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.
Thierry is the Head of Quant Portfolio Strategy within Amundi Investment Institute. In this role, he steers quantitative research towards the best interests and ambitions of Amundi and its clients. He is also involved in the development of client relationships and innovative investment solutions.