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Alexey Rubtsov

Ryerson University

350 Victoria Street

Toronto, Ontario M5B 2K3

Canada

  • Ryerson University

SCHOLARLY PAPERS

7

DOWNLOADS

1,851

TOTAL CITATIONS

18

Scholarly Papers (7)

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1.

Strategic Asset Allocation With Climate Change

Number of pages: 63 Posted: 07 Oct 2018 Last Revised: 03 Apr 2019
Sally Shen, Alex LaPlante and Alexey Rubtsov
Netspar, Global Risk Institute and Ryerson University
Downloads 834 (73,053)
Citation 6

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Strategic Asset Allocation, Asset-Liability Management, Climate Change, Temperature Beta

2.

Robust Portfolio Choice with Derivatives Trading Under Stochastic Volatility

Number of pages: 36 Posted: 09 Dec 2014
Marcos Escobar, Sebastian Ferrando and Alexey Rubtsov
Ryerson University, Ryerson University and Ryerson University
Downloads 240 (320,573)
Citation 10

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Robust portfolio choice, Ambiguity, Stochastic volatility, Welfare loss

3.

Optimal Investment Under Multi-Factor Stochastic Volatility

Number of pages: 48 Posted: 29 Oct 2015
Marcos Escobar, Sebastian Ferrando and Alexey Rubtsov
Ryerson University, Ryerson University and Ryerson University
Downloads 235 (324,656)

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Multivariate portfolio choice, Stochastic covariance, Welfare loss

4.

Portfolio Choice with Stochastic Interest Rates and Learning About Stock Return Predictability

Number of pages: 35 Posted: 19 Nov 2014
Marcos Escobar, Sebastian Ferrando and Alexey Rubtsov
Ryerson University, Ryerson University and Ryerson University
Downloads 234 (330,287)

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Portfolio choice, Return predictability, Learning, Welfare loss

5.

International Portfolio Choice Under Multi-Factor Stochastic Volatility

Number of pages: 44 Posted: 01 Jan 2016
Marcos Escobar, Sebastian Ferrando and Alexey Rubtsov
Ryerson University, Ryerson University and Ryerson University
Downloads 165 (461,984)
Citation 2

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International portfolio choice, Forex modelling, Stochastic covariance, Welfare loss analysis

6.

Trajectorial Asset Models with Operational Assumptions

Number of pages: 48 Posted: 04 Jul 2019
Sebastian Ferrando, Andrew Fleck, Alfredo Gonzalez and Alexey Rubtsov
Ryerson University, Department of Mathematics and Statistics, York University, affiliation not provided to SSRN and Ryerson University
Downloads 77 (823,616)

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Trajectory Based Asset Models, Superhedging, Option Pricing, Operational Models, Worst Case Estimates, Agent Based Models.

7.

Portfolio Choice in the Presence of Transition and Physical Risks with Climate Uncertainty

Number of pages: 40 Posted: 13 Oct 2025
Luka Milic, Alexey Rubtsov and Wei Xu
Toronto Metropolitan University (formerly Ryerson University), Ryerson University and Toronto Metropolitan University
Downloads 66 (942,565)

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Portfolio choice, transition risk, physical risk, climate (model) uncertainty