User profiles for Alexander Rudin

Alexander Rudin

Global Head of Multi-Asset and Fixed Income Research, State Street Global Advisors
Verified email at ssga.com
Cited by 572

A portfolio diversification index

AM Rudin, JS Morgan - Journal of portfolio management, 2006 - search.proquest.com
Despite the importance of diversification in portfolio construction, our current methods of
measuring it are inefficient. Construction of a Portfolio Diversification Index (PDI) presents a new …

Public and private equity returns: different or same?

A Rudin, D Farley - Journal of Portfolio Management, 2022 - search.ebscohost.com
In this article, the authors propose a novel, Shiller-inspired, regression-style model that links
observed private and public equity returns. The model illuminates why, over the short term, …

[PDF][PDF] Investor views, drawdown-based risk parity, and hedge fund portfolio construction

A Rudin, WM Marr - The Journal of alternative investments, 2016 - granitestreetcap.com
In the last two decades, risk parity has become quite popular with institutional investors and
is often used to construct both traditional and alternative investments portfolios (see Da Silva…

Adaptive Optimal Risk Budgeting

A Rudin, V Mor, D Farley - Journal of Portfolio Management, 2020 - search.proquest.com
In this article, the authors suggest Bayesian-style adaptive enhancement to a popular equal
risk contribution (ERC) portfolio construction technique they call adaptive optimal risk …

Fitting Private Equity into the Total Portfolio Framework

A Rudin, J Mao, NR Zhang… - The Journal of Portfolio …, 2019 - jpm.pm-research.com
In this article, the authors propose a risk estimation model that addresses both smoothness
and idiosyncratic risk dynamics of narrow private equity portfolio returns. The authors …

[PDF][PDF] Hedging and Constructing Portfolios of Active Strategies: Strategy Time Horizon and Estimation Errors

A Rudin, WM Marr - The Journal of Alternative Investments, 2018 - granitestreetcap.com
There are many portfolio manage-ment tasks where forming views on future correlation of
assets is essential. Hedging unwanted systematic exposures is one such task; portfolio …

Dual-Horizon Strategic Asset Allocation.

A Rudin, D Farley - Journal of Portfolio Management, 2022 - search.ebscohost.com
In this article, the authors propose a new dual-horizon asset allocation framework that balances
desire for long-term portfolio optimality with the requirement for short-term risk control. …

Persistence of Hedge Fund Returns and Fee-Aware Portfolio Construction

A Rudin - Journal of Portfolio Management, 2018 - search.proquest.com
The author presents an empirical study of the persistence of manager returns for two core
hedge fund categories: equity long-short and macro/managed futures. The author finds that …

Bond Duration and Convexity under Stochastic Interest Rates and Credit Spreads

…, SJ Kon, P Kumar, R Sathyajit, A Rudin… - The Journal of Fixed …, 2024 - pm-research.com
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies
on bond instruments of all types—investment grade, high-yield, municipals, ABS and MBS…

Private Equity Program Breadth and Strategic Asset Allocation

A Rudin, J Mao, NR Zhang, AM Fink - The Journal of Private Equity, 2019 - JSTOR
It is quite often the case that investors form views on private equity program return and cash
flow profiles by analyzing broad-based swaths of the private equity industry, while side-…