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Mitra, Gautam's
Scholarly Papers
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Total
Downloads
1,649 |
Total
Citations
4 |
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1.
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Mitra, Leela R.
CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications Mitra, Gautam
Brunel University - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications Mamon, Rogemar
Department of Statistical & Actuarial Sciences, University of Western Ontario
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320
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Credit risk, Markov model, regime switching, risk measures, Value at Risk (VaR), Conditional Value at Risk (CVaR)
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2.
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Kumar, Ritesh
Indian Institute of Management (IIM), Calcutta Mitra, Gautam
Brunel University - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications Roman, Diana
Brunel University - School of Information Systems, Computing and Mathematics
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318
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investment, portfolio, risk, short-selling
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3.
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Gregory, Christine
CARISMA, Brunel University Darby-Dowman, Kenneth
Brunel University Mitra, Gautam
Brunel University - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
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279
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robust optimization, portfolio selection
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4.
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Mitra, Leela R.
CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications Mitra, Gautam
Brunel University - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications di Bartolomeo, Dan
affiliation not provided to SSRN
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26 Jun 09
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Last Revised:
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05 Feb 10
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268
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5.
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Mitra, Leela R.
CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications Sun, Xiaochen (Michael)
Morgan Stanley Capital International Inc. Roman, Diana
Brunel University - School of Information Systems, Computing and Mathematics Mitra, Gautam
Brunel University - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications Yu, Keming
affiliation not provided to SSRN
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29 Aug 08
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Last Revised:
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16 Jul 09
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248
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Scenario generation, downside risk, investment choice
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6.
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Yu, Keming
affiliation not provided to SSRN Sun, Xiaochen (Michael)
Morgan Stanley Capital International Inc. Mitra, Gautam
Brunel University - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
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152
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Conditional distribution, Conditional quantiles, Copula, High-dimension, Local quadratic regression, nonparametric estimation, Partial derivative, Semiparametric estimation
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7.
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Roman, Diana
Brunel University - School of Information Systems, Computing and Mathematics Mitra, Gautam
Brunel University - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications Zviarovich, Victor
Brunel University
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64
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index tracking, enhanced indexation, stochastic dominance, backtesting
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8.
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Wu, Wei Biao
affiliation not provided to SSRN Yu, Keming
affiliation not provided to SSRN Mitra, Gautam
Brunel University - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
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asymptotic expansion, Bahadur representation, causal process, central limit theorem, kernel estimation, long-range dependence, quantile estimation, short-range dependence, value-at-risk
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Records 1 -
8
of 8 matches
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