Vladislav Dubikovsky

MSCI Barra

Associate

88 Pine Street

2nd Floor

New York, NY 10005

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 19,429

SSRN RANKINGS

Top 19,429

in Total Papers Downloads

3,350

SSRN CITATIONS

0

CROSSREF CITATIONS

7

Scholarly Papers (5)

1.

Demystifying Rebalancing Premium and Extending Portfolio Theory in the Process

Number of pages: 27 Posted: 07 Mar 2017
Vladislav Dubikovsky and Gabriele Susinno
MSCI Barra and Pictet Asset Management SA
Downloads 1,552 (15,003)
Citation 1

Abstract:

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Rebalancing Premium, MPT, Maximum growth, Samuelson, Markowitz, Wealth, Path dependence, Minimum Volatility, Defensive

2.

Modeling Value at Risk with Factors

MSCI Barra Research Paper No. 2009-39
Number of pages: 36 Posted: 22 Nov 2009
MSCI Inc., affiliation not provided to SSRN, MSCI Barra, MSCI Inc., MSCI Inc., MSCI Barra and University of California, Berkeley
Downloads 984 (29,568)
Citation 2

Abstract:

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modeling value, risk factors, investment, management, forecasts, portfolio, construction, shorter, longer, horizons, value-at-risk, VaR

3.

Demystifying Rebalancing Premium: A Methodological Path to Risk Premia Engineering

Number of pages: 29 Posted: 25 Jul 2015
Vladislav Dubikovsky and Gabriele Susinno
MSCI Barra and Pictet Asset Management SA
Downloads 301 (129,556)

Abstract:

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Volatility, Rebalancing Premium, Optimal Growth Portfolios, Rebalancing Bonus, Low Beta Anomaly, Alternative Beta, Risk Premia, Factor Investing

4.

Central Limits and Financial Risk

MSCI Barra Research Paper No. 2009-13
Number of pages: 14 Posted: 14 May 2009
MSCI Inc., MSCI Barra, MSCI Inc., University of California, Berkeley and MSCI Inc.
Downloads 260 (150,705)
Citation 2

Abstract:

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Systematic model global recession quantitative finance random variables central limit theorem normal distribution financial risk

5.

Evaluating Risk Forecasts with Central Limits

Number of pages: 20 Posted: 29 Mar 2008 Last Revised: 11 Nov 2008
MSCI Inc., MSCI Barra, MSCI Inc., University of California, Berkeley and MSCI Inc.
Downloads 253 (154,867)
Citation 3

Abstract:

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hyptothesis test, value at risk, expected shortfall