Must read articles

BEN SLIMANE Mohamed
RC - Working Paper
Working Paper 23.11.2022 Net Zero Investment Portfolios - Part 1. The Comprehensive Integrated Approach

The emergence of net zero emissions policies is currently one of the most important topics among asset owners and managers.

More > 10 minutes
RC - Working Paper
Working Paper 1.07.2022 Credit Factor Investing with Machine Learning techniques

The most common models to assess asset returns are a linear combination of risk factors.

More > 10 minutes
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Thematic Paper 2.06.2022 Shifts & Narratives #18 - The power of narratives for investors

Narratives have been around for a long time but their impact on financial markets has not been fully exploited. Our analysis suggests that narratives complement traditional macro variables when it comes to explaining financial market behaviour.

More > 10 minutes
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Working Paper 7.04.2022 Monitoring Narratives: an Application to the Equity Market

In this research, we show that variables from the Global Database of Events, Language and Tone (GDELT) convey significant informational content that can improve on a purely macroeconomic approach when modeling the US equity market.

More > 10 minutes
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Working Paper 25.02.2022 The Recent Performance of ESG Investing, the Covid-19 Catalyst and the Biden Effect

The purpose of this paper is to appraise recent ESG trends in global equity markets. It contributes to a broader research project started at Amundi in 2014 on the relevance of ESG.

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Working Paper 12.11.2021 ESG Improvers in Credit Investing

The objective of this article is to explore the impact of ESG Improvers on the corporate bond market.

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Working Paper 24.03.2021 Bond Index Tracking with Genetic Algorithms
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Bond portfolio optimization is very different from equity portfolio optimization. Indeed, while continuous optimization is efficient when managing a portfolio of stocks, it is not always well-adapted to building a bond portfolio because the transformation of portfolio weights into numbers of shares may lead to significant rounding errors. Indeed, bond investors are often restricted to purchasing bonds in multiples of a minimum transaction unit, which can be expressed as a minimum number of bonds or a minimum amount of dollars.

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Working Paper 8.12.2020 Facts and Fantasies about the Green Bond Premium
118

The green bond market has increased exponentially since the first issuance in 2007.

More > 10 minutes
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Discussion Paper 18.11.2020 Factor Investing and ESG in the Corporate Bond Market Before and During the COVID-19 Crisis
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The objective of this paper is to illustrate the factor investing space in corporate bonds before and during the COVID-19 crisis and is the natural extension of our prior analysis on both the new alternative credit factors and the ESG integration in credit.

More > 10 minutes
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