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Vitali Alexeev

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Vitali Alexeer

Vitali Alexeev

Lecturer
Tasmanian School of Business & Economics

Room 214, Centenary Building, Sandy Bay Campus

+61 3 6226 2335 (phone)

+61 3 6226 7587 (fax)

Vitali.Alexeev@utas.edu.au

Dr Vitali Alexeev is a Lecturer in the TSBE. His research agenda concerns better understanding effective investment strategies in a world of 'big data' where investor choice is an area of increasing relevance.

Career summary

Qualifications

Degree Title of Thesis University Country Awarded
PhD Essays in Financial Economics Expected Completion University of Guelph Canada 2010
GradDipFinancial EngineeringSchulich School of BusinessCanada2004
MAEconomicsYork UniversityCanada2003
BAEconomics International University, Moscow Russia 2001

Languages (other than English)

  • English - fluent 
  • Russian – native or bilingual proficiency

Biography

Vitali graduated from University of Guelph, Canada with PhD in Economics prior to joining the School of Economics and Finance at the University of Tasmania, Australia as a Lecturer in Finance in 2010. He completed a Graduate Diploma in Financial Engineering from Schulich School of Business in Toronto. His research focuses on time series econometrics, unit root testing, market efficiency and robust portfolio optimization. His recent publications in Journal of Empirical Finance, Quantitative Finance, European Journal of Finance, Journal of Investment Strategies, Canadian Investment Review and JASSA are all evidence of the growing interest in this area amongst both academic and industry journals. Vitali had taught at University of Guelph, University of Toronto and is currently teaching investment analysis and international finance units at the University of Tasmania. See also http://valexeev.yolasite.com/

Research Themes

Vitali's research agenda links to the UTAS core theme of Data, Knowledge and Decisions, which encompasses the need to draw together information into useful decision making tools intimately linking finance and mathematics in these agendas. The additional policy relevance of carrying out research to establish effective means of portfolio choice when faced with an overabundance of information ties the social science aspects of the new cross-faculty University Institute for the Study of Social Change (ISC), which supports the Creativity, Culture and Society theme within and beyond the University. His research aligns closely with the Institute's objectives. As access to financial resources is also associated with better personal and family health, Vitali's agenda also contributes to advancing the University's Better Health theme. His proposed research hence provides a pivot for linking researchers across the different themes.

Memberships

Professional practice

  • Canadian Economics Association (CEA), since 2009
  • Professional Risk Managers' International Association (PRMIA), since 2009
  • Econometric Society, since 2010
  • CFA Institute Sydney branch, since 2011
  • European Financial Association (EFA), since 2012
  • Accounting and Finance Association of Australia and New Zealand, since 2012

Teaching

Economics, Econometrics, Finance, Investment, Financial and Portfolio Management

Teaching expertise

Vitali's teaching expertise includes: International Finance; Investment Analysis; International Financial Management; Investment Analysis; Economics for Managers; Quantitative Methods ; Applied Regression Analysis; Price Theory: A Mathematical Approach; Financial Economics; Corporate Finance; Portfolio Management; Introductory Microeconomics; Economics of Equity Markets

He created a public YouTube channel where he posts his how-to tutorials to guide students through most challenging computational and technical material.

Teaching responsibility

Research Appointments

  • Lecturer and Masters of Finance Coordinator, Tasmanian School of Business and Economics, University of Tasmania, 2010-present.
  • Adjunct Professor and Member of Graduate Faculty, Department of Economics and Finance, University of Guelph, Canada, 2014-present
  • Visiting Scholar, Cass Business School, City University London, UK, Sep-Nov 2015
  • Visiting Scholar, Department of Economics and Finance, University of Guelph, Canada, Jun-Jul 2011-2013, Sep-Nov 2014, Jun-Jul 2015
  • Guest Editor, the 2015 Special Issue of the Economic Record journal, 2014.
  • Sessional Lecturer, Department of Management, University of Toronto, Canada, 2008-2010.
  • Sessional Lecturer, Department of Economics, University of Guelph, Canada, 2004-2010.

Research Invitations

Invited talks:

  • School of Risk & Actuarial Studies, UNSW Business School, UNSW Australia, 2014
  • Department of Economics and Finance, University of Guelph, Canada, 2014
  • Essex Business School, University of Essex, UK, 2014
  • Department of Economics and Finance, University of Guelph, Canada, 2013
  • Discipline of Business Analytics, University of Sydney Business School, 2013
  • School of Risk & Actuarial Studies, Australian School of Business, UNSW, 2013
  • School of Accounting, Economics and Finance, RMIT University, 2012
  • School of Accounting, Economics and Finance, Deakin University, 2011

View more on Dr Vitali Alexeev in WARP

Expertise

  • Empirical Finance
  • Portfolio Choice
  • Asset Pricing
  • Applied Econometrics
  • Financial Economics
  • Financial Econometrics

Awards

Funding has helped me acquire and establish the hardware base necessary for the highly computationally intensive research that I undertake, and invest in advanced professional statistical programming workshops and courses.

External: I was successful in securing three external competitive grants: (i) an early career researcher grant from the Accounting and Finance Association of Australia and New Zealand (AFAANZ) in 2012 in the amount of $9,500 (contribution: 90%), (ii) a mid-career researcher grant from AFAANZ in 2014 in the amount of $4,050 (contribution: 100%), and (iii) a competitive grant from AFAANZ in 2015 in the amount of $4,000 (contribution: 100%). I have applied for DECRA in 2015 and received very good reviews from 4 assessors. I have applied for SSHRC Social Sciences and Humanities Research Council of Canada.

Insight Development Grant in 2015. The reviewers 'recommended' my proposal (ranked 4A), but 'not funded due to lack of funds'. This allows me to apply for funds internally at the University of Guelph, Canada.

Internal: Research Enhancement Grant, 2013, $10,000 (contribution: 100%); Career Development Scholarship, 2013, $3,000; Research Conference Central Support Scheme, 2011, $1,189 (contribution: 100%); New Appointees Research Grant Scheme, 2011, $5,000 (contribution: 100%).The above shows my continuing drive to seek new external funding opportunities, that enable me to investigate novel, creative and interesting research ideas. Working on my proposals helps me clarify my research questions.

Collaboration

Vitali regularly collaborates with colleagues in Australia and overseas.

He is currently working on several co-authored projects including:

  • On Exchange Rate Responses to Commodity Shocks: A Study Using High Frequency Data (with Dungey, M and Treepongkaruna, S. at UWA)
  • The optimal size of momentum portfolios (with Doan, P. at Deakin University)
  • Trading with Exchange-Traded Funds - A Low Cost One-size-fits-all Alternative? (with Doan, P. at Deakin University)
  • Out of sample test of portfolio subset exclusions (with Vasnev, A. at University of Sydney Business School)
  • Large scale robust portfolio optimisation with high-frequency data (with Lyudmyla Hvozdyk at Essex Business School, UK)

Current projects

  • with M.Dungey (UTAS) and S.Treepongkaruna (UWA), 'On Exchange Rate Responses to Commodity Shocks: A Study Using High Frequency Data'.
  • with F.Tapon (Guelph), 'Robust risk-return analysis of international portfolios'.
  • with P.Doan (Deakin) 'The optimal size of momentum portfolios'.
  • with P.Doan (Deakin) and R.Brooks (Monash), 'Trading with Exchange-Traded Funds - A Low Cost One-size-fits-all Alternative?'.
  • with A.Vasnev (Sydney), 'Out of sample test of portfolio subset exclusions'.
  • with L.Hvozdyk (Essex Business School, UK), 'Large scale robust portfolio optimisation with high-frequency data'.

Additional information on Vitali's research and works in progress can be found on the Social Sciences Research Network and at IDEAS: Economics and Finance.

Fields of Research

  • Investment and Risk Management (150205)
  • Financial Econometrics (150202)
  • Time-Series Analysis (140305)
  • Finance (150201)
  • Econometrics (140399)
  • Economic Development and Growth (140202)
  • Welfare Economics (140219)
  • Public Economics- Taxation and Revenue (140215)
  • Environment and Resource Economics (140205)

Research Objectives

  • Investment Services (excl. Superannuation) (900102)
  • Savings and Investments (910109)
  • Financial Services (900199)
  • Expanding Knowledge in Economics (970114)
  • Macroeconomics (910199)
  • Economic Framework (919999)
  • Expanding Knowledge in Commerce, Management, Tourism and Services (970115)
  • Preference, Behaviour and Welfare (910209)
  • Superannuation and Insurance Services (900103)
  • Microeconomic Effects of Taxation (910207)
  • Micro Labour Market Issues (910208)

Publications

Vitali has published referred articles in finance and investment journals.

He has reviewed manuscripts for: Economic Record (2), Journal of Economic Dynamics and Control (2), Applied Economics (1), Journal of Banking and Finance (5), Empirical Economics (3), Quantitative Finance (2), Emerging Markets Finance and Trade (2), Journal of Asian Economics.

He has also held the position of Associate Editor for the Economic Record - Special Issue.

Total publications

10

Journal Article

(10 outputs)
YearCitationAltmetrics
2017Alexeev V, Dungey M, Yao W, 'Time-varying continuous and jump betas: The role of firm characteristics and periods of stress', Journal of Empirical Finance, 40 pp. 1-19. ISSN 0927-5398 (2017) [Refereed Article]

DOI: 10.1016/j.jempfin.2016.11.002 [eCite] [Details]

Co-authors: Dungey M; Yao W

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2017Parlapiano F, Alexeev V, Dungey M, 'Exchange rate risk exposure and the value of European Firms', The European Journal of Finance, 23, (2) pp. 111-129. ISSN 1351-847X (2017) [Refereed Article]

DOI: 10.1080/1351847X.2015.1072570 [eCite] [Details]

Co-authors: Parlapiano F; Dungey M

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2016Alexeev V, Dungey M, Yao W, 'Continuous and jump betas: implications for portfolio diversification', Econometrics, 3, (27) pp. 1-15. ISSN 2225-1146 (2016) [Refereed Article]

DOI: 10.3390/econometrics4020027 [eCite] [Details]

Co-authors: Dungey M; Yao W

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2015Alexeev V, Dungey M, 'Equity portfolio diversification with high frequency data', Quantitative Finance, 15, (7) pp. 1205-1215. ISSN 1469-7688 (2015) [Refereed Article]

DOI: 10.1080/14697688.2014.973898 [eCite] [Details]

Co-authors: Dungey M

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2014Alexeev V, Tapon F, 'How many stocks are enough for diversifying Canadian institutional portfolios?', Canadian Investment Review pp. 1-12. ISSN 0840-6863 (2014) [Refereed Article]

[eCite] [Details]

2014Alexeev V, Tapon F, 'The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets', The Journal of Investment Strategies, 4, (1) pp. 43-82. ISSN 2047-1238 (2014) [Refereed Article]

[eCite] [Details]

2014Doan MP, Alexeev V, Brooks R, 'Concurrent momentum and contrarian strategies in the Australian stock market', Australian Journal of Management, 41, (1) pp. 77-106. ISSN 0312-8962 (2014) [Refereed Article]

DOI: 10.1177/0312896214534864 [eCite] [Details]

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2013Alexeev V, Tapon F, 'What Australian Investors need to know to diversify their portfolios', JASSA, (4) pp. 14-20. ISSN 0313-5934 (2013) [Refereed Article]

[eCite] [Details]

2012Alexeev V, Maynard A, 'Localized level crossing random walk test robust to the presence of structural breaks', Computational Statistics and Data Analysis, 56, (11) pp. 3322-3344. ISSN 0167-9473 (2012) [Refereed Article]

DOI: 10.1016/j.csda.2010.06.026 [eCite] [Details]

Citations: Scopus - 1Web of Science - 1

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2011Alexeev V, Tapon F, 'Testing weak form efficiency on the Toronto Stock Exchange', Journal of Empirical Finance, 18, (4) pp. 661-691. ISSN 0927-5398 (2011) [Refereed Article]

DOI: 10.1016/j.jempfin.2011.05.002 [eCite] [Details]

Citations: Scopus - 7Web of Science - 10

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Grants & Funding

  • 2014:Accounting and Finance Association of Australia and New Zealand (AFAANZ), $4,050
  • 2012: Accounting and Finance Association of Australia and New Zealand (AFAANZ), $9,500

Funding Summary

Number of grants

7

Total funding

$36,239

Projects

ICFE 2015 : International Conference on Finance and Economics (ICFE) (2015)$2,500
Funding
University of Tasmania ($2,500)
Scheme
Grant-Conference Support Scheme
Administered By
University of Tasmania
Research Team
Alexeev V
Year
2015
Large scale robust portfolio optimisation with high-frequency data (2015)$4,000
Description
This project aims to understand whether the improved efficiency of risk estimators estimated using high frequency data demonstrated in the existing literature translates into improved portfolio outcomes for longer horizon investors.
Funding
Accounting & Finance Association of Australia and New Zealand Ltd ($4,000)
Scheme
Grant
Administered By
University of Tasmania
Research Team
Alexeev V
Year
2015
To Rebalance or Not to Rebalance: Portfolio risk may be larger than you think! (2014)$4,050
Description
The project studies two distinct approaches to portfolio formation. One, favoured by academics for its simplicity, is fixed-weight (FW) approach with regular rebalancing. Another, more practical and often used by practitioners, is buy-and-hold (BnH) approach with no rebalancing. Although the discrepancy in portfolio mean returns resulting from these two approaches have been previously investigated, we found no study analysing the bias in portfolio risk. The project argues that researchers and investors should exercise caution when assuming multiperiod rebalanced portfolio returns, as biases in portfolio variances as well as portfolio mean returns can lead to spurious results when analysing investment strategies, testing asset pricing models or assessing portfolio performance.
Funding
Accounting & Finance Association of Australia and New Zealand Ltd ($4,050)
Scheme
Grant
Administered By
University of Tasmania
Research Team
Alexeev V
Year
2014
Trading with Exchange-Traded Funds - A Low Cost One-Size-Fits-All Alternative? (2013)$10,000
Funding
University of Tasmania ($10,000)
Scheme
Grant-Research Enhancement (REGS)
Administered By
University of Tasmania
Research Team
Alexeev V
Year
2013
Equity portfolio diversification: how many stocks are too many? Evidence from developed markets (2012)$9,500
Funding
Accounting & Finance Association of Australia and New Zealand Ltd ($9,500)
Scheme
Grant
Administered By
University of Tasmania
Research Team
Alexeev V; Dungey MH
Year
2012
Event Study Methods: A Comparison, Applications and Extensions (2011)$5,000
Funding
University of Tasmania ($5,000)
Scheme
Grant-New Appointees Research Grant Scheme (NARGS)
Administered By
University of Tasmania
Research Team
Alexeev V
Year
2011
The Econometric Society Australasian Meeting 2011 4 TO 7 jULY 2011, Australia (June 2011) (2011)$1,189
Funding
University of Tasmania ($1,189)
Scheme
Grant-Conference Support Scheme
Administered By
University of Tasmania
Research Team
Alexeev V
Year
2011

Research Supervision

Vitali welcomes expressions of interest from new MA or PhD students in the areas of Empirical Finance, Portfolio Choice, Asset Pricing, Applied Econometrics, Financial Economics, Financial Econometrics.

Current

1

Current

DegreeTitleCommenced
PhDFinancial Contagion, Volatility Spillover and Regime Switch in the International Money Market Mutual Funds2015