Alexander Shkolnik

University of California, Santa Barbara (UCSB)

Assistant Professor

5501 South Hall

Santa Barbara, CA 93106

United States

University of California at Berkeley

CDAR Affiliated Researcher

Berkeley, CA 94720

United States

SCHOLARLY PAPERS

8

DOWNLOADS

1,310

SSRN CITATIONS

1

CROSSREF CITATIONS

10

Scholarly Papers (8)

1.

Numerical Solution of Jump-Diffusion SDEs

Number of pages: 39 Posted: 02 Aug 2013 Last Revised: 20 Mar 2018
Kay Giesecke, Alexander Shkolnik, Alexander Shkolnik, Gerald Teng and Yexiang Wei
Stanford University - Department of Management Science & Engineering, University of California, Santa Barbara (UCSB)University of California at Berkeley, Stanford University - Department of Management Science & Engineering and Stanford University - Department of Management Science & Engineering
Downloads 349 (118,679)
Citation 8

Abstract:

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discretization scheme, jump-diffusion, time-change, weak order of convergence

2.

Identifying Broad and Narrow Financial Risk Factors with Convex Optimization

Number of pages: 27 Posted: 25 Jun 2016 Last Revised: 21 Aug 2016
Alexander Shkolnik, Alexander Shkolnik, Lisa R. Goldberg, Jeffrey Bohn and Jeffrey Bohn
University of California, Santa Barbara (UCSB)University of California at Berkeley, University of California, Berkeley and State Street CorporateUniversity of California, Berkeley - Center for Risk Management Research
Downloads 335 (124,212)
Citation 2

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financial risk factors, broad, narrow, convex optimization, low rank plus sparse decomposition, principal component analysis

3.

The Dispersion Bias

SIAM Journal on FInancial Mathematics, forthcoming
Number of pages: 34 Posted: 17 Nov 2017 Last Revised: 08 Jan 2022
Lisa R. Goldberg, Alex Papanicolaou, Alexander Shkolnik and Alexander Shkolnik
University of California, Berkeley, University of California, Berkeley and University of California, Santa Barbara (UCSB)University of California at Berkeley
Downloads 269 (148,309)

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Markowitz optimization, eigenvector bias, sample covariance, shrinkage, random matrix theory, dispersion, minimum variance portfolio

4.

Optimal Importance Sampling of Default Losses

Number of pages: 41 Posted: 08 Sep 2011 Last Revised: 08 Nov 2014
Kay Giesecke, Alexander Shkolnik and Alexander Shkolnik
Stanford University - Department of Management Science & Engineering and University of California, Santa Barbara (UCSB)University of California at Berkeley
Downloads 176 (231,586)
Citation 2

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5.

Reducing Bias in Event Time Simulations via Measure Changes

Number of pages: 34 Posted: 01 Nov 2016 Last Revised: 17 Jan 2018
Kay Giesecke, Alexander Shkolnik and Alexander Shkolnik
Stanford University - Department of Management Science & Engineering and University of California, Santa Barbara (UCSB)University of California at Berkeley
Downloads 78 (413,133)
Citation 2

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6.

James-Stein estimation of the first principal component

Number of pages: 16 Posted: 07 Sep 2021
Alexander Shkolnik and Alexander Shkolnik
University of California, Santa Barbara (UCSB)University of California at Berkeley
Downloads 60 (473,998)

Abstract:

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Stein’s paradox, James-Stein estimator, sample eigenvectors, PCA.

7.

Unbiased Simulation Estimators for Multivariate Jump-Diffusions

Number of pages: 37 Posted: 03 Nov 2021 Last Revised: 04 Nov 2021
Guanting Chen, Alexander Shkolnik, Alexander Shkolnik and Kay Giesecke
Stanford University - Institute for Computational and Mathematical Engineering, University of California, Santa Barbara (UCSB)University of California at Berkeley and Stanford University - Department of Management Science & Engineering
Downloads 43 (546,523)

Abstract:

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Unbiased estimation, jump-diffusion, Monte-Carlo method

8.

Better Betas

Posted: 05 Dec 2018 Last Revised: 25 Sep 2020
Lisa R. Goldberg, Alex Papanicolaou, Alexander Shkolnik, Alexander Shkolnik and Simge Ulucam
University of California, Berkeley, University of California, Berkeley, University of California, Santa Barbara (UCSB)University of California at Berkeley and Aperio Group

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PCA, Market betas, Dispersion, Factors, Markowitz portfolio, Minimum variance