayesian Inference
• Machine Learning

Publications

• Short Positions in the First Principal Component Portfolio, NAAJ, V22 Issue 2
• Correlation Matrices with the Perron-Frobenius Property, SSRN

Computer Skills

• Python
• R
• C++
• OCaml
• MATLAB
• SAS

Projects

• Variational Autoencoder
• Time Series Outlier Detection

Interests

• Investing
• Basketball
• Tennis (3.5 under NTRP player rating scale)
• Violin
• Sports Analytics
• Calligraphy