2 papers
q-fin.PM2023
Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach
Areski Cousin, Jérôme Lelong, Tom Picard
This paper studies the multi-period mean-variance portfolio allocation problem with transaction costs. Many methods have been proposed these last years to challenge the famous uni-…
math.PR2021
Rating transitions forecasting: a filtering approach
Areski Cousin, Jérôme Lelong, Tom Picard
Analyzing the effect of business cycle on rating transitions has been a subject of great interest these last fifteen years, particularly due to the increasing pressure coming from…