Search Results - person:"Zrazhevsky, Grigory"

Comparative Analysis of Linear Portfolio Rebalancing Strategies : An Application to Hedge Funds

Krokhmal, Pavlo A. - 2002

This paper applies formal risk management methodologies to optimization of a portfolio of hedge funds (fund of funds). We compare recently developed risk management methodologies: Conditional Value-at-Risk and Conditional Drawdown-at-Risk with more established Mean-Absolute Deviation, Maximum...

Persistent link: https://www.econbiz.de/10012741595

Classification using optimization : application to credit ratings of bonds

Bugera, Vladimir; Uryasev, Stan; Zrazhevsky, Grigory - In: Computational methods in financial engineering : essays …, (pp. 211-237). 2008

Persistent link: https://www.econbiz.de/10003669645

Financial prediction with constrained tail risk

Trindade, A. Alexandre; Uryasev, Stan; Shapiro, Alexander; … - In: Journal of banking & finance 31 (2007) 11, pp. 3524-3538

Persistent link: https://www.econbiz.de/10003577519

Financial prediction with constrained tail risk

Trindade, A. Alexandre; Uryasev, Stan; Shapiro, Alexander; … - In: Journal of Banking & Finance 31 (2007) 11, pp. 3524-3538

Persistent link: https://www.econbiz.de/10005213750

Financial prediction with constrained tail risk

Trindade, A.Alexandre; Uryasev, Stan; Shapiro, Alexander; … - In: Journal of banking & finance 31 (2007) 11, pp. 3524

Persistent link: https://www.econbiz.de/10007869914