Alex Ulitsky

BlackRock

Managing Director

400 Howard St.

San Francisco, CA 94105

United States

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 28,178

SSRN RANKINGS

Top 28,178

in Total Papers Downloads

1,496

CITATIONS

0

Scholarly Papers (3)

1.

Portfolio Construction and Tail Risk

Number of pages: 27 Posted: 25 Jan 2015 Last Revised: 17 Mar 2015
BlackRock, BlackRock, Inc., United Nations and BlackRock
Downloads 994 (20,001)

Abstract:

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

2.

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 293 (96,060)

Abstract:

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Portfolio optimization, stress testing, robust optimization, portfolio construction

3.

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 209 (135,487)

Abstract:

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