Mahendrarajah Nimalendran
Professor/Chair
- Gainesville FL UNITED STATES
- Warrington College of Business
Mahendrarajah "Nimal" Nimalendran is an expert in information economics, asset pricing models, empirical methods in finance and investments.
Contact More Open optionsBiography
Mahendrarajah "Nimal" Nimalendran is the John H. and Mary Lou Dasburg Chair and professor of finance in the Warrington College of Business. His recent research has focused on funding and liquidity risks in hedge funds and contagion among hedge funds. While a visiting academic fellow at the U.S. Securities and Exchange Commission, Nimal worked on projects involving market regulation, market structures and execution quality, valuation of employee stock options and issues related to disclosure of information.
Areas of Expertise
Articles
CVaR-LASSO Enhanced Index Replication (CLEIR): outperforming by minimizing downside risk
Applied EconomicsBrian Gendreau, et al.
2019-05-20
Index-funds are one of the most popular investment vehicles among investors, with total assets indexed to the S&P500 exceeding $8.7 trillion at-the-end of 2016. Recently, enhanced-index-funds, which seek to outperform an index while maintaining a similar risk-profile, have grown in popularity. We propose an enhanced-index-tracking method that uses the linear absolute shrinkage selection operator (LASSO) method to minimize the Conditional Value-at-Risk (CVaR) of the tracking error.
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