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Mohsen Mazaheri

Independent

SCHOLARLY PAPERS

18

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Rank 18,530

SSRN RANKINGS

Top 18,530

in Total Papers Downloads

6,591

TOTAL CITATIONS
Rank 48,564

SSRN RANKINGS

Top 48,564

in Total Papers Citations

24

Scholarly Papers (18)

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1.

Hedge Fund Risk Management: An Overview

Number of pages: 13 Posted: 15 Sep 2008 Last Revised: 22 Jun 2016
Mohsen Mazaheri
Independent
Downloads 1,580 (29,026)
Citation 5

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Hedge Fund, Risk Management, Process and Function

2.

Risk Budgeting Using Expected Shortfall (CVaR)

Number of pages: 9 Posted: 24 Jun 2008 Last Revised: 26 Aug 2015
Mohsen Mazaheri
Independent
Downloads 1,278 (39,784)
Citation 5

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CVaR, Risk Budgeting, Expected Shortfall, ETL, Fat Tails

3.

Budgeting of VaR Limits to Businesses or Trading Desks

Number of pages: 3 Posted: 03 Sep 2010 Last Revised: 26 Aug 2015
Mohsen Mazaheri
Independent
Downloads 634 (104,153)

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VaR Limits, VaR, Risk Budgeting

4.

Strategic Hedge Fund of Fund Portfolio Construction

Number of pages: 18 Posted: 15 Sep 2008
Mohsen Mazaheri
Independent
Downloads 455 (157,424)
Citation 1

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Hedge Fund, Fund of Fund, Risk Budgeting, Strategic Allocation, Regime Switching

5.

Portfolio Construction Using Risk Parity

Number of pages: 8 Posted: 28 Aug 2015
Mohsen Mazaheri
Independent
Downloads 369 (200,763)
Citation 1

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Risk Budgeting, Risk Parity

6.

Fundamental Equity Long Short Hedge Funds and Understanding Performance

Number of pages: 11 Posted: 07 Feb 2020
Mohsen Mazaheri
Independent
Downloads 301 (251,365)

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hedge funds, equity long/short, risk management, portfolio management

7.

Derivative Strategies in Risk Arbitrage

Number of pages: 4 Posted: 19 Jun 2011 Last Revised: 26 Apr 2018
Mohsen Mazaheri
Independent
Downloads 280 (271,230)
Citation 1

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8.

Hedge Fund Investing: Identification of Potential 'Blow-Up' Managers

Number of pages: 12 Posted: 01 Oct 2008 Last Revised: 01 Jul 2010
Mohsen Mazaheri
Independent
Downloads 264 (288,370)
Citation 3

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Hedge Fund, Drawdown, Due Dilegence, Investing

9.

Allocation of Portfolio Overlay Hedges to Business Units

Number of pages: 4 Posted: 29 Sep 2008 Last Revised: 23 Oct 2008
Mohsen Mazaheri
Independent
Downloads 226 (337,699)
Citation 2

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Risk Budgeting, hedging, VaR, CVaR

10.

Systematic Hedge Fund Risk Management: An Overview

Number of pages: 9 Posted: 07 Aug 2019 Last Revised: 17 Aug 2019
Mohsen Mazaheri
Independent
Downloads 224 (340,701)
Citation 2

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hedge fund, systematic strategies, risk management

11.

Hedging of Tails of Diversified Portfolios: A Scenario Based Approach

Number of pages: 5 Posted: 08 Nov 2013
Mohsen Mazaheri
Independent
Downloads 200 (382,358)

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tail risk, hedging, scenario analysis

12.

Private Equity Fund Risk Management: An Overview

Number of pages: 5 Posted: 20 Aug 2019 Last Revised: 06 Sep 2019
Mohsen Mazaheri
Independent
Downloads 185 (409,459)
Citation 1

Abstract:

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private equity, risk management

13.

Global Convexity and Investing

Number of pages: 4 Posted: 09 Mar 2017 Last Revised: 26 Jun 2017
Mohsen Mazaheri
Independent
Downloads 159 (469,621)
Citation 1

Abstract:

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risk management, hedge funds, investing, portfolio construction

14.

Analysis of Carry Trades

Number of pages: 9 Posted: 14 May 2018
Mohsen Mazaheri
Independent
Downloads 108 (649,907)

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hedge funds, carry, hedge fund risk analysis, portfolio construction

15.

Value Added Risk Management

Number of pages: 6 Posted: 11 Dec 2019
Mohsen Mazaheri
Independent
Downloads 103 (674,591)

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risk management, hedge funds, investment banks

16.

Investment Bank Capital Allocation Process

Number of pages: 6 Posted: 17 Jun 2019
Mohsen Mazaheri
Independent
Downloads 80 (803,225)
Citation 1

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investment bank, hedge fund, capital allocation

17.

Constructing Strangles Using Linear Tradeable Factors with Applications to Stress Markets

Number of pages: 5 Posted: 17 Apr 2020
Mohsen Mazaheri
Independent
Downloads 74 (844,901)

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hedge funds, portfolio construction, convexity, synthetic options, convexity

18.

Hedge Fund Investment Management

Number of pages: 10 Posted: 02 Nov 2018
Mohsen Mazaheri
Independent
Downloads 71 (867,774)
Citation 1

Abstract:

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hedge fund, risk management, portfolio, construction investment