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Working paper

Working paper

26.03.2019 - Working Paper

Optimal Allocation in the S&P 600 under Size-Driven Illiquidity

A number of empirical studies have investigated how mutual funds do react to incoming financial resources. As long as liquidity constraints are narrow, fund managers tend to upscale already existing positions without looking for new investment opportunities.

Lionel Lecesne, Andrea Roncoroni

2018-02- Market sell-off

2018-02- Market sell-off

06.02.2018 - Investment Talks

Market sell-off requires more emphasis on diversification

"Solidity of fundamentals remains intact and does not justify the current correction."

Monica DEFEND, Vincent MORTIER

2018-01- DP - Keepm Up the Momentum

2018-01- DP - Keepm Up the Momentum

04.01.2018 - Discussion Paper

Keep Up The Momentum

The momentum risk premium is one of the most important alternative risk premia alongside the carry risk premium.

Thierry RONCALLI

Head of Quantitative Research

DP025 - Carry and Momentum Risk Premia

DP025 - Carry and Momentum Risk Premia

26.09.2017 - Discussion Paper

The Quest for Diversification: Why Does It Make Sense to Mix Risk Parity, Carry and Momentum Risk Premia?

Diversification should be the first objective of any large institutions because managing risk is a key source of long-term performance.

Edmond LEZMI, Hassan MALONGO ELOUAÏ, Thierry RONCALLI, Alexandre BURGUES, Raphaël SOBOTKA, Edouard KNOCKAERT

Working paper

Working paper

20.09.2017 - Working Paper

Portfolio optimisation in an uncertain world

Mean-variance efficient portfolios are optimal as Modern Portfolio Theory alleges, only if risk were foreseeable, that is under the hypothesis that price (co)variance is known with certainty. Admitting uncertainty changes the perception. If portfolios are presumed vulnerable to unforeseen price shocks as well, risk optimality is no longer obtained by minimising variance but also pertains to the diversification in the portfolio, for that provides protection against unforeseen events. Generalising MPT in this respect leads to the double risk-objective to minimise variance and maximise diversification. We demonstrate that a series of portfolio construction techniques developed as an alternative to MPT, in fact address this double objective, under which Bayesian optimisation, entropy-based optimisation, risk parity and covariance shrinkage. We give an analytical demonstration and provide by that new theoretical backing for these techniques. Amundi Working Paper December 2016 (First version)September 2017 (Revised version)

Marielle de JONG

Head of Fixed Income Quantitative Research at Amundi

Alternative risk premia

Alternative risk premia

09.05.2017 - Monthly Cross Asset

Alternative Risk Premia: What Do We Know?

Alternative Risk premia are essential to understand the concept of diversification and renew traditional asset allocation. As smart beta and factor investing have dramatically changed equity investing, alternative risk premia will highly impact the landscape of strategic asset allocation, multi-asset management and alternative investment.

Thierry RONCALLI

Head of Quantitative Research

Working paper

Working paper

12.04.2017 - Working Paper

Alternative Risk Premia: What Do We Know?

The concept of alternative risk premia is an extension of the factor investing approach. Factor investing consists in building long-only equity portfolios, which are directly exposed to common risk factors like size, value or momentum.

Thierry RONCALLI

Head of Quantitative Research

Working-Paper

Working-Paper

17.12.2015 - Working Paper

Towards Greater Diversification in Central Bank Reserves

This paper compares the performance of various diversification strategies regarding foreign exchange reserves.

Marie BRIERE, Valérie MIGNON, Kim OOSTERLINCK, Ariane SZAFARZ

Euro_Dollar_Flags

Euro_Dollar_Flags

14.04.2015 - Monthly Cross Asset

Could the euro fall below parity over the long term?

Will the euro fall below parity with the dollar? Since it was introduced, the euro has seen phases of both downward (2000) and upward (2008-2009) overshooting.

Didier BOROWSKI

Head of Global Views

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