Alex Ulitsky

BlackRock

Managing Director

400 Howard St.

San Francisco, CA 94105

United States

SCHOLARLY PAPERS

4

DOWNLOADS

610

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

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 322 (100,466)

Abstract:

Loading...

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 242 (135,817)

Abstract:

Loading...

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

3.

Optimal Portfolio Trading: Adaptive Multi-period Trade Execution

Number of pages: 20 Posted: 09 Apr 2020 Last Revised: 20 Apr 2020
Alex Boulatov and Alex Ulitsky
HSE Moscow and BlackRock
Downloads 46 (429,112)

Abstract:

Loading...

optimal trade execution, adaptive trading

4.

Portfolio Construction and Tail Risk

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

Abstract:

Loading...

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