Konark Saxena

Associate Professor
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Research Interests: Asset pricing and quantitative portfolio management based on factor models, macro-finance, and long-term sustainability considerations such as climate risk. Research expertise and industry experience in asset management.

Konark has published in top finance journals including Review of Financial Studies, Journal of Financial Economics, and Journal of Financial and Quantitative Analysis. His research has also been published in leading industry journals such as Journal of Portfolio Management. His research received media coverage in Forbes, UBS's "Academic Research Monitor", the Practical Applications journal,  and Barclay's "Trending Academic Research".

On sabbatical, Konark visited University of California Los Angeles (UCLA), University of Notre Dame University, McGill University, and University of British Columbia.

Konark also has industry experience in constructing factor portfolios, multi-asset portfolios, macro factors, sustainability investing, carbon aware investing, downside risk protection, and enhanced indexing. He worked for one of the largest asset managers, UBS Asset Management, while on leave from UNSW, where he applied his research expertise to help various division in the firm.

Journal articles
Feldman D; Kang C-M; Li J; Saxena K, 2021, 'Politically Motivated Corporate Decisions as Tournament Participation/Inclusion Games', Journal of Corporate Finance, http://dx.doi.org/10.1016/j.jcorpfin.2021.101883
Feldman D; Saxena K; Xu J, 2020, 'Is the Active Fund Management Industry Concentrated Enough?', Journal of Financial Economics, vol. 136, pp. 23 - 43, http://dx.doi.org/10.1016/j.jfineco.2019.08.009
Saxena K; Barroso P, 2020, 'Lest we forget: learn from out-of-sample forecast errors when optimizing portfolios', The Review of Financial Studies
Saxena K; Zolotoy L; Kalev P, 2019, 'Coskewness Risk Decomposition, Covariation Risk, and Intertemporal Asset Pricing', Journal of Financial and Quantitative Analysis, vol. 54, http://dx.doi.org/10.1017/S0022109018000637
Grinblatt M; Saxena K, 2018, 'When factors do not span their basis portfolios', Journal of Financial and Quantitative Analysis, vol. Published online: 12 October 2018, pp. 2335 - 2354, http://dx.doi.org/10.1017/S0022109018000376
Garvey G; Saxena K, 2018, 'Should the Interest Rate Level Influence Asset Allocation?', The Journal of Investing, vol. 27, pp. 116 - 125, http://dx.doi.org/10.3905/joi.2018.1.069
Saxena K; Grinblatt M, 2018, 'Improving Factor Models', Journal of Portfolio Management, vol. 44, pp. 74 - 88, http://dx.doi.org/10.3905/jpm.2018.44.6.074
Saxena K; Guan X, 2016, 'Capital market seasonality: the curious case of large foreign stocks', Finance Research Letters, vol. 15, pp. 85 - 92, http://dx.doi.org/10.1016/j.frl.2015.08.007
Chowdhry B; Roll R; Saxena K, 2013, 'Development and freedom as risk management', Finance Research Letters, vol. 10, pp. 103 - 109, http://dx.doi.org/10.1016/j.frl.2013.07.001
Working Papers
Feldman D; Saxena K; Xu J, Is the Active Fund Management Industry Concentrated Enough?, Elsevier BV, http://dx.doi.org10.2139/ssrn.2737875

2016 Best Paper Award at the 6th Behavioral Finance and Capital Markets Conference for “Is the active fund management industry concentrated enough?” (with D Feldman and J Xu)

2013 Stephen A. Ross Best Paper Award among articles published in Finance Research Letters in 2013 for “Development and freedom as risk management” (with B Chowdhry and R Roll)

Investment using quantitative modeling of asset prices. I have industry experience and research expertise in constructing factor portfolios, multi-asset portfolios, macro factors, sustainability investing, carbon aware investing, downside risk protection, and enhanced indexing.                            

I teach Applied Portfolio Management and Empirical Techniques in Finance at the post graduate level. I am also co-developing a course on FinTech Robo Advisors.

  • FINS5517 Applied Portfolio Management and Modelling
  • MFIN6201 Empirical Techniques and Applications in Finance