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Pictured: Dr Illia Kovalenko

Dr Illia Kovalenko was awarded a PhD from UCD Michael Smurfit Graduate Business School for his thesis, “Essays on Portfolio Optimization and Estimation Risk,” which offers valuable contributions to the field through its development and assessment of new portfolio management strategies.

The research scholarship is funded through the Valuation and Risk (VAR) programme for PhD students in the area of operational risk and risk management. VAR is a research initiative developed as part of the Financial Mathematics and Computation Cluster (FMC). Industry leaders including Science Foundation Ireland and industry partners AerCap, Avolon, Bank of Ireland, Citibank, Deloitte, The Institute of Banking, KPMG, Safran and SMBC Aviation Capital, work in collaboration with VAR researchers to develop greater knowledge and skills for Asset Valuation, Sustainable Finance, Fintech, Risk Modelling and Risk Management.

Originally from Zaporizhzhia in Ukraine, Dr Kovalenko completed his Bachelor’s Degree in Finance and Credit from Kyiv National Economic University, Ukraine. In 2016, he moved to Ireland as a Masters student in MSc in Quantitative Finance at UCD Smurfit School. As a leader in his programme, Illia was awarded a VAR Research Scholarship and joined VAR as a PhD student in 2017. He also completed the Elective MBA Module Security Analysis and Valuation at Yale School of Management.

Summarizing his research, Dr Kovalenko said, “The quality of one’s retirement depends on the performance of the investment portfolio, also known as their pension fund, which is looked after by a fund manager. This is the case whether the fund manager is looking after State or private pensions.”

“My work examines ways of improving the performance of this portfolio. I examine and compare several approaches for creating the investment portfolio. The findings for the best performing portfolio show an increase in the value of an individual’s pension by 7% per annum. This will allow for increased returns which can help to support a better quality of life in later years.”

Retirement portfolios are relevant for the population as a whole as governments or companies make investments by proxy on behalf of the individual.

Dr. Kovalenko’s thesis focuses on the issue of risk in setting up a retirement fund. The research asks and answers many questions that are pertinent to designing the best investment portfolio, some of which are outside the control of the investor including when markets are doing well and also badly. In recent times, this covers when markets are volatile, such as during Covid-19 times and the war in Ukraine.

Dr Kovalenko was supervised by Professor Tom Conlon and Professor John Cotter who commented, “We were delighted to have had Illia as a PhD student, as well as a Master’s student. He has a very strong quantitative finance background, is a great researcher and is very determined in his research. Dr Kovalenko has shown great focus and dedication to his work which has shone through over the last months since the war began in Ukraine. He has the ‘right stuff’ and is going to do extremely well in the future.”

Illia’s thesis was examined by Professors Richard McGee, Louis Murray and Enrique Salvador, who were very complementary of the quality of his research. 

Apart from being a PhD student, Dr Kovalenko also supported teaching for the UCD Banking and Finance group. He taught on several modules and coordinated the Security Analysis and Valuation module delivered by Yale University in conjunction with the UCD MSc in Quantitative Finance.

“I would like to sincerely thank the funders for having the foresight to invest in future advances to research in this field which will have a positive impact on society. Without their support and belief, this research would not have been possible,” said Dr. Kovalenko.

“Finally, I am most indebted to my parents, who have always stood behind me. Their love and support are the reasons why I am here now. I thank them and dedicate this work to them.”

The VAR research partnership is led by UCD College of Business Professor of Finance John Cotter. It responds to industry needs by bringing universities and industry together to create breakthrough thought leadership in finance. VAR is part of the larger FMC research collaboration led by University College Dublin, in collaboration with Dublin City University and Maynooth University, and is funded by Science Foundation Ireland and 9 industry partners including AerCap,  Avolon, Bank of Ireland, Citibank, Deloitte, The Institute of Banking, KPMG, Safran and SMBC Aviation Capital.