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Alexey Rubtsov · Study

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Alexey Rubtsov

6 works· latest 2023· 3 institutionscluster: provisionalORCID 0000-0003-0033-0045

h-index6

i106

Citations293

Works here6

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Most cited in this library

Robust portfolio choice with derivative trading under stochastic volatility2015 · 77 citations
The Impact of Derivatives on Spot Markets: Evidence from the Introduction of Bitcoin Futures Contracts2023 · 58 citations
Portfolio management with stochastic interest rates and inflation ambiguity2013 · 58 citations
Price of climate risk hedging under uncertainty2020 · 39 citations
Optimal investment under multi-factor stochastic volatility2016 · 32 citations

Works

6 shown

The Impact of Derivatives on Spot Markets: Evidence from the Introduction of Bitcoin Futures Contracts

Management Science·2023·3 authors·Open access

58citations

Price of climate risk hedging under uncertainty

Technological Forecasting and Social Change·2020·4 authors·Open access

39citations

Dynamic derivative strategies with stochastic interest rates and model uncertainty

Journal of Economic Dynamics and Control·2017·3 authors

29citations

Optimal investment under multi-factor stochastic volatility

Quantitative Finance·2016·3 authors·Open access

32citations

Robust portfolio choice with derivative trading under stochastic volatility

Journal of Banking & Finance·2015·3 authors

77citations

Portfolio management with stochastic interest rates and inflation ambiguity

Annals of Finance·2013·2 authors·Open access

58citations