7 citations · 15 across the 5 of their papers we have counts for
5 papers
Measuring and Managing Carbon Risk in Investment Portfolios
Théo Roncalli, Théo Le Guenedal, Frédéric Lepetit +2
This article studies the impact of carbon risk on stock pricing. To address this, we consider the seminal approach of Görgen \textsl{et al.} (2019), who proposed estimating the car…
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks
Edmond Lezmi, Jules Roche, Thierry Roncalli +1
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 s…
Machine Learning Optimization Algorithms & Portfolio Allocation
Sarah Perrin, Thierry Roncalli
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…
Financial Applications of Gaussian Processes and Bayesian Optimization
Joan Gonzalvez, Edmond Lezmi, Thierry Roncalli +1
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 undergon…
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles
Jean-Charles Richard, Thierry Roncalli
This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the tr…