LEZMI Edmond

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Working Paper 7.07.2020 Improving the Robustness of Trading Strategy Backtesting with Boltzman...
60

In this article, we explore generative models in order to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial ti...

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  • 60
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Working Paper 19.12.2019 A Note on Portfolio Optimization with Quadratic Transaction Costs
30

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

More > 10 minutes
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  • 30
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Working Paper 30.09.2019 Forecasting Combination: An Application For Exchange Rates
26

This paper tries to forecast exchange rates by comparing forecasting methods that take into account cointegration and methods that do not.

More > 10 minutes
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  • 26
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Working Paper 24.06.2019 Factor Investing in Currency Markets: Does it Make Sense?
44

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

More > 10 minutes
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  • 44
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Working Paper 11.03.2019 Financial Applications of Gaussian Processes and Bayesian Optimization
25

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

More > 10 minutes
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  • 25
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Working Paper 27.09.2018 Robust Asset Allocation for Robo-Advisors
10

Robust Asset Allocation for Robo-Advisors

More > 10 minutes
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  • 10
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Working Paper 19.06.2018 Portfolio Allocation with skewness risk: A practical guide
14

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

More > 10 minutes
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  • 14
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Working Paper 16.10.2017 Understanding the Momentum Risk Premium
19

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.

More > 10 minutes
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  • 19

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