Portfolio allocation

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Working Paper 1.12.2021 Graph Neural Networks for Asset Management

In this research article, Amundi Quantitative Research explores the use of graph theory and neural networks in asset management.

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Insights Paper 8.06.2021 The inflation moment - Strategies to protect portfolios from inflation risk

As the global economy emerges from its worst slump since the 1930s, we envisage plenty of inflation fertilisers at stake, especially in the United States. Inflationary trends could emerge due to a combination of factors, including the cyclical recovery as countries try to get the pandemic under control and gradually lift mitigation measures.

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Working Paper 7.06.2021 Robo-Advising for Small Investors: Evidence from Employee Savings Plans

We study the introduction of robo-advising on a large representative sample of Employees Saving Plans. The robo-advisor proposes a portfolio allocation and alerts investors if their allocation gets too far from the target, while investors remain free to follow or ignore the advices.

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Working Paper 26.04.2021 Robo-Advising: Less AI and More XAI?
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We start by considering some of the key reasons behind the academic and industry interest in robo-advisors. We discuss how robo-advice could potentially address some fundamental problems in investors’ decision making as well as in traditional financial advice.

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Working Paper 24.03.2021 Bond Index Tracking with Genetic Algorithms
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Bond portfolio optimization is very different from equity portfolio optimization. Indeed, while continuous optimization is efficient when managing a portfolio of stocks, it is not always well-adapted to building a bond portfolio because the transformation of portfolio weights into numbers of shares may lead to significant rounding errors. Indeed, bond investors are often restricted to purchasing bonds in multiples of a minimum transaction unit, which can be expressed as a minimum number of bonds or a minimum amount of dollars.

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Working Paper 2.10.2019 Machine Learning Optimization Algorithms & Portfolio Allocation
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Portfolio optimization emerged with the seminal paper of Markowitz (1952). The original mean-variance framework is appealing because it is very efficient from a computational point of view.

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Working Paper 15.11.2012 Alternative Inflation Hedging Portfolio Strategies: Going Forward under Immoderate Macroeconomics
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Gone are the days when inflation fears had receded under years of “Great Moderation” in macroeconomics.

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Working Paper 15.04.2012 An Inflation Hedging Strategy with Commodities: A Core Driven Global Macro
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Recent academic studies have shown that since the mid-nineties, the pass-through of exogenous oil shocks into headline inflation has been increasing while the pass through into core inflation seems to have ceased.

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