Mentor: Ralph Koijen

Project: Creating a Recommender System for Investor Portfolios

Traditional methods to understand financial markets use data on firms’ fundamentals and asset prices. But the asset prices we observe reflect the aggregate behavior of individual investors, both institutional and retail investors. In this project, you would be helping to create models of investors’ behavior to explain current, and predict future, asset prices. This framework can be used to evaluate financial market regulations, to estimate the impact of fiscal and monetary policies, and to improve portfolio management decisions.

Mentor: Ralph Koijen, AQR Capital Management Professor of Finance and Fama Faculty Fellow, Booth School of Business

Ralph S.J. Koijen is a Professor of Finance at the at the University of Chicago Booth School of Business. He is also a Research Associate at the National Bureau of Economic Research and a Research Fellow of the Center for Economic Policy Research. He serves as an Editor of the Review of Financial Studies. Professor Koijen was awarded the 2019 Fischer Black Prize by the American Finance Association, given biennially to the top financial economics scholar under the age of 40.

Professor Koijen’s research focuses on finance, insurance, and macroeconomics. His research has been published in the American Economic Review, Econometrica, the Journal of Political Economy, the Journal of Finance, the Review of Financial Studies, and the Journal of Financial Economics. His research has been covered in popular media, such as the Financial Times, the Wall Street Journal, and The Economist.

Before joining Chicago Booth in 2018, Professor Koijen was a Professor of Finance at the London Business School and NYU Stern, and an Assistant and Associate Professor of Finance at Chicago Booth. He received his undergraduate degree in Econometrics from Tilburg University and his Ph.D. in Finance from Tilburg University.