Zobrazeno 1 - 10
of 11
pro vyhledávání: '"Edmond Lezmi"'
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1680722dab005cc12a2235fa3167d3f8
https://doi.org/10.2139/ssrn.4078043
https://doi.org/10.2139/ssrn.4078043
Autor:
Roberta Fortes, Karine Hervé, Jiali Xu, Hassan Malongo, Thierry Roncalli, Edmond Lezmi, Elisa Baku
Publikováno v:
The Journal of Portfolio Management. 46:141-155
The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing. This approach has been extended to multiasset portfolios and, more recently, has gained popularity in the fixed-income unive
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::21f0b08995e576977893d537f3f4befd
https://doi.org/10.3905/jpm.2019.1.116
https://doi.org/10.3905/jpm.2019.1.116
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fd38666d320ff0db3ecf97f34aec0c75
https://doi.org/10.2139/ssrn.3976168
https://doi.org/10.2139/ssrn.3976168
Publikováno v:
SSRN Electronic Journal.
This article explores the use of machine learning models to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial time series, whose statistical properties are the same as those observed in the financial
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::015d5b1c0a26e856099fa716f4e92f16
https://doi.org/10.2139/ssrn.3645473
https://doi.org/10.2139/ssrn.3645473
Publikováno v:
SSRN Electronic Journal.
In this short note, we consider mean-variance optimized portfolios with transaction costs. We show that introducing quadratic transaction costs makes the optimization problem more difficult than using linear transaction costs. The reason lies in the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9a4156e1fcc250c4507acaaae88c991e
https://doi.org/10.2139/ssrn.3683466
https://doi.org/10.2139/ssrn.3683466
In the last few years, the financial advisory industry has been impacted by the emergence of digitalization and robo-advisors. This phenomenon affects major financial services, including wealth management, employee savings plans, asset managers, etc.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1b03b608db0a54a9d0c1299f18330c71
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 o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6b8f84fde597b298f02fa60dfe93eae6
Autor:
Thierry Roncalli, Karine Hervé, Roberta Fortes, Jiali Xu, Edmond Lezmi, Elisa Baku, Hassan Malongo
Publikováno v:
SSRN Electronic Journal.
The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing. Today, institutional investors structure their strategic asset allocation around five risk factors: size, value, low beta, m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ccb48a4f55dd35840025786b8d55f9eb
https://doi.org/10.2139/ssrn.3415700
https://doi.org/10.2139/ssrn.3415700
Publikováno v:
SSRN Electronic Journal.
In this article, we show how to take into account skewness risk in portfolio allocation. Until recently, this issue has been seen as a purely statistical problem, since skewness corresponds to the third statistical moment of a probability distributio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c2175a72c05953acce2be261b994841e
https://doi.org/10.2139/ssrn.3201319
https://doi.org/10.2139/ssrn.3201319