4/10/2024 Portfolio Allocation Risk Factor, Risk Premium and Black-Litterman Model This study introduces an extension of the Black-Litterman model that allows views to be applied to risk factors rather than individual assets.
8/11/2023 Sustainable Finance Net Zero Investment Portfolios - Part 2. The Core-Satellite ... This paper focuses on the core-satellite approach as a portfolio strategy to address net-zero policies.
6/04/2022 Portfolio Allocation Multi-Period Portfolio Optimization and Application to Portf... 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 wit... 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 ... 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 Op... In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore...