Brian G. Peterson

University of Washington

University of Illinois at Urbana-Champaign - Department of Finance

1206 South Sixth Street

Champaign, IL 61820

United States

SCHOLARLY PAPERS

3

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4,195

SSRN CITATIONS
Rank 33,022

SSRN RANKINGS

Top 33,022

in Total Papers Citations

15

CROSSREF CITATIONS

8

Scholarly Papers (3)

1.

Asset Allocation with Conditional Value-at-Risk Budgets

Journal of Risk 15 (3), Spring 39-68
Number of pages: 36 Posted: 16 Jul 2011 Last Revised: 30 Aug 2013
Kris Boudt, Peter Carl and Brian G. Peterson
Ghent University, William Blair & Co. and University of Washington
Downloads 1,725 (10,715)
Citation 9

Abstract:

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Asset Allocation, CVaR, Risk budgets

2.

Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns

Journal of Risk, Vol. 11, No. 2, pp. 79-103, 2008
Number of pages: 33 Posted: 12 Nov 2007 Last Revised: 04 Mar 2012
Kris Boudt, Brian G. Peterson and Christophe Croux
Ghent University, University of Washington and Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)
Downloads 1,549 (12,676)
Citation 13

Abstract:

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Customer lifetime value, Value, Companies, Order, Model, Product, Expected

3.

Differential Evolution with DEoptim: An Application to Non-Convex Portfolio Optimization

The R Journal, Vol. 3, No. 1, pp. 27-34, 2011
Number of pages: 8 Posted: 05 Apr 2010 Last Revised: 03 Aug 2018
HEC Montreal - Department of Decision Sciences, Ghent University, William Blair & Co., Government of the United States of America - National Institute of Standards and Technology (NIST) and University of Washington
Downloads 921 (27,785)
Citation 1

Abstract:

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Differential optimization, non-convex portfolio optimization, DEoptim, R software