1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PM2022★ 1 cited
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…
math.PR2007
Impulse control problem on finite horizon with execution delay
Benjamin Bruder, Huyen Pham
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important…