My main research areas are
• Multivariate Statistics
• Portfolio Theory
• Statistical Methods in Finance
• Time Series Analysis
• High-dimensional Setting
Research
Specifically, my current research focuses on how both risk preferences and uncertainty in estimation influence decision-making in portfolio models in a multivariate setting. Moreover, this work is grounded in classical frameworks for portfolio maximization using expected utility functions (quadratic and exponential) while considering different DGPs. Hence, the contribution of this work is for more precious understanding about the estimation of risk aversion coefficient in empirical finance under high-dimensional setting. This research paper was presented at CFE-CMStatistics 2025, Birkbeck, University of London.