Zobrazeno 1 - 10 of 97 pro vyhledávání: '"Thierry Roncalli"'
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Machine Learning Optimization Algorithms & Portfolio Allocation
Autor: Thierry Roncalli, Sarah Perrin
Publikováno v: Machine Learning for Asset Management
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. However, it also has one well-established failing since it c
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f952480d151e0e87cf201c0ed74e7a51
https://doi.org/10.1002/9781119751182.ch8
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9
Factor Investing in Currency Markets: Does It Make Sense?
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
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10
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk
Autor: Thierry Roncalli, Amina Cherief, Fatma Karray-Meziou, Margaux Regnault
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focu
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::686bd88829ebfca78a24e13fb729624e
http://arxiv.org/abs/2105.08377
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