|Department of Accounting and Finance|
|FEB 01 - Faculty of Economics and Management|
My main research interests are financial optimization, risk management, and behavioural finance (Empirical). My first PhD dissertation in Applied Mathematics was primarily on developing theoretical models for risk management, considering the ambiguity in financial data. My visit to the Department of Accounting and Finance at the University of Cyprus and working with Prof. Stavros A. Zenios opens up my horizon to more practical aspects of such models. In my second PhD dissertation, I empirically study two ambiguity sources in financial data and build a theoretical model to investigate the impact of ambiguity on the international investor’s optimal portfolio choice, explaining several puzzles present in the literature.
See my complete CV
Ph.D. Candidate in Finance / Department of Accounting and Finance, Faculty of Economics and Management University of Cyprus Nicosia, Cyprus From January 2017 to March 2022
Ph.D. in Applied Mathematics / Faculty of Mathematical Sciences University of Guilan, Rasht, Guilan, Iran From September 2012 to December 2016/ Thesis topic: Application of Conic Optimization in Portfolio Optimization, GPA: 18.67/20
M.Sc. in Applied Mathematics / Department of Applied Mathematics, Faculty of Mathematical Sciences Ferdowsi University of Mashhad, Mashhad, Iran From September 2009 to August 2011/ Specialized in optimal control and fuzzy control. GPA: 18.02/20
B.Sc. in Applied Mathematics / Department of Applied Mathematics, Faculty of Mathematical Sciences Ferdowsi University of Mashhad, Mashhad, Iran From September 2005 to August 2009/ Nominated for selective postgraduate position at Ferdowsi University of Mashhad, Iran. GPA: 17.29/20
Teaching Interests and Experience
Investments and Portfolio Management, Options and Futures, Risk Management, Linear and Non-Linear Programming, Robust Optimization.
University Instructor / University of Cyprus Faculty of Economics and Management, University of Cyprus, Nicosia, Cyprus, From January 2019 to May 2021/ Rating by students 4.75/5
-Teaching Investment and Portfolio Management for undergraduate students
University Instructor/University of Guilan Faculty of Engineering, Rasht, Guilan, Iran, From September 2013 to December 2014
-Teaching Differential Equation for undergraduate students
Behavioral Finance (Empirical), Financial Optimization, Robust Optimization and its Application in Finance
Research Publication and Working Paper
Lotfi, A. Milidonis, S. A. Zenios. Neglected Risk: Evidence from the Eurozone Sovereign Credit Market. Submitted, Department of Accounting and Finance, University of Cyprus, Nicosia, Cyprus, 2020 (Job market paper).
Pagliardi, S. Lotfi, E. Paparoditis, S. A. Zenios. Managing the political risk of international portfolios. Draft completed, BI Norwegian Business School, Oslo, Norway, 2021.
Lotfi, S. A. Zenios. Robust MtC model with application to home bias puzzle, Working paper, University of Cyprus, Nicosia, Cyprus, 2021.
Lotfi and S. A. Zenios. Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances. European Journal of Operational Research, 269: 556-576, 2018. (ABS 4 Journal)
Consiglio, S. Lotfi, S. A. Zenios. Portfolio diversification in the sovereign credit swap markets, Annals of Operations Research, 266: 5–33, 2018. (ABS 3 Journal)
Lotfi, S., Salahi, M. and Mehrdoust, F. Adjusted robust mean value-at-risk model: less conservative robust portfolios. Optimization and Engineering, 18: 467–497, 2017. (3 Journal)
Rafiei S, Maghsoodloo S, Saberi M, Lotfi S, Motaghitalab V, Noroozi B, Haghi AK. New horizons in modelling and simulation of electrospun nanofibers: A detailed review. Cellulose Chemistry and Technology, 48: 401-24, 2014. (3 Journal)