18/05/2021 Asset Pricing & Behavioural Finance Liquidity Stress Testing in Asset Management - Part 2. Model... This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first...
26/02/2021 Portfolio Allocation Understanding the Performance of the Equity Value Factor After decades of sound performance, doubts have been cast on the ability of the equity value strategy to keep delivering in the aftermath of the 2008...
26/01/2021 Sustainable Finance The Market Measure of Carbon Risk and its Impact on the Mini... Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction.
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...
15/05/2020 Investment Insights ESG & Factor Investing: a new stage has been reached ESG Investing is evolving extremely rapidly, in Europe and abroad.
12/03/2020 Retirement Pension Funds Letter 8 - Expanding Green Fixed Income Market... Expanding Green Fixed Income Markets: Let’s Do It Now!
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...
13/01/2020 Research ESG Investing in Recent Years: New Insights from Old Challen... This research is an update of the study that we published last year (Bennani et al., 2018) and that explored the impact of ESG 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...