Mikhail Munenzon

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SCHOLARLY PAPERS

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Scholarly Papers (5)

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1.

20 Years of VIX: Fear, Greed and Implications for Traditional Asset Classes

Number of pages: 18 Posted: 02 Apr 2010 Last Revised: 11 May 2010
Mikhail Munenzon
affiliation not provided to SSRN
Downloads 1,879 (11,352)
Citation 5

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VIX, Volatility, Portfolio Management, Risk Management, Asset Allocation, Investment Management, Investment Strategy

2.

Risk Measurement from Theory to Practice: Is Your Risk Metric Coherent and Empirically Justified?

Number of pages: 22 Posted: 13 May 2010
Mikhail Munenzon
affiliation not provided to SSRN
Downloads 1,413 (17,721)
Citation 1

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Risk Measurement, Risk Management, Investment Analysis, Investment Strategy, Asset Allocation, Portfolio Management, Portfolio Optimization

3.

20 Years of VIX: Fear, Greed and Implications for Alternative Investment Strategies

Number of pages: 25 Posted: 02 May 2010 Last Revised: 07 Jun 2010
Mikhail Munenzon
affiliation not provided to SSRN
Downloads 1,275 (20,662)
Citation 2

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VIX, Volatility, Portfolio Management, Risk Management, Investment Management, Investment Strategy, Asset Allocation

4.

Portfolio Management and the European Crisis

Number of pages: 14 Posted: 09 Nov 2011 Last Revised: 29 Nov 2011
Mikhail Munenzon
affiliation not provided to SSRN
Downloads 504 (73,156)

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portfolio management, investment management, risk management, tail risk, liquidity, leverage

5.

Evaluation of Systematic Trading Programs

https://doi.org/10.3905/jot.2014.10.1.037
Posted: 21 May 2019
Mikhail Munenzon
affiliation not provided to SSRN

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risk management, systematic trading, statistics, data snooping, backtesting, complexity