5 papers
Revisiting the Structure of Trend Premia: When Diversification Hides Redundancy
Alban Etienne, Jean-Jacques Ohana, Eric Benhamou +3
Recent work has emphasized the diversification benefits of combining trend signals across multiple horizons, with the medium-term window-typically six months to one year-long viewe…
Building Trust in Illiquid Markets: an AI-Powered Replication of Private Equity Funds
E. Benhamou, JJ. Ohana, B. Guez +2
In response to growing demand for resilient and transparent financial instruments, we introduce a novel framework for replicating private equity (PE) performance using liquid, AI-e…
PEARL: Private Equity Accessibility Reimagined with Liquidity
E. Benhamou, JJ. Ohana, B. Guez +2
In this work, we introduce PEARL (Private Equity Accessibility Reimagined with Liquidity), an AI-powered framework designed to replicate and decode private equity funds using liqui…
FinMarBa: A Market-Informed Dataset for Financial Sentiment Classification
Baptiste Lefort, Eric Benhamou, Beatrice Guez +3
This paper presents a novel hierarchical framework for portfolio optimization, integrating lightweight Large Language Models (LLMs) with Deep Reinforcement Learning (DRL) to combin…
Re-evaluating Short- and Long-Term Trend Factors in CTA Replication: A Bayesian Graphical Approach
Eric Benhamou, Jean-Jacques Ohana, Alban Etienne +3
Commodity Trading Advisors (CTAs) have historically relied on trend-following rules that operate on vastly different horizons from long-term breakouts that capture major directiona…