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Alexander S. Cherny

Moscow State University

Associate Professor

Faculty of Mechanics and Mathematics

Department of Probability Theory

Moscow, 119992

Russia

http://mech.math.msu.su/~cherny

  • Moscow State University

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    • Tel: 007 095 939 14 03
    • Fax: 007 095 939 14 03
SCHOLARLY PAPERS

11

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CITATIONS
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62

Scholarly Papers (11)

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1.

New Measures for Performance Evaluation

Downloads 1,147 ( 15,513)
Citation 31

New Measures for Performance Evaluation

Number of pages: 41 Posted: 08 Jan 2007 Last Revised: 28 Apr 2008
Alexander S. Cherny and Dilip B. Madan
Moscow State University and University of Maryland - Robert H. Smith School of Business
Downloads 1,147 (15,200)
Citation 31

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New Measures for Performance Evaluation

The Review of Financial Studies, Vol. 22, Issue 7, pp. 2371-2406, 2009
Posted: 22 Jun 2009
Alexander S. Cherny and Dilip B. Madan
Moscow State University and University of Maryland - Robert H. Smith School of Business

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G10, G13, G14

2.

Coherent Measurement of Factor Risks

Number of pages: 53 Posted: 30 May 2006
Alexander S. Cherny and Dilip B. Madan
Moscow State University and University of Maryland - Robert H. Smith School of Business
Downloads 795 (25,457)
Citation 6

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Alpha VAR, Beta VAR, capital allocation, coherent risk measure, extreme measure, factor risk, risk contribution, risk trading, tail correlation, Tail VAR, Weighted VAR

3.

On Measuring Hedge Fund Risk

Number of pages: 12 Posted: 28 Mar 2008 Last Revised: 16 Apr 2008
Alexander S. Cherny, Raphael Douady and Stanislav A. Molchanov
Moscow State University, Riskdata and University of North Carolina (UNC) at Charlotte
Downloads 731 (27,618)
Citation 1

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Gussian copula, hedge fund replication, hedge fund risk

4.

Divergence Utilities

Number of pages: 26 Posted: 22 Oct 2007
Alexander S. Cherny and Michael Kupper
Moscow State University and Vienna Institute of Finance
Downloads 644 (31,847)
Citation 3

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Divergence utilities, concave monetary utilities, entropic utility, portfolio optimization, risk sharing

5.

Pricing and Hedging in Incomplete Markets with Coherent Risk

Number of pages: 21 Posted: 30 May 2006
Alexander S. Cherny and Dilip B. Madan
Moscow State University and University of Maryland - Robert H. Smith School of Business
Downloads 524 (44,117)

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CDO, coherent risk measure, extreme measure, incomplete markets, factor risk, No Strictly Acceptable Opportunities, risk contribution, sensitivity coefficients, valuation measure, Weighted VaR

6.

Illiquid Markets as a Counterparty: An Introduction to Conic Finance

Robert H. Smith School Research Paper No. RHS 06-115
Number of pages: 39 Posted: 28 Jan 2010 Last Revised: 11 May 2010
Dilip B. Madan and Alexander S. Cherny
University of Maryland - Robert H. Smith School of Business and Moscow State University
Downloads 488 (44,427)
Citation 12

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7.

On Measuring Nonlinear Risk with Scarce Observations

Number of pages: 19 Posted: 31 Mar 2008 Last Revised: 22 Jun 2016
Alexander S. Cherny, Raphael Douady and Stanislav A. Molchanov
Moscow State University, Riskdata and University of North Carolina (UNC) at Charlotte
Downloads 466 (48,206)
Citation 2

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Cross-term risk, factor risk, Gaussian copula, hedge fund replication, hedge fund risk, idiosyncratic risk, monomial risk, non-linear regression, risk measurement

8.

CAPM, Rewards, and Empirical Asset Pricing with Coherent Risk

Number of pages: 20 Posted: 30 May 2006
Alexander S. Cherny and Dilip B. Madan
Moscow State University and University of Maryland - Robert H. Smith School of Business
Downloads 418 (60,348)
Citation 1

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CAPM, coherent risk measure, contact measure, empirical asset pricing, extreme measure, No Better Choice pricing, real-world measure, reward, risk-neutral measure, security market line, sensitivity

9.

On Two Approaches to Coherent Risk Contribution

Mathematical Finance, Vol. 21, Issue 3, pp. 557-571, 2011
Number of pages: 15 Posted: 20 May 2011
Alexander S. Cherny and Dmitri Orlov
Moscow State University and affiliation not provided to SSRN
Downloads 2 (572,069)
Citation 1
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conditional V@R, coherent risk measure, directional risk contribution, linear risk contribution, minimal extreme measure, MINV@R, Weighted V@R

10.

Capital Allocation and Risk Contribution with Discrete-Time Coherent Risk

Mathematical Finance, Vol. 19, Issue 1, pp. 13-40, January 2009
Number of pages: 28 Posted: 17 Jan 2009
Alexander S. Cherny
Moscow State University
Downloads 2 (564,545)
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11.

Risk-Reward Optimization with Discrete-Time Coherent Risk

Mathematical Finance, Vol. 20, Issue 4, pp. 571-595, October 2010
Number of pages: 25 Posted: 27 Sep 2010
Alexander S. Cherny
Moscow State University
Downloads 1 (582,216)
Citation 2
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