Scott Liu

MSCI Inc.

88 Pine Street

2nd Floor

New York, NY 10005

United States

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

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1.

The Effects of Risk Aversion on Optimization, February 2010

MSCI Barra Research Paper No. 2010-06
Number of pages: 28 Posted: 07 May 2010
Scott Liu and Rong Xu
MSCI Inc. and MSCI Inc.
Downloads 1,004 (31,987)
Citation 2

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risk, aversion, portfolio optimization, parameters, Barra Optimizer risk levels, tools, portfolio managers, investment

2.

Maximizing the Sharpe Ratio, June 2009

MSCI Barra Research Paper No. 2009-22
Number of pages: 14 Posted: 22 Jul 2009
Leonid Kopman and Scott Liu
MSCI Inc. and MSCI Inc.
Downloads 984 (32,926)
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Barra Optimizer, Sharpe Ratio, Information portfolio problems, SR IR optimization

3.

Portfolio Optimization with Trade Paring Constraints

MSCI Barra Research Paper No. 2011-06
Number of pages: 14 Posted: 27 Apr 2011
Xu Rong and Scott Liu
affiliation not provided to SSRN and MSCI Inc.
Downloads 444 (92,380)
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Portfolio Optimization Trade Paring Constraints managers Portfolio Construction Optimization Investment Management Barra Aegis 4.4

4.

Treatment of Fixed Transaction Costs in Barra Optimizer, April 2011

MSCI Barra Research Paper No. 2011-10
Number of pages: 15 Posted: 23 Aug 2011
Leonid Kopman and Scott Liu
MSCI Inc. and MSCI Inc.
Downloads 266 (161,251)
Citation 2

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Treatment of Fixed Transaction Costs in Barra, Optimizer Portfolio Construction and Optimization