JESUS DAVID MORENO Department of Business Administration Universidad Carlos III de Madrid C/ Madrid 126 28903 Getafe (Madrid) SPAIN Tel. +34 91 624 5794 Fax +34 91 624 9607 jesusdavid.moreno@uc3m.es http://www.jesusdavidmoreno.com/ EDUCATION Ph.D. in Economics (2003) - University of Alcala (Spain) Thesis: Essays on Portfolio Management and Performance Measures. Honors and Awards Master in Finance (2003) - CIFF (Madrid) B.A. in Economics (1995-1999) - University of Alcala (Spain) PROFESSIONAL EXPERIENCE Computational Finance Lab (2000-2003) University of Alcala. Assistant Professor of Finance (2003-2007) - University Carlos III. Associate (Tenured) Professor of Finance (from 2007) - University Carlos III. Affiliated Professor of Finance (2006-2007) - Instituto de Empresa Affiliated Professor (2009-2010) - ESCP-EAP Bussiness School Academic Director of Master in Finance (2009-2010) - ESCP-EAP Bussiness School Director of MSc in Finance (from 2011) - University Carlos III http://www.masterfinanceuc3m.com/ VISITING POSITIONS Visiting PhD student, Villanova University (Jul-Nov, 2003) Visiting Professor, Institute for Research in Advanced Financial Technology (IRAFT), Villanova University (Jul-Aug, 2005) 1
PUBLICATIONS Book Chapters La evaluación de resultados de Hedge Funds (2007), in Nuevas Alternativas para la Inversión Colectiva: Fondos Cotizados y Fondos de Inversión Libre, edited by Lex Nova SA. La inversión colectiva frente a la inversión personal directa (2006), in Instituciones de inversión colectiva y mercados financieros, edited by Lex Nova.SA. Seasonality and Performance in Spanish Mutual Funds Management. (2006), in Mutual Funds: an International Perspective, edited by Palgrave Macmillan. The Critical Line Algorithm for UPM-LPM Parametric General Asset Allocation Problem with Allocation Boundaries and Linear Constraints (2006), in Risk and Portfolio Management: The New Frontier edited by Palgrave Macmillan. What Drives Information Dissemination in a Continuous Double Auction Market? (2005), in Proceedings of the Congress on Evolutionary Computation (IEEE), edited by IEEE Pres. Refereed Journals "Time Horizon Trading and the Idiosyncratic Risk Puzzle" (2013), Quantitative Finance, (forthcoming 2013), (with Juliana Malagon and R. Rodriguez "Optimal Diversification across Mutual Funds" (forthcoming 2013), (with R. Rodriguez), Applied Financial Economics. "The Value of Coskewness in Mutual Funds Evaluation" (2009), (with R. Rodriguez), Journal of Banking and Finance, 33, 1664 1676 "The Value of Coskewness in Mutual Funds Evaluation" (2009), (with R. Rodriguez), Journal of Banking and Finance, 33, 1664 1676 Price Dynamics, Informational Efficiency and Wealth Distribution in Continuous Double Auction Markets (2007), (with J. Gil and Mikel Tapia), Computational Intelligence, 23 (2), 176-196. Formación de precios en un mercado artificial de doble subasta continua (2007), (with J. Gil and M.Tapia), Revista Española de Financiación y Contabilidad, 36 (134), 235-260. "Is the predictability of emerging and developed stock markets really exploitable?" (2007) (with Ignacio Olmeda), European Journal of Operational Research, 182 (1), 436-454. "Self-Organizing Maps could improve the classification of Spanish Mutual Funds" (2006) (with Paulina Marco and Ignacio Olmeda), European Journal of Operational Research, 174, 1039-1054. "Performance Evaluation considering the Coskewness: A Stochastic Discount Factor Framework" (2006) (with Rosa Rodríguez), Managerial Finance, 32 (4), 375-392. "Risk Forecasting Models and Optimal Portfolio Selection" (2005) (with Paulina Marco and Ignacio Olmeda), Applied Economics, 37, 1267-1281. 2
Other Publications Curriculum Vitae J. David Moreno 2013 La Coasimetría en los Fondos de Inversión Revista Bolsa de Madrid, (2007), 161, 64-70. Mercados de Agentes Computacionales Revista Bolsa de Madrid, (2005) January, 138, 63-65. Empleo de Medidas de Performance en la evaluación de Fondos de Inversión. Revista Bolsa de Madrid, (2003) Feb., 58-62. El Efecto del Euro en las Bolsas Europeas Boletín ICE (Información Comercial Económica) (2002), 2715, 21-28. Recent Working Papers Why timing is perverse? (2011) Addressing the Computational Expensivenes of the Mean-LPM Selection Problem with Modified NSGAII (2012) Idiosyncratic Volatility Anomaly: Rational Corporate Investment or Investors Mispricing? (2012) Management Sub-Advising: Mutual Fund Industry (2012) CONFERENCE PRESENTATIONS 2012- XX Finance Forum, Oviedo 2012- Computational and Financial Econometrics, Oviedo. 2011-9th Annual International Conference on Finance, Greece. 2011- XIX Finance Forum, Granada. 2010 47 th Meeting of the European Working Group on Financial Modeling (EWGFM), Praga. 2010-59 th Annual Meeting Midwest Finance Association, Las Vegas. 2009 - XI Congreso Hispano Italiano de Matemática Financiera y Actuarial 2009 - International Risk Management Conference, Venecia 2008 5 th International Conference on Computational Management Science, Londres. 2007 - XV Foro de Finanzas, Mallorca. 2006 - V Workshop de Investigación Empírica en Contabilidad Financiera, Madrid. 2006 - I Jornadas de Invsetigación de la REFC, Madrid. 2006 - European Financial Management Association (EFMA), Madrid. 2006 - XII International Conference on Computing in Economics and Finance, Chipre. 2006 - XII Encuentro ASEPUC, Madrid. 3
2006 - International Conference in High Frequency Fiannce (Conference in Microstructure in Financial Markets), Konstant (Alemania). 2005 - XIII Foro de Finanzas, Madrid. 2005 - I Jornadas de Complejidad en los Mercados Financieros, Madrid. 2005 - Congress on Evoluationary Computation (IEEE), Edimburgo. 2004 - XII Foro de Finanzas, Barcelona. 2004-11 th International Conference Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management, Paris. 2004 - VII Congreso Hispano-Italiano de Matemáticas Financieras y Actuariales, Cuenca. 2003 - XI Foro de Finanzas, Alicante. 2003-10 th International Conference Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management, Paris. 2002-31 st Meeting of the European Working Group on Financial Modeling (EWGFM), Chipre. 2002 - VI Workshop en Finanzas (Analistas Financieros Internacionales), Segovia. 2002 - VI Congreso de Matemática Financiera y Actuarial (Special Session: Young Researchers), Valencia. 2001 - IX Foro de Finanzas, Navarra. 2000 - IV Workshop en Finanzas (Analistas Financieros Internacionales), Segovia. REFEREE FOR SCIENTIFIC JOURNALS Applied Financial Economics, Annals of Operations Research, European Journal of Operational Research, Applied Intelligence, Physica A, IEEE Transactions on Evolutionary Computation, Revista de Economia Aplicada, Moneda y Crédito, Revista Española de Financiación y Contabilidad, Revista de Economía Financiera (REF), Applied Intelligence, Computational Intelligence, Cuadernos de Economía y Dirección de la Empresa, Investigaciones Económicas, International Review of Economics and Finance, Journal of Banking and Finance, Spanish Review of Financial Economics, Opereation Research COMMITTEES 2010 (CEC2010) Worl Congress on Computational Intelligence, Barcelona. 2009 (CEC2009) Congress on Evolutionary Computation in Economics and Finance, Norway. 2008 XVI Foro de Finanzas Program Committee, Barcelona. 2007 XV Foro de Finanzas Program Committee, Castellón. 2007 Congress on Evolutionary Computation, Program Committee, Singapore. 4
2006 Congress on Evolutionary Computation, Program Committee, Canada. 2008 Doctoral dissertation committee: Carmen Pilar, Universidad Jaume TEACHING Undergraduate Financial Economics (2003-2013), University Carlos III Corporate Finance (2004-2009), University Carlos III Graduate Fixed Income (2003-2012), Master en Análisis Financiero, Uc3m. Portfolio Theory (2002-2010), Master en Finanzas, CIFF. Mutual Funds and Hedge Funds Evaluation (2008-2009) Master en Finanzas, CIFF Asset Pricing Models (2002-2010) Master Executive in Finance, CIFF Asset Pricing Models (2005-2012) Master in Banking and Finance, CIFF Economía Financiera (2008-2010) Master en Administración de Empresas, Uc3m. Introduction to Financial Markets (2008) Master en Finanzas, ESCP- EAP. Financial Markets and Portfolio Theory (2009) Master en Negocios Internacionales, CIFF PhD Programs Asset Pricing and Mutual Funds Evaluation (2007-2012) PhD in Business Administration and Quantitative Methods, University Carlos III. Portfolio Theory and Computational Finance (2006) Doctorate in Business Administration, Instituto de Empresa. AWARDS AND HONORS Best Thesis in PhD in Economics (2003, University of Alcala) Best Teaching Practices (University Carlos III) (2004-2007) Honors in Undergraduate Teaching [Average score (2003-2007): 4.35 of 5] Honors in Graduate Teaching in CIFF [Average score (2004-2007): 4.55 of 5] Best Teaching Practices (CIFF, Master in Finance) (2008) Best Professor in Promotion 2010 (Master in Banking and Finance, CIFF) Honors in General Teaching (Top 10% of all professors in University Carlos III, 2011) 5
RESEARCH PROYECTS Valoración de empresas no cotizadas en un mercado organizado. Financed by Mosel Iberica, SA. (2008-2009). Evaluación y Selección de Fondos de Inversión para inversores privados. Financed by University Carlos III (2009-2010). Innogroup-CM: Orientación emprendedora e innovación: información, flexibilidad y mercados. Financed by Dirección General de Universidades de la Comunidad de Madrid, (2008-2011). Nuevos Enfoques en Investigación Económica (NEINVECON). Financed by Ministerio de Educación y Ciencia, (2006-2011). CP08: Responsabilidad Social y su efecto en la Financiación de la I+D. Financed by Comunidad de Madrid and University Carlos III, (2009). CP07: Mercados financieros y la financiación de la I+D. Financed by Comunidad de Madrid and University Carlos III, (2008). Fusiones, adquisiciones e integración de la banca en Europa: estabilidad financiera y regulación. Finance by Ministerio de Educación y Ciencia, (2007-2010) CP06: Nuevas tendencias en la medición y gestión de riesgos. Financed by Comunidad de Madrid and University Carlos III, (2007). Energy Innovation Financial Network. VI Programa Marco de la Unión Europea (convocatoria FP6-2004-INNOV-6). I colaborated with Instituto de Empresa (Coordinated by Deloitte), 2005-2007. Un Nuevo enfoque del riesgo en el Sistema Financiero: Análisis de Basilea II.Financed by Ministerio de Educación y Cultura, (2004-2007) Sistema Informático para la construcción de una cartera óptima de valores. Financed by Universidad de Alcalá, (2001-2002). 6