List of Contributors xv
Bernd Scherer is Managing Director at Morgan Stanley Investment Management
and Visiting Professor at Birkbeck College. Bernd published in the Journal of
Economics and Statistics , Journal of Money Banking and Finance , Financial
Analysts Journal , Journal of Portfolio Management , Journal of Investment
Management , Risk , Journal of Applied Corporate Finance , Journal of Asset
Management , etc. He received masters degrees in economics from the University of
Augsburg and the University of London and a PhD from the University of Giessen.
Katja Scherer is a Quantitative Research Analyst at BITA Risk, where she
is focusing on portfolio optimization strategies and quantitative consult-
ing projects. Previously, she was a Client Relationship Manager at Deutsche
Asset Management, Frankfurt. Mrs. Scherer holds a BA degree from the
University of Hagen and an MSc degree in economics from the University of
Witten/Herdecke, both Germany. She also received a Finance Certificate in the
Computational Finance Program at Carnegie Mellon University, New York.
Enrico Schumann is a Research Fellow with the Marie Curie RTN
“ Computational Optimization Methods in Statistics, Econometrics and
Finance ” (COMISEF) and a PhD candidate at the University of Geneva,
Switzerland. He holds a BA in economics and law and an MSc in economics
from the University of Erfurt, Germany, and has worked for several years as a
Risk Manager with a public sector bank in Germany. His academic and profes-
sional interests include financial optimization, in particular portfolio selection,
and computationally intensive methods in statistics and econometrics.
Frank A. Sortino , Chairman and Chief Investment Officer, is Professor of
Finance emeritus at San Francisco State University. He founded the Pension
Research Institute in 1981 as a nonprofit organization, focusing on prob-
lems facing fiduciaries. When Dr. Sortino retired from teaching in 1997, the
University authorized PRI’s privatization as a for-profit think tank.
PRI , founded in 1981, has conducted research projects with firms such as
Shell Oil Pension Funds, the Netherlands; Fortis, the Netherlands; Manulife,
Toronto, Canada; Twentieth Century Funds, City & County of San Francisco
Retirement System, Marin County Retirement System, and The California State
Teachers Retirement System. The results of this research have been published
in many leading financial journals and magazines.
Prior to teaching, Dr. Sortino was in the investment business for more than
a decade and was a partner of a New York Stock Exchange firm and Senior
VP of an investment advisory firm with over $1 billion in assets. He is known
internationally for his published research on measuring and managing invest-
ment risk and the widely used Sortino ratio. Dr. Sortino serves on the Board of
Directors of the Foundation for Fiduciary Studies and writes a quarterly analy-
sis of mutual funds for Pensions & Investments magazine. Dr. Sortino earned an
MBA from U.C. Berkeley and a PhD in finance from the University of Oregon.