Dan Stefek

MSCI Inc.

88 Pine Street

2nd Floor

New York, NY 10005

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 23,119

SSRN RANKINGS

Top 23,119

in Total Papers Downloads

3,038

SSRN CITATIONS
Rank 36,718

SSRN RANKINGS

Top 36,718

in Total Papers Citations

14

CROSSREF CITATIONS

7

Scholarly Papers (8)

Portfolio of Risk Premia: A New Approach to Diversification

Number of pages: 11 Posted: 01 Jan 2015
State Street Global Advisors, MSCI Barra, MSCI Inc. and MSCI Inc.
Downloads 982 (31,589)
Citation 3

Abstract:

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Portfolio of Risk Premia: A New Approach to Diversification

MSCI Barra Research Paper No. 2009-01, https://doi.org/10.3905/JPM.2010.36.2.017
Posted: 21 May 2019
Remy Briand, Frank Nielsen and Dan Stefek
MSCI Barra, MSCI Inc. and MSCI Inc.

Abstract:

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Asset Allocation, Diversification, Risk Premia

2.

Refining Portfolio Construction When Alphas and Risk Factors are Misaligned

MSCI Barra Research Paper No. 2009-09
Number of pages: 8 Posted: 26 Mar 2009
State Street Global Advisors, MSCI Inc., MSCI Inc. and MSCI Inc.
Downloads 724 (48,728)
Citation 13

Abstract:

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portfolio construction, alpha risk, factors, construction, misaligned model, residual

3.

Refining Portfolio Construction by Penalizing Residual Alpha - Empirical Examples

MSCI Barra Research Paper No. 2009-19
Number of pages: 8 Posted: 26 Jun 2009
Jennifer Bender, Jyh-Huei Lee and Dan Stefek
State Street Global Advisors, MSCI Inc. and MSCI Inc.
Downloads 405 (100,092)

Abstract:

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misalignment, alpha risk factors, refining portfolio construction, penalizing, residual alpha empirical managers

4.

Manipulating Correlations Through Latent Drivers

MSCI Barra Research Paper No. 2010-20
Number of pages: 13 Posted: 12 Nov 2010
Jennifer Bender, Jyh-Huei Lee and Dan Stefek
State Street Global Advisors, MSCI Inc. and MSCI Inc.
Downloads 282 (148,303)
Citation 1

Abstract:

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Manipulate Correlation Matrices, Stress Testing Portfolio, Construction Latent Drivers, Flexible Framework, Positive Semi-Definiteness Matrix, Unobservable Factors Drivers

5.

Decomposing the Impact of Portfolio Constraints, August 2009

MSCI Barra Research Paper No. 2009-30
Number of pages: 9 Posted: 20 Nov 2009
Jennifer Bender, Jyh-Huei Lee and Dan Stefek
State Street Global Advisors, MSCI Inc. and MSCI Inc.
Downloads 255 (164,121)
Citation 2

Abstract:

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decomposing impact portfolio constraints return risk constrained alphas positions orthogonal measure

6.

Forecast Risk Bias in Optimized Portfolios, October 2009

MSCI Barra Research Paper No. 2009-36
Number of pages: 12 Posted: 21 Nov 2009
State Street Global Advisors, MSCI Inc., MSCI Inc. and MSCI Inc.
Downloads 205 (201,866)
Citation 1

Abstract:

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forecast risk bias optimized portfolios covariance matrix underestimates true risk factor structure returns

7.

Constraining Shortfall, April 2010

MSCI Barra Research Paper No. 2010-15
Number of pages: 14 Posted: 12 May 2010
Jennifer Bender, Jyh-Huei Lee and Dan Stefek
State Street Global Advisors, MSCI Inc. and MSCI Inc.
Downloads 185 (221,314)
Citation 1

Abstract:

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constraining shortfall, mean-variance, optimization, portfolios extreme losses, less exposure risk, portfolio construction shortfall, beta optimal protection

8.

Private and Public Real Estate - What's the Link? (May 2010)

MSCI Barra Research Paper No. 2010-21, https://doi.org/10.3905/jai.2011.14.3.066
Posted: 21 May 2019
Raghu Suryanarayanan and Dan Stefek
MSCI Inc. and MSCI Inc.

Abstract:

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Private Public Real Estate US UK markets link returns appraisal lead-lag relationship between public private returns correlated longer investment horizons risk management strategic asset allocation