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Centre of expertise CIBIF

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My internship at PGGM in Zeist: a testimonial by Cody van Wegen

Date:11 January 2019

In the academic year 2017-2018, I followed the master of Econometrics and Operations Research. After a prosperous first semester, the moment arrived to start with my master thesis. I found this quite exciting because, unlike a bachelor's thesis, your "hand is not held" every step of the way. It is therefore up to you to find a suitable subject that adds value to the literature.

Luckily I ended up at Expertise Center CIBIF. To be precise, I engaged in a conversation with Lammertjan Dam. He highlighted that an internship position was available at PGGM for which I was potentially a suitable candidate. Following up on this, I visited PGGM together with Auke Plantinga. After a nice and interesting conversation it was decided that I would do an internship at PGGM and we discussed potential research topics.

During my internship, I dived into risk-minimizing portfolios. Historically, these portfolios appear to be able to generate higher returns with less risk. This finding is in conflict with the usual notion in finance theory that a higher return should go hand in hand with more risk. I invite the interested reader to read my thesis entitled "Out-of-Sample Testing of Risk-Minimizing Portfolios Using a Variety of Shrinkage Methods."

I have had a very challenging and educational period during my internship. As a cherry on top, my thesis was also rewarded with a 9, leading to the distinction "cum laude" for my diploma of the MSc EORAS. 

Cody Wegen