Gauthier Abrial

Experience

• 

  HEC Montreal / GERAD

  May 2008 - Oct 2008

  Research Assistant

  • Project: Optimizations and risk management of power portfolios (hydroelectricity)• Tasks: Models improvement. Development of mathematical optimization methods. Computer implementation.• Technical skills involved: Hedging strategies with derivatives, CVaR. Problem generation with MatLab and problem optimization with CPLEX in C++

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  Innocap Investment Management

  Jul 2009 - Feb 2013

  Senior Quantitative Analyst, Portfolio Construction / Risk, Analytics & Advisory Team

  Portfolio Construction:• Design of fund of hedge funds portfolios• Research and development of new quantitative approaches for the portfolio management activity• Programming of a back testing platform and of a quantitative analysis toolboxRisk, Analytics & Advisory:• Analysis of the hedge fund managers’ strategies• Analysis of the instruments used to implement the hedge fund strategies (including various exotic and structured products)• Programming of a risk management platform Show less

• 

  Caisse de dépôt et placement du Québec (CDPQ)

  Feb 2013 - now

  • Tactical asset allocation: Use a combination of macroeconomic analysis and asset valuation to identify asymmetric risk-reward investment opportunities across various asset classes.• Strategic asset allocation and total portfolio analysis: Provide analyses at the total portfolio level to enhance the strategic asset allocation decisions. Reallocate between portfolios to maintain the asset manager’s overall target strategic allocation. Cross-asset class, multi-strategy portfolio (global macro, volatility trading, systematic strategies,...)• Design and implement systematic cross-asset class strategies• Perform analysis and develop tools to assist discretionary portfolio managers • Strong focus on the use of options to either express directional views on an underlier or trade volatility

  • Portfolio Manager, Asset Allocation

    Feb 2019 - now

  • Senior Associate, Asset Allocation

    Feb 2015 - Feb 2019

  • Associate, Tactical Overlay Strategies

    Feb 2013 - Feb 2015