As part of MN’s Academic Excellence Program, Marco Rossi, Class of 2025, completed his graduation research with one of the largest Dutch asset managers. Pursuing his master’s degree at ESILV in Paris, Marco explored concentration risk in equity portfolios and proposed innovative frameworks to support pension fund investment strategies.
This recognition highlights the role of international academic experiences in advancing applied research at the intersection of mathematics, finance, and portfolio management.
An International Academic Journey
Marco was the first participant of MN’s Academic Excellence Program to conduct his research outside the Netherlands. At ESILV in Paris, he pursued his master’s degree while working on a thesis that combined quantitative methods and financial risk management.
His research applied network models to equity portfolios, identifying clusters of interlinked stocks and revealing how these transmit risk across markets.
A Thesis Focused on Concentration Risk
The central objective of Marco’s thesis was to propose a practical framework for assessing diversification and advising on weight limits.
One of his key findings was that traditional risk limits on single positions may underestimate hidden concentrations, especially when portfolios are shaped by ESG exclusions.
By introducing network centrality analysis, Marco demonstrated how asset managers can detect systematic risk clusters and design more robust portfolio weighting strategies.
A Research Internship at MN
During his five-month internship in The Hague, Marco worked with the Equities Management & Research team at MN. His contributions included:
- Designing and implementing quantitative models for systematic risk in ESG-screened indices.
- Applying graph theory and network analysis to detect concentration risks.
- Developing optimization frameworks balancing ESG criteria and risk management.
- Studying trade-offs between risk mitigation and tracking error minimization.
- Collaborating with senior researchers to enhance portfolio construction methodologies.
The Financial Engineering Major at ESILV
Marco’s research was conducted as part of the Financial Engineering major at ESILV. This programme develops the skills required to understand and master the complexity of financial markets.
The curriculum integrates current trends in banking, asset management, and hedge funds, including high-frequency trading, the combined use of machine learning and stochastic mathematics, and advanced risk management in response to evolving financial regulations.
To support these objectives, ESILV provides students with access to a Bloomberg trading room equipped with fifteen Bloomberg terminals, widely used in trading and investment management. Students can enhance their academic and professional profiles by obtaining Bloomberg certification and completing the Bloomberg Aptitude Test, strengthening their employability in the financial sector.
Looking Ahead
Marco will soon begin a PhD in mathematics. His journey reflects the value of combining international academic training with applied research in asset management. MN and ESILV congratulate Marco for his outstanding work and wish him continued success in his academic and professional career.
Learn more about the Financial Engineering Major at ESILV
This post was last modified on 9 September 2025 4:39 pm