This research is the companion study of three previous research projects conducted at Amundi that address the issue of socially responsible investing...

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

In this short note, we consider mean-variance optimized portfolios with transaction costs.

Portfolio optimization emerged with the seminal paper of Markowitz (1952). The original mean-variance framework is appealing because it is very efficient...

The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing.

In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore...

This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints.

Embracing the full potential 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...

Robust Asset Allocation for Robo-Advisors

In this article, we show how to take into account skewness risk in portfolio allocation.

The momentum risk premium is one of the most important alternative risk premia alongside the carry risk premium. However, it appears that it is not always...

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....

The concept of alternative risk premia is an extension of the factor investing approach.