Research 
(New!) Estimation and StressTesting via Time and MarketConditional Flexible Probabilities Working Paper 



Oct13 
Oct13 
Research 
(New!) Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes Working Paper 



Nov13 
Nov13 
Review 
"The Prayer"  TenStep Checklist for Advanced Risk and Portfolio Management Garp Risk Professional 



Apr11 
Mar11 
Research 
The BlackLitterman Approach: Original Model and Extensions Shorter version in, The Encyclopedia of Quantitative Finance, Wiley, 2010 



Apr08 
Oct10 
Research 
Fully Flexible Views: Theory and Practice Risk, 21, 10, 97102 (2008) 



Aug08 
Aug08 
Research 
(New!) Dynamic Portfolio Management with Views at Multiple Horizons Working Paper 



Jan15 
Jan15 
Research 
(New!) Portfolio Construction and Systematic Trading with Factor Entropy Pooling Working Paper 



Jan11 
Jan11 
Research 
Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders Risk, Vol. 23, No.7, p. 8489 



Mar10 
Oct10 
Research 
(New!) Parametric StressTesting in NonNormal Markets via CopulaMarginal Entropy Pooling Working Paper 



Mar14 
Mar14 
Research 
Managing Diversification Risk, pp. 7479, May 2009 



May09 
Mar10 
Research 
(New!) Measuring Portfolio Diversification Based on Optimized Uncorrelated Factors Working Paper 



Jul13 
Jul13 
Review 
'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance GARP Risk Professional, pp. 4750 



Apr11 
Apr11 
Review 
Textbook: Technical Appendices and Proofs Risk and Asset Allocation, Springer 2005 



Mar05 
May07 
Research 
StressTesting with Fully Flexible Causal Inputs working paper 



Dec10 
Dec10 
Research 
Return Calculations for Leveraged Securities and Portfolios GARP Risk Professional "The Quant Classroom" series 5, pp. 4043, October 2010 



Mar10 
Mar11 
Review 
Review of Dynamic Allocation Strategies: Utility Maximization, Option Replication, Insurance, Drawdown Control, Convex/Concave Management working paper 



Sep10 
Sep10 
Research 
Fully Flexible Extreme Views working paper 



Jan10 
Jan11 
Review 
Exercises in Advanced Risk and Portfolio Management  With StepbyStep Solutions and Fully Documented Code 



Aug09 
Oct10 
Review 
Review of Discrete and Continuous Processes in Finance: Theory and Applications working paper 



Feb11 
Feb11 
Review 
Review of Statistical Arbitrage, Cointegration, and Multivariate OrnsteinUhlenbeck working paper 



Feb11 
Feb11 
Review 
Textbook: Quest for Invariance in Financial Time Series Risk and Asset Allocation, Springer 2005 



Apr05 
Feb08 
Research 
Review of Linear Factor Models (work in progress) 



May10 
May11 
Research 
Estimation of Structured TCopulas working paper 



Apr08 
Apr08 
Review 
Textbook: Multivariate Estimation (NonParametric, MLE, Shrinkage, Robust, ...) Risk and Asset Allocation, Springer 2005 



Apr05 
Feb08 
Research 
Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics GARP Risk Professional "The Quant Classroom" series 4, pp. 5963, July 2010 



Jul10 
Oct10 
Research 
Visualizing the Propagation of Risk: SquareRoot Rule, Covariances and Ellipsoids Garp Risk Professional "The Quant Classroom" series 1, pp. 5253, February 2010 



Feb10 
Nov10 
Review 
Textbook: Projection of Invariants to Investment Horizon Risk and Asset Allocation, Springer 2005 



Apr05 
Feb08 
Review 
Textbook: Pricing of Individual Securities Risk and Asset Allocation, Springer 2005 



Apr05 
Feb08 
Review 
Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management GARP Risk Professional "The Quant Classroom" series 2, pp. 4951, April 2010 



Apr10 
Nov10 
Research 
Risk Contributions from Generic UserDefined Factors Risk, pp. 8488, June 2007 



Sep08 
Aug10 