Associate Professor Konark   Saxena
Associate Professor

Associate Professor Konark Saxena

  • Ph.D. in Finance, Anderson School of Management, UCLA                                                                    2008–2011              

                    Advisors: Richard Roll, Bhagwan Chowdhry, and Mark Grinblatt

  • M.B.A., Indian School of Business                                                                                                           2005–2006
  • B. Tech. in Computer Science and Engineering, Indian Institute of Technology                                      1998–2002         
Business School
Sch of Bank & Fin

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.

Phone
+61 2 9065 1806
Location
UNSW Business School - Ref E12 Level 3, Office 316

Publications

  • Journal articles | 2021
    Associate Professor Konark Saxena
    Saxena K; Barroso P, 2021, 'Lest we forget: learn from out-of-sample forecast errors when optimizing portfolios', The Review of Financial Studies, http://dx.doi.org/10.1093/rfs/hhab041
    Journal articles | 2021
    Associate Professor Konark Saxena
    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
    Journal articles | 2020
    Associate Professor Konark Saxena
    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
    Journal articles | 2019
    Associate Professor Konark Saxena
    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
    Journal articles | 2018
    Associate Professor Konark Saxena
    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
    Journal articles | 2018
    Associate Professor Konark Saxena
    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
    Journal articles | 2018
    Associate Professor Konark Saxena
    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
    Journal articles | 2018
    Associate Professor Konark Saxena
    Phin A; Prono T; Reeves JJ; Saxena K, 2018, 'Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement', Finance and Economics Discussion Series, vol. 2018, http://dx.doi.org/10.17016/feds.2018.081
    Journal articles | 2016
    Associate Professor Konark Saxena
    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
    Journal articles | 2013
    Associate Professor Konark Saxena
    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 |
    Associate Professor Konark Saxena
    Feldman D; Saxena K; Xu J, Is the Active Fund Management Industry Concentrated Enough?, Elsevier BV, http://dx.doi.org10.2139/ssrn.2737875

Awards

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)

Grants

Media