14/11/2024 Portfolio Allocation Return Predictability, Expectations, and Investments: Experimental Evidence This paper proposes an experiment to understand why investors tend to adjust their portfolios insufficiently in response to changes in their own forecasts...
7/04/2020 Sustainable Finance Credit Risk Sensitivity to Carbon Price In order to meet the objectives set by the Paris Climate Agreement, global greenhouse gas emissions must be drastically reduced.
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...
23/01/2020 Sustainable Finance The green swan: Central banking and financial stability in t... Climate change poses new challenges to central banks, regulators and supervisors.
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...
30/09/2019 Asset Pricing & Behavioural Finance Forecasting Combination: An Application For Exchange Rates This paper tries to forecast exchange rates by comparing forecasting methods that take into account cointegration and methods that do not.