Frederick Novomestky ,

  • Retired Industry Professor

Frederick Novomestky

Dr. Frederick Novomestky Retired Industry Professor, Department of Finance and Risk Engineering.  He was the Academic Director of the Financial Engineering Program that became the Department of Finance and Risk Engineering Dr Novomestky was actively involved in the continual development of the Financial Engineering Program at NYU, the first graduate program to be accredited by the International Association of Financial Engineers.

Dr. Novomestky brought over thirty years of experience in securities markets, quantitative/structured asset management, information technology, and client advisory work.  During his professional career, Dr. Novomestky developed state-of-the-art, leading edge products and services applying management science / operations research techniques and resulting in significant fee income and additions to the client base.

Dr. Novomestky worked for Chase Manhattan Bank where he had various managerial roles in strategic product development, product R&D, investment analysis, and operational analysis.  He was director of Quantitative Research in the Indexing and Hedging Group of Chase Investors Management, an institutional asset management firm.  Dr. Novomestky was responsible for the Portfolio Strategy Group of Chase Global Markets that offered innovative swap-based investment programs using the global futures and forward markets.  Prior to this, he was a Member of Technical Staff for Bell Telephone Laboratories (now Lucent Technologies Labs).

Dr. Novomestky has a BS in Electrical Engineering (University of Puerto Rico, Mayagüez), a MS in Electrical Engineering (Polytechnic University), and a Ph.D. in Economic Systems (Polytechnic University).

Dr. Novomestky has written several papers on the theoretical and practical assets of risk management and investment management published in the SIAM Review, Management Science and the Journal of Portfolio Management.  He co-authored, with Agustin Sevilla, a chapter entitled "Global Bond Indexation: Concepts, Approaches, and Challenges" in the book Fixed Income Portfolio Strategies, F.J. Fabozzi, ed., Probus Publishing, Chicago, IL, 1989.  

He has been a frequent speaker at seminars and conferences on financial management and analysis.  He was a guest speaker at the 1992 Asia-Pacific Conference on Investing in Hong Kong and Sydney, Australia.  He gave a presentation on least absolute deviation estimation as a linear lexicographical goal programming problem at the 2008 conference on computational financial econometrics held at the University of Neuchatel in Switzerland.

He was President of Novomestky Associates, a New York-based financial consulting firm, Dr. Novomestky had assignments with money-center banks, institutional investors, and investment advisory firms on asset/liability planning, strategic asset allocation, risk management, investment analysis, and portfolio strategies.

Dr. Novomestky’s research includes stochastic simulation, modeling, and optimization, non-parametric statistical estimation, multiple objective optimization, data envelopment analysis symbolic data analysis, rule-based machine learning models investment strategy, and hedge fund performance analysis.

In addition, Dr. Novomestky has been an active contributor of packages for R, a free software environment for statistical computing and graphics.  The packages involve mathematical optimization, numerical analysis, probability, statistics, and simulation.