Thomas Schmelzer

Dr. Thomas Schmelzer, quantitative research and development lead at the Abu Dhabi Investment Authority (ADIA), collaborates on diverse topics and strategies with some of the best minds in industry. With a DPhil in Computing from the University of Oxford as a Rhodes Scholar at Balliol College under Lloyd Nick Trefethen FRS, his academic and professional journey is extensive.

Previously, Dr. Schmelzer held senior quant roles at Winton Capital, IMC Trading, and Oxford Asset Management, later he became the Head of Research at Lobnek Wealth Management in Geneva. His experiences at these hedge funds led to the development of the “Seven Sins in Portfolio Optimization” with Raphael Hauser.

In 2023, Thomas undertook a sabbatical at Stanford University, working with Stephen Boyd, Kasper Johansson and Philipp Schiele. Their collaboration focused on high-performance algorithms for portfolio construction, statistical arbitrage opportunities, covariance matrix estimation and revisiting Markowitz’s critical line algorithm. Dr. Schmelzer will discuss his recent papers, including ongoing research, stemming from his time in Palo Alto.