6/04/2022 Portfolio Allocation Multi-Period Portfolio Optimization and Application to Portfolio Decarbonization This research project is both an update of the analysis on carbon emissions trajectories proposed by Le Guenedal et al. (2020) and a companion study of...
7/07/2020 Machine Learning & Artificial Intelligence Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks In this article, we explore generative models in order to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial...
19/12/2019 Portfolio Allocation A Note on Portfolio Optimization with Quadratic Transaction Costs In this short note, we consider mean-variance optimized portfolios with transaction costs.
24/06/2019 Portfolio Allocation Factor Investing in Currency Markets: Does it Make Sense? The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing.
11/03/2019 Machine Learning & Artificial Intelligence Financial Applications of Gaussian Processes and Bayesian Optimization In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore...
27/09/2018 Machine Learning & Artificial Intelligence Robust Asset Allocation for Robo-Advisors Robust Asset Allocation for Robo-Advisors
19/06/2018 Portfolio Allocation Portfolio Allocation with skewness risk: A practical guide In this article, we show how to take into account skewness risk in portfolio allocation.
16/10/2017 Asset Pricing & Behavioural Finance Understanding the Momentum Risk Premium Momentum risk premium is one of the most important alternative risk premia. Since it is considered a market anomaly, it is not always well understood....