Factor Investing

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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.

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  • 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

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  • 39
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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.

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  • 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.

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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.

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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.

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  • 44
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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.

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  • 30
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Working Paper 26.03.2019 Persistence and Skill in the Performance of Mutual Fund Families
17

Prior research has shown that decisions made at fund family level can account for a substantial portion of the performance of the individual active fund managers in the family.

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  • 17
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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 methods that have undergone rapid development in recent years: Gaussian processes and Bayesian optimization.

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