R help - Jun 2008 - ETH Internship - Dynamic Portfolio Asset Allocation

Summer Internship at ETH Zurich
"Dynamic Portfolio Asset Allocation"


We offer a 3-months internship starting
midth July 2008. The topic addresses
"Dynamic Portfolio Asset Allocation"
including alternative instruments and
hedge funds. The goal will be to compare
the robust mean-variance, the lower partial
moment and the conditional value-at-risk
approaches for portfolio construction and
optimization using the Rmetrics package
"fPortfolio". Moreover, we will investigate
the influence of quadratic covariance and
copulae related tail risk budget constraints
as an option to limit and control the risk
attributed by individual assets.

We offer a generous compensation for traveling,
accomodation, and living costs in the beautiful
city of Zurich.

The candidate should have a strong quantitative
background and have experience in data
modelling with the R language.

The application should include a letter of
motivation (highlighting your interest and prior
knowledge in the internship topic) and an
up-to-date CV. Please send your application to
wuertz at phys.ethz.ch.

If you need further information, please contact us.

PD Dr. Diethelm Wuertz
Econophysics Group at the
Institute of Theoretical Physics
ETH Zurich

www.ethz.ch
www.phys.ethz.ch
www.rmetrics.org

NOTE:
Rmetrics Workshop: http://www.rmetrics.org/meielisalp.htm
June 29th - July 3rd Meielisalp, Lake Thune, Switzerland