About

I am a Ph.D. graduate from the Department of Mechanical and Industrial Engineering at the University of Toronto, specializing in Operations Research for Financial Applications under the supervision of Professor Roy H. Kwon. My research focuses on solving financial optimization problems by leveraging the structural properties of specific optimization problem classes and incorporating tailored machine-learning approaches.

I have been fortunate to collaborate with industry professionals throughout my graduate studies. From 2018 to 2021, I worked as a Quant at Canada Guaranty Mortgage Insurance Company. In the summer of 2022, I joined the Macro Risk team at Balyasny Asset Management as a Ph.D. intern, and after completing my doctorate, I returned to the team full time.

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Research

Published

Islip, D., Kwon, R. H. (2024). Support Vector Machine-based Portfolio Selection. Journal of Financial Econometrics, 22(1), 1–35.

Working Papers

Islip, D., Kwon, R. H. (2024). Robust Optimization with Probability Constraints. Operations Research.

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Blog

Some Facts about Bootstrapping

March 22, 2019

This post documents some facts about bootstrapping that I encountered during my PhD. In particular, this post highlights some asymptotic results relating to the mean absolute deviation of normal variables...

Read more →

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Inline code and blocks

Here is some inline code and a block below:

function portfolio_return(w, μ)
    return dot(w, μ)
end

A well-constructed portfolio is one that balances risk and return in a principled way.