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Andrea Amato

Andrea Amato

Senior Associate, MSCI Research

Andrea Amato is a member of the Fixed Income and Multi-Asset Class Research team. His team is responsible for the development of curves and risk factors for MSCI’s Multi-Asset Class risk models. Andrea holds a Master of Financial Engineering from the University of California at Berkeley, and a B.S. and M.Sc. in Finance from Bocconi University.

Research and Insights

Articles by Ola Mahmoud

    Minimizing Shortfall

     Research Report | Jan 26, 2011 | Michael Hayes, Lisa Goldberg, Ola Mahmoud

    This paper describes an empirical study of shortfall optimization with Barra Extreme Risk. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese equity markets using Barra Style Factors (Value, Growth, Momentum, etc.). We show that minimizing shortfall generally improves performance over minimizing variance, especially during down-markets, over the period 1985-2010. The outperformance of shortfall is due to intuitive tilts towards protective factors like...