2 papers
q-fin.GN2022
Characteristics-driven returns in equilibrium
Guillaume Coqueret
We reverse-engineer the equilibrium construction process of asset prices in order to obtain returns which depend on firm characteristics, possibly in a linear fashion. One key requ…
q-fin.PM2020
Dirichlet policies for reinforced factor portfolios
Eric André, Guillaume Coqueret
This article aims to combine factor investing and reinforcement learning (RL). The agent learns through sequential random allocations which rely on firms' characteristics. Using Di…