Zobrazeno 1 - 10
of 23
pro vyhledávání: '"Alex Ulitsky"'
Autor:
Alex Ulitsky, Vyacheslav Yukhymuk
Publikováno v:
SSRN Electronic Journal.
Active Share is a widely used measure of an active portfolio´s deviation from the benchmark holdings. Initial research by M. Cremers and A. Petajisto [1] indicated that managers with a high Active Share value tend to outperform others. That observat
Autor:
Alex Boulatov, Alex Ulitsky
Publikováno v:
SSRN Electronic Journal.
We propose a new approach to adaptive multi-period trade execution which can be viewed as an extension of Grinold and Kahn (1995) and Almgren and Chriss (1999). Our methodology does not rely on any exogenous switching criteria but instead explicitly
Publikováno v:
The Journal of Portfolio Management. 42:85-102
In the wake of the financial crisis, investors are increasingly concerned with ways to mitigate extreme losses. The authors analyze various approaches to enhancing traditional portfolio construction with tail-risk control. They find investors have be
Autor:
Yelena Zadvornova, Ashwin N. Ananthakrishnan, Mazen Issa, Sue Skaros, Alex Ulitsky, David G. Binion, Amar S. Naik
Publikováno v:
Journal of Parenteral and Enteral Nutrition. 35:308-316
Vitamin D deficiency is common in inflammatory bowel disease (IBD). The aim of the study was to determine the prevalence and predictors of vitamin D deficiency in an IBD cohort. It was hypothesized that vitamin D deficiency is associated with increas
Publikováno v:
Gastrointestinal Endoscopy. 73:823-827
Autor:
Samer Gawrieh, James R. Wallace, Jose Franco, Richard A. Komorowski, Ashwin N. Ananthakrishnan, Sri Naveen Surapaneni, Alex Ulitsky, Kia Saeian
Publikováno v:
Obesity Surgery. 20:685-691
A simple model to predict nonalcoholic steatohepatitis (NASH) in patients with nonalcoholic fatty liver disease is desirable to optimize the selection of patients for liver biopsy. We investigated a large group of morbidly obese patients to derive a
Publikováno v:
International Journal of Financial Engineering and Risk Management. 2:335
Fixed income exchange-traded funds (ETFs) trade on organised exchanges, often with narrow spreads, liquidity and pre- and post-trade transparency. The tremendous success of fixed income ETFs relies critically on the efficient functioning of the ETF c
Publikováno v:
SSRN Electronic Journal.
In the wake of the financial crisis, investors are increasingly concerned with ways to mitigate extreme losses. We analyze various approaches to enhancing traditional portfolio construction with tail-risk control. Interestingly, we find investors hav
Publikováno v:
SSRN Electronic Journal.
Scenario stress testing is a useful and increasingly popular approach to assess portfolio performance under different market conditions. In this paper we focus on how to incorporate stress scenario information directly in portfolio construction as ad
Autor:
David Shalloway, Alex Ulitsky
Publikováno v:
The Journal of Chemical Physics. 109:1670-1686
We develop the macrostate variational method (MVM) for computing reaction rates of diffusive conformational transitions in multidimensional systems by a variational coarse-grained “macrostate” decomposition of the Smoluchowski equation. MVM uses