7 citations · 19 across the 10 of their papers we have counts for
9 papers · 1 filter
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia
Benjamin Bruder, Nazar Kostyuchyk, Thierry Roncalli
This article develops a model that takes into account skewness risk in risk parity portfolios. In this framework, asset returns are viewed as stochastic processes with jumps or ran…
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio
Théo Roncalli, Théo Le Guenedal, Frédéric Lepetit +2
Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction. Until now, investors have mainly measured…
A Note on Portfolio Optimization with Quadratic Transaction Costs
Pierre Chen, Edmond Lezmi, Thierry Roncalli +1
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…
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…
Robust Asset Allocation for Robo-Advisors
Thibault Bourgeron, Edmond Lezmi, Thierry Roncalli
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, inc…