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Found 13 papers, 1 papers with code
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia
This dual representation allows us to show that skewness and jump risks are equivalent.
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies?
The results also highlight the importance of the G and S pillars when predicting credit ratings.
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk
These ALM tools can be split into three categories: measurement tools, management tools and monitoring tools.
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk
In this second article focused on asset liquidity risk modeling, we propose a market impact model to estimate transaction costs.
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio
Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction.
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk
In this first part that focuses on liability liquidity risk modeling, we propose several statistical models for estimating redemption shocks.
Measuring and Managing Carbon Risk in Investment Portfolios
In the second part of the article, we focus on the carbon risk management of investment portfolios.
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks
This article explores the use of machine learning models to build a market generator.
A Note on Portfolio Optimization with Quadratic Transaction Costs
In this short note, we consider mean-variance optimized portfolios with transaction costs.
Machine Learning Optimization Algorithms & Portfolio Allocation
Nevertheless, very few models have succeeded in providing a real alternative solution to the Markowitz model.
Financial Applications of Gaussian Processes and Bayesian Optimization
The second part is dedicated to two financial applications.
Introduction to Risk Parity and Budgeting
Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management.
Portfolio Management
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios
In this paper we propose a cyclical coordinate descent (CCD) algorithm for solving high dimensional risk parity problems.
