5/01/2021 Asset Pricing & Behavioural Finance Liquidity Stress Testing in Asset Management - Part 1. Model... This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions.
26/08/2020 Sustainable Finance Measuring and Managing Carbon Risk in Investment Portfolios This article studies the impact of carbon risk on stock pricing.
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...
10/02/2020 Sustainable Finance ESG Investing in Corporate Bonds: Mind the Gap This research is the companion study of three previous research projects conducted at Amundi that address the issue of socially responsible investing...
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.
2/10/2019 Machine Learning & Artificial Intelligence Machine Learning Optimization Algorithms & Portfolio Allocat... Portfolio optimization emerged with the seminal paper of Markowitz (1952). The original mean-variance framework is appealing because it is very efficient...
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...
20/02/2019 Portfolio Allocation Constrained Risk Budgeting Portfolios This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints.
14/01/2019 Sustainable Finance The Alpha and Beta of ESG investing Amundi’s new research on the impact of ESG investing on equity asset pricing finds that when an alpha strategy is massively implemented, it becomes a...
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....
12/04/2017 Asset Pricing & Behavioural Finance Alternative Risk Premia: What Do We Know? The concept of alternative risk premia is an extension of the factor investing approach.