7 citations · 19 across the 10 of their papers we have counts for
4 papers · 1 filter
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…
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…