Mikhail Smirnov

Columbia University

Assistant Professor

New York, NY 10027

United States

SCHOLARLY PAPERS

2

DOWNLOADS

379

CITATIONS

0

Scholarly Papers (2)

1.

Dynamic Leverage as a Generalization of Traditional Value-at-Risk Measures and its Use in Portfolio Construction

Number of pages: 22 Posted: 11 Nov 2012 Last Revised: 18 Nov 2012
Mikhail Smirnov
Columbia University
Downloads 266 (87,448)

Abstract:

risk, leverage, VAR, hedge funds, fund of funds, portfolio insurance

2.

On Some Processes and Distributions in a Collective Model of Investors' Behavior

Number of pages: 15 Posted: 10 Jun 2005
Kyrylo Shmatov and Mikhail Smirnov
Columbia University and Columbia University
Downloads 93 (221,648)

Abstract: