About

Farid Aitsahlia is a Clinical Associate Professor and Richardson Fellow at the Warrington College of Business, University of Florida. He is part of the Eugene F. Brigham Finance, Insurance and Real Estate Department, where he teaches courses related to Artificial Intelligence & Machine Learning Applications for Finance & FINTECH, Asset Allocation and Investment Strategy, Corporate Finance, Derivative Securities, Risk Management and Insurance, among others. His expertise and interest areas include asset pricing models, computational methods in finance, and market microstructure. He holds a PhD in Operations Research from Stanford University, earned in 1995. Dr. Aitsahlia has an extensive record of professional service, including roles as an associate editor for the World Scientific and the Journal of Risk, and as a committee member for the National Science Foundation. His research contributions include publications on stochastic optimal stopping, portfolio selection under short-sales constraints, and options pricing under stochastic volatility. His work focuses on quantitative methods in finance, emphasizing the application of computational techniques and financial theory.

Research topics

• Computer Science
• Mathematics
• Economics
• Finance
• Statistics
• Econometrics
• Machine Learning
• Applied mathematics
• Actuarial science
• Mathematical optimization
• Business
• Accounting

Selected publications

• Stochastic Optimal Stopping: Numerical Methods

  Encyclopedia of Optimization · 2024

  1st authorCorresponding
  • Computer Science
  • Computer Science
  • Applied mathematics
  PublisherDOI

• Stochastic Optimal Stopping: Problem Formulations

  Encyclopedia of Optimization · 2024-01-01

  book-chapter1st authorCorresponding
  PublisherDOI

• Implementing mean–variance spanning tests with short-sales constraints

  The Journal of Investment Strategies · 2023 · 1 citations

  1st authorCorresponding
  • Computer Science
  • Econometrics
  • Mathematics

  A set of assets is said to span the mean–variance space if the efficient frontier it generates cannot be improved upon with additional assets. Mean–variance spanning is used to determine empirically whether or not particular assets should be included in a given portfolio. Because of typical issues relating to parameter estimation in mean–variance optimization, the results of this empirical approach may differ from those of optimization, which assumes known parameters. In this paper, we show that the Wald tests used to account for short sales are prone to numerical instability. To address this, we exploit the uniqueness of the stochastic discount factor in the presence of a risk-free rate, leading to more robust tests.We also show that the purported Wald tests that have appeared in the literature on retirement plans in the United States do not correspond to mean–variance optimality and that their proper implementation leads to significantly different results.

  PublisherDOI

• Mean-Variance Spanning Tests With Short-Sales Constraints

  SSRN Electronic Journal · 2022-01-01

  articleOpen access1st authorCorresponding
  PublisherDOI

• Menu simplification for portfolio selection under short‐sales constraints

  European Financial Management · 2022 · 2 citations

  1st authorCorresponding
  • Computer Science
  • Machine Learning
  • Econometrics

  Abstract We introduce a risk‐reduction‐based procedure to identify a subset of funds with a resulting opportunity set that is at least as good as the original menu when short‐sales are imposed. Relying on Wald tests for mean‐variance spanning, we show that the better results for the subset can be explained by a higher concentration of covariance entries between its assets, ultimately leading to smaller Frobenius norms of the associated matrices. With data on US‐defined contribution plans, where participants have limited financial literacy, tend to be overwhelmed and prefer to make decisions among fewer choices, we obtain a 75% average reduction.

  PublisherDOI

• Preface: decision making and risk/return optimization in financial economics

  Annals of Operations Research · 2019-07-23

  article1st authorCorresponding
  PublisherDOI

• Information stages in efficient markets

  Journal of Banking & Finance · 2016-04-29 · 6 citations

  article1st authorCorresponding
  PublisherDOI

• Efficiency, Spanning, and the Fiduciary in 401(k) Plans

  SSRN Electronic Journal · 2015-01-01 · 2 citations

  articleOpen access1st authorCorresponding
  PublisherDOI

• Elementary Probability Theory : With Stochastic Processes and an Introduction to Mathematical Finance

  2014-02-08 · 24 citations

  bookOpen accessSenior author
  PublisherOA PDFDOI

• Are There Critical Levels of Stochastic Volatility for Early Option Exercise?

  SSRN Electronic Journal · 2012-01-01 · 2 citations

  articleOpen access1st authorCorresponding
  PublisherDOI

Frequent coauthors

• Kai Lai Chung

  27 shared

• Tze Leung Lai

  6 shared

• Thomas W. Doellman

  4 shared

• Sabuhi Sardarli

  Kansas State University

  4 shared

• Manisha Goswami

  4 shared

• Suchandan Guha

  Barclay College

  3 shared

• Jean‐Luc Prigent

  CY Cergy Paris Université

  3 shared

• Nicole El Karoui

  2 shared

Education

• Ph.D., Management Science and Engineering

  Stanford University

Awards & honors

• Richardson Fellow