5 citations · 5 across the 1 of their papers we have counts for
4 papers
Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution
Carmine De Franco, Johann Nicolle, Huyên Pham
We study a discrete-time portfolio selection problem with partial information and maxi\-mum drawdown constraint. Drift uncertainty in the multidimensional framework is modeled by a…
ESG investments: Filtering versus machine learning approaches
Carmine de Franco, Christophe Geissler, Vincent Margot +1
We designed a machine learning algorithm that identifies patterns between ESG profiles and financial performances for companies in a large investment universe. The algorithm consis…
Bayesian learning for the Markowitz portfolio selection problem
Carmine De Franco, Johann Nicolle, Huyên Pham
We study the Markowitz portfolio selection problem with unknown drift vector in the multidimensional framework. The prior belief on the uncertain expected rate of return is modeled…
Portfolio Insurance under a risk-measure constraint
Carmine De Franco, Peter Tankov
We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed thre…