Peter Lee is Senior Research Scientist and Portfolio Manager at AlphaSimplex. In this role, Mr. Lee is focused on portfolio management, applied research in hedge fund-related strategies, and overall capability development.
Mr. Lee joined AlphaSimplex in 2007. He specializes in systematic single-name equity trading strategies, hedge fund factor replication, and modeling probabilistic dynamic systems using perspectives from probability, information theory, economics, and engineering. Much of Mr. Lee’s recent work involves designing representations of latent information that drive trading decisions.
Mr. Lee earned an A.B. in Applied Mathematics (Decision and Control focus) with a minor in Economics from Harvard University. He also earned an S.M. in Operations Research from MIT. His master’s thesis presented a novel technique for constructing sparse high-dimensional Gaussian models.
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Risk, return and correlation properties of hedge funds in a mutual fund, using proprietary hedge fund beta replication strategy with active risk management.