Jiali XU

Alternative Quant Portfolio Strategy, Amundi Investment Institute

Jiali is an Alternative Quant Researcher at Amundi Investment Institute. He is involved in developing investment applications for advanced optimisation and machine learning techniques. He joined Amundi in 2018 as a Quantitative Research Analyst within the Multi Asset Quantitative Research team.

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5/12/2023

Portfolio Allocation

Optimal Decumulation Strategies for Retirement Solutions

This paper focuses on the optimal decumulation strategies for retirement solutions in those countries with a defined-contribution plan.

Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach

8/11/2023

Sustainable Finance

Net Zero Investment Portfolios - Part 2. The Core-Satellite Approach

This paper focuses on the core-satellite approach as a portfolio strategy to address net-zero policies.

1/03/2023

Machine Learning & Artificial Intelligence

Time Series Forecasting with Transformer Models and application for Asset Management

Since its introduction in 2017 (Vaswani et al., 2017), the Transformer model has excelled in a wide range of tasks involving natural language processing...

6/04/2022

Portfolio Allocation

Multi-Period Portfolio Optimization and Application to Portfolio Decarbonization

This research project is both an update of the analysis on carbon emissions trajectories proposed by Le Guenedal et al. (2020) and a companion study of...

1/12/2021

Asset Pricing & Behavioural Finance

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.

7/07/2020

Machine Learning & Artificial Intelligence

Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks

In this article, we explore generative models in order to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial...

19/12/2019

Portfolio Allocation

A Note on Portfolio Optimization with Quadratic Transaction Costs

In this short note, we consider mean-variance optimized portfolios with transaction costs.

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Optimal Decumulation Strategies for Retirement Solutions

Net Zero Investment Portfolios - Part 2. The Core-Satellite Approach

Time Series Forecasting with Transformer Models and application for Asset Management

Multi-Period Portfolio Optimization and Application to Portfolio Decarbonization

Graph Neural Networks for Asset Management

Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks

A Note on Portfolio Optimization with Quadratic Transaction Costs

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