4 papers
Synthetic Data for Portfolios: A Throw of the Dice Will Never Abolish Chance
Adil Rengim Cetingoz, Charles-Albert Lehalle
Simulation methods have always been instrumental in finance, and data-driven methods with minimal model specification, commonly referred to as generative models, have attracted inc…
Mirror Descent Algorithms for Risk Budgeting Portfolios
Martin Arnaiz Iglesias, Adil Rengim Cetingoz, Noufel Frikha
This paper introduces and examines numerical approximation schemes for computing risk budgeting portfolios associated to positive homogeneous and sub-additive risk measures. We emp…
Asset and Factor Risk Budgeting: A Balanced Approach
Adil Rengim Cetingoz, Olivier Guéant
Portfolio optimization methods have evolved significantly since Markowitz introduced the mean-variance framework in 1952. While the theoretical appeal of this approach is undeniabl…
Risk Budgeting Portfolios: Existence and Computation
Adil Rengim Cetingoz, Jean-David Fermanian, Olivier Guéant
Modern portfolio theory has provided for decades the main framework for optimizing portfolios. Because of its sensitivity to small changes in input parameters, especially expected…