Technical paper/Portfolio

• Risk management

A gradual nonconvexification method for minimizing value-at-risk

• 28 Feb 2014

• Original research

Modified expected shortfall: a new robust coherent risk measure

• 30 Sep 2013

• Original research

Asset allocation with conditional value-at-risk budgets

• 27 Mar 2013

• Original research

High-conviction equity portfolio optimization

• 15 Dec 2010

• Original research

Portfolio crash testing: making sense of extreme event exposures

• 27 Sep 2010

• Original research

Optimal portfolio choice using the maximum Sharpe ratio

• 24 Jun 2010

• Original research

Measure of financial risk using conditional extreme value copulas with EVT margins

Research Papers

• 23 Jun 2009

• Original research

Calibrating low-default portfolios, using the cumulative accuracy profile

• 06 Mar 2008

• Original research

Forecasting portfolio risk in normal and stressed markets

• 01 Sep 2001

• Original research

Optimal execution of portfolio transactions

• 01 Jan 2001

• Original research

Evaluating the risk of portfolios with options

• 01 Sep 1999