Must read articles

Factor Investing
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Insights Paper 2.06.2020 Multi Asset: a solid total portfolio approach for a complex world
112

An increasing number of institutional investors have adopted a total portfolio approach (TPA) as a response to the weaknesses of more traditional strategic asset allocation (SAA)-based methodologies.

More > 10 minutes
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Insights Paper 15.05.2020 ESG & Factor Investing: a new stage has been reached
78

ESG Investing is evolving extremely rapidly, in Europe and abroad.

More 5 to 10 minutes
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Working Paper 10.02.2020 ESG Investing in Corporate Bonds: Mind the Gap
78

This research is the companion study of three previous research projects conducted at Amundi that address the issue of socially responsible investing (SRI) in the stock market. The underlying idea of this new study is to explore the impact of ESG investing on asset pricing in the corporate bond market.

More > 10 minutes
  • 78
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Discussion Paper 13.01.2020 ESG Investing in Recent Years: New Insights from Old Challenges
39

This research is an update of the study that we published last year (Bennani et al., 2018) and that explored the impact of ESG investing

More > 10 minutes
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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
  • 30
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Working Paper 2.10.2019 Machine Learning Optimization Algorithms & Portfolio Allocation
30

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.

More > 10 minutes
  • 30
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Working Paper 30.09.2019 Forecasting Combination: An Application For Exchange Rates
28

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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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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Working Paper 17.06.2019 Variance Premium, Downside Risk, and Expected Stock Returns
30

We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms.

More > 10 minutes
  • 30

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