Kenneth A. Blay

About Kenneth A. Blay

Kenneth Blay is Head of Strategic Research at Invesco. In this role, he leads the development of original research through collaborations with investment teams, industry researchers, and institutional clients. Kenneth has collaborated extensively with Harry Markowitz, Nobel Prize laureate, on developing and advancing various asset allocation methods, including the optimization of the net present value of future cashflows, tax-cognizant portfolio analysis, and simulation-based multi-period portfolio selection. He has focused his research efforts on practical asset management, including tax-efficient investing, retirement/liability planning, and systematic and factor investing. His research has been published in various leading industry journals and books, including Risk-Return Analysis: The Theory and Practice of Rational Investing (Volume 1), co-authored with Markowitz. He serves on the advisory boards of the Journal of Portfolio Management and the Journal of Investing, the advisory council of the Journal of Investment Management conference series, and on various committees for the Q Group (the Institute for Quantitative Research in Finance). Kenneth earned a BBA degree in finance from the University of Texas. He is also a Fellow of the Judge Business School at the University of Cambridge for Finance and the Centre for Endowment Asset Management (CEAM).Career highlights include: The co-authorship of a book with Dr. Harry Markowitz titled “Risk-Return Analysis: The Theory and Practice of Rational Investing – Volume 1.” The development, with Dr. Markowitz, of Tax-Cognizant Portfolio Analysis (TCPA), an optimization methodology that uses simulation-based after-tax NPV estimates to maximize after-tax wealth outcomes. The development, with Invesco\'s Solutions Research & Analytics team and Dr. Markowitz, of Simulation-Based Portfolio Selection (SBPS), a multi-period portfolio selection framework that considers effective duration management, real-world asset dynamics, and investment frictions and illiquidities. Direct responsibility for the development and management of a discretionary portfolio program. Grew assets under management from $0 in 2004 to $2.5+ billion over approximately 10 years. The establishment of 1st Global’s Investment Management Research Group. Leading asset allocation research and investment policy for a $7.5+ billion portfolio advisory platform. Establishing research function within the Global Thought Leadership effort at Invesco

Experience

1. Fellow

   Cambridge Judge Business School

   Mar 2024 — Present · Cambridge, GB

Education

• The University of Texas at San Antonio

  Bachelor of Business Administration, Finance & Russian

  1989 — 1995

Skills

• Institutional Investments
• Etfs
• Asset Management
• Financial Planning
• Financial Modeling
• Equities
• Financial Services
• Asset Allocation
• Mutual Funds
• Financial Advisory
• Risk Management
• Uniform Combined State Law
• Financial Markets
• Wealth Management Services
• Valuation
• Series 63
• 401k
• Capital Markets
• Series 7
• Retirement Planning
• Finra
• Retirement
• Strategic Financial Planning
• Modern Portfolio Theory
• Investment Management
• Tax-Cognizant Asset Allocation
• Series 24
• Bloomberg
• Derivatives
• Financial Analysis
• Equity Research
• Due Diligence
• Hedge Funds
• Securities
• Fixed Income
• Portfolio Optimization
• Investments
• Investment Strategies
• Alternative Investments
• Separately Managed Accounts