19 citations · 42 across the 5 of their papers we have counts for
8 papers
LQG for portfolio optimization
M. Abeille, E. Serie, A. Lazaric +1
We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the p…
Agnostic Risk Parity: Taming Known and Unknown-Unknowns
Raphael Benichou, Yves Lempérière, Emmanuel Sérié +4
Markowitz' celebrated optimal portfolio theory generally fails to deliver out-of-sample diversification. In this note, we propose a new portfolio construction strategy based on sym…
Slow decay of impact in equity markets
X. Brokmann, E. Serie, J. Kockelkoren +1
Using a proprietary dataset of meta-orders and prediction signals, and assuming a quasi-linear impact model, we deconvolve market impact from past correlated trades and a predictab…
Noncommutative gauge theories with Endomorphism algebras
Emmanuel Sérié
We formulate a Yang-Mills action principle for noncommutative connections on an endomorphism algebra of a vector bundle. It is shown that there is an influence of the topology of t…
Gauge theories in noncommutative geometry and generalization of the Born-Infeld model
Emmanuel Serie
Endomorphisms algebras can replace the concept of principal fiber bundle. Gauge theories are reformulated within this algebraic framework and further generalized to unify ordinary…
Born-Infeld inspired bosonic action in a noncommutative geometry
Emmanuel Serie, Thierry Masson, Richard Kerner
The Born-Infeld lagrangian for non-abelian gauge theory is adapted to the case of the generalized gauge fields arising in non-commutative matrix geometry. Basic properties of stati…