Stefan Hubrich

T.Rowe Price

100 East Pratt Street

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 12,487

SSRN RANKINGS

Top 12,487

in Total Papers Downloads

5,713

SSRN CITATIONS

3

CROSSREF CITATIONS

9

Scholarly Papers (8)

1.

'Know When to Hodl 'Em, Know When to Fodl 'Em': An Investigation of Factor Based Investing in the Cryptocurrency Space

Number of pages: 54 Posted: 19 Oct 2017 Last Revised: 11 Jan 2018
Stefan Hubrich
T.Rowe Price
Downloads 2,538 (7,844)
Citation 7

Abstract:

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bitcoin, blockchain, cryptocurrency, factor, momentum, carry, value, investing, portfolio

2.

Tail Risk Mitigation with Managed Volatility Strategies

Dreyer, Anna and Hubrich, Stefan, Tail Risk Mitigation with Managed Volatility Strategies (April 16, 2019). Journal of Investment Strategies 8(1), 29-56.
Number of pages: 28 Posted: 22 Nov 2017 Last Revised: 13 Jun 2019
Anna Dreyer and Stefan Hubrich
T. Rowe Price and T.Rowe Price
Downloads 1,528 (17,569)
Citation 2

Abstract:

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Volatility Management, Volatility, Risk Management, Tail Risk Mitigation, Utility

3.

An Alpha Unleashed: Optimal Derivative Portfolios for Portable Alpha Strategies

Number of pages: 59 Posted: 19 Sep 2007 Last Revised: 29 Sep 2009
Stefan Hubrich
T.Rowe Price
Downloads 1,368 (20,735)
Citation 1

Abstract:

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portable alpha, derivatives, asset allocation, hedging, alpha, beta, risk management

4.
Downloads 223 (194,466)
Citation 4

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5.

A Simple Test of the Effect of Interest Rate Defense

NBER Working Paper No. w12616
Number of pages: 34 Posted: 27 Oct 2006 Last Revised: 23 Jun 2022
Allan Drazen and Stefan Hubrich
University of Maryland - Department of Economics and T.Rowe Price
Downloads 41 (577,162)

Abstract:

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6.

Mixed Signals in Defending the Exchange Rate: What Do the Data Say?

Number of pages: 37 Posted: 31 Oct 2003
Allan Drazen and Stefan Hubrich
University of Maryland - Department of Economics and T.Rowe Price
Downloads 15 (758,057)
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Abstract:

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Currency crises, interest rate defense, speculative attacks, signalling

7.

Tail Risk Hedging in a Low-Rate Environment

The Journal of Derivatives Derivatives in Asset Management 2022, jod.2022.1.150; DOI: https://doi.org/10.3905/jod.2022.1.150
Posted: 13 Apr 2022
Stefan Hubrich and SĂ©bastien Page
T.Rowe Price and affiliation not provided to SSRN

Abstract:

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Hedging, Options, Interest Rates

8.

Allocating to Liquid Alternative Strategies for Mean–Variance Diversification

The Journal of Alternative Investments Mar 2021, jai.2021.1.129; DOI: 10.3905/jai.2021.1.129
Posted: 18 Nov 2021
Stefan Hubrich
T.Rowe Price

Abstract:

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Asset Allocation, Alternatives, Hedge Funds. Liquid Alternatives, Mean-Variance Optimization, Efficient Frontier, Sharpe Ratio, Expected Return