ACADEMIC & PROFESSIONAL REFERENCES
Selected academic and professional references to my research.
Each entry identifies the nature of the reference and links to its source. Inclusion does not imply an endorsement of the publication’s findings.
Bruno Schwalbach and Christo Auret
Investment Analysts Journal, 54(3), 364–386 (2025).
The literature review cites Malek and Dobrovolsky’s 2009 paper, Volatility Exposure of CTA Programs and Other Hedge Fund Strategies, in its discussion of the distinction between long-gamma and long-volatility interpretations of trend following.
João Bruno Meneses Schwalbach
Doctoral thesis, University of the Witwatersrand (2025).
Discusses Malek and Dobrovolsky’s 2009 research on page 62, with the full reference on page 182. This thesis is related to the journal article listed above and is included as a separate publication, not an independent research study.
Mark J. P. Anson with Donald R. Chambers, Keith H. Black and Hossein Kazemi; CAIA Association
Second edition. Wiley (2012).
Chapter 13, Macro and Managed Futures Funds, endnote 3 cites Malek and Dobrovolsky’s 2009 article, Volatility Exposure of CTA Programs and Other Hedge Fund Strategies.
Oleg Svirschi
Chapter 24 in Handbook of Exchange Rates, edited by Jessica James, Ian W. Marsh and Lucio Sarno. Wiley (2012).
Section 24.4.3, footnote 26, cites Kremer, Krishnan and Malek’s Trend Following as a Long Volatility Strategy, listed as 2004 in the chapter’s references, when discussing trend-following exposure across volatility horizons.
Thomas Schneeweis
The Journal of Alternative Investments, 11(4), 1–2. Spring 2009.
Introduces Malek and Dobrovolsky’s article on CTA performance and volatility in the same journal issue. This is an editorial introduction, not a separate empirical study.
Aspen Partners, Ltd.
January 2018. Industry research report.
Cites Malek and Dobrovolsky’s research when discussing trend-following’s straddle-like payoffs and its relationship to volatility. References appear in footnotes 9 and 14.
Andrew Rozanov
Alternative Investment Analyst Review, 2(1), 34–45. CAIA Member Contribution.
Section 3.1 discusses Malek and Dobrovolsky’s 2009 research and the distinction between trend-following payoff convexity and direct exposure to changes in volatility. Listed here as professional research, not as a peer-reviewed journal article.
Selected references, not an exhaustive citation index. Publication details follow the linked sources. Some publishers may require a subscription.