Skip to ContentSkip to Navigation
Expertisecentrum CIBIFOnderdeel van Rijksuniversiteit Groningen

Expertisecentrum CIBIF

Faculteit Economie en Bedrijfskunde
Centre of Expertise CIBIFBlog
Header image Centre of Expertise CIBIF

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

Date:11 January 2019
PGGM
PGGM

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