Alex Ulitsky

BlackRock

Managing Director

400 Howard St.

San Francisco, CA 94105

United States

SCHOLARLY PAPERS

3

DOWNLOADS

523

CITATIONS

0

Scholarly Papers (3)

1.

Stress Hedging in Portfolio Construction

Number of pages: 13 Posted: 12 Nov 2015 Last Revised: 10 Sep 2016
Mehmet Bilgili, Maurizio Ferconi and Alex Ulitsky
BlackRock, BlackRock and BlackRock
Downloads 306 (96,486)

Abstract:

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Portfolio optimization, stress testing, robust optimization, portfolio construction

2.

Dynamic, Correlated Active Management: A Closed Form Solution

Number of pages: 26 Posted: 16 Nov 2011 Last Revised: 31 Jan 2012
Leigh Sneddon PhD CFA and Alex Ulitsky
Mayfield Investment Solutions, Inc. and BlackRock
Downloads 217 (137,518)

Abstract:

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Active management, portfolio construction, performance, dynamic, return, exposure, correlation, multiperiod, Fundamental Law

3.

Portfolio Construction and Tail Risk

Posted: 25 Jan 2015 Last Revised: 20 May 2019
BlackRock, BlackRock, Inc., United Nations and BlackRock

Abstract:

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tail risk, portfolio construction, mean-variance optimization, conditional value at risk