is a pioneer in advanced risk and portfolio management. His innovations include Entropy Pooling
(technique for fully flexible portfolio construction), Factors on Demand
(on-the-fly factor model for optimal hedging), Effective Number of Bets
(entropy-eigenvalue statistic for diversification management), Fully Flexible Probabilities
(technique for on-the-fly stress-test and estimation without re-pricing), Copula-Marginal Algorithm
(algorithm to generate panic copulas), and Liquidity Conditional Convolution
(technique to generate liquidity- and funding-risk adjusted portfolio distribution).
Attilio is the founder of SYMMYS, under whose umbrella he designed and teaches the six-day ARPM Bootcamp
, and manages the charity One More Reason
Attilio Meucci is the Chief Risk Officer and Director of Portfolio Construction at Kepos Capital LP.
Previously, Attilio was the head of research at ALPHA, Bloomberg LP's portfolio analytics and risk platform; a researcher at POINT, Lehman Brothers' portfolio analytics and risk platform; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co, a strategic consulting firm. Concurrently, he taught at Columbia-IEOR, NYU-Courant, Baruch College-CUNY, and Bocconi University.
Attilio is the author of Risk and Asset Allocation
and numerous other publications in practitioner and academic journals. He holds a BA summa cum laude in Physics from the University of Milan, a MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA chartholder.
Attilio is fluent in six languages and loves outdoor physical activities.