Hassan Malongo

Amundi Asset Management

90 Boulevard Pasteur

Paris, 75015

France

Université de Paris-Dauphine (Ceremade)

Place du Maréchal De Lattre De Tassigny

Paris, 75775

France

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 17,754

SSRN RANKINGS

Top 17,754

in Total Papers Downloads

2,947

SSRN CITATIONS

2

CROSSREF CITATIONS

7

Scholarly Papers (5)

1.

Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies

Number of pages: 102 Posted: 09 Oct 2017
Ecole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Millennium Capital Management, France branch
Downloads 2,298 (6,369)
Citation 6

Abstract:

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Momentum risk premium, trend-following strategy, cross-section momentum, time-series momentum, alternative risk premium, market anomaly, diversification, correlation, payoff, trading impact, hedging, skewness, Gaussian quadratic forms, Kalman filter, EWMA

2.

Portfolio Allocation with Skewness Risk: A Practical Guide

Number of pages: 33 Posted: 15 Jul 2018 Last Revised: 08 Feb 2019
Edmond Lezmi, Hassan Malongo, Thierry Roncalli and R Sobotka
Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 326 (100,195)
Citation 2

Abstract:

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Skewness, Volatility, Expected Shortfall, Stress Scenario, Market Regime, Drawdown, Risk Budgeting, Equal Risk Contribution, Gaussian Mixture Model, Jump-Diffusion Process

3.

Volatility Strategies for Global and Country Specific European Investors

Number of pages: 25 Posted: 19 Oct 2011 Last Revised: 27 Oct 2011
Amundi Asset Management, Ensae-Crest, Amundi Asset Management and AXA Investment Managers
Downloads 299 (110,138)
Citation 1

Abstract:

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Investment strategy, Portfolio choice, Conditional Value-at-Risk, Implied volatility, Hedging

4.

On the Stationarity of Dynamic Conditional Correlation Models

Number of pages: 34 Posted: 28 May 2014
Jean-David Fermanian and Hassan Malongo
Ensae-Crest and Amundi Asset Management
Downloads 24 (537,484)
Citation 2

Abstract:

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Multivariate dynamic models, conditional correlations, stationarity, DCC

5.

Factor Investing in Currency Markets: Does it Make Sense?

The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 141-155; DOI: https://doi.org/10.3905/jpm.2019.1.116
Posted: 09 Jul 2019
Paris School of Economics (PSE), Université Paris I Panthéon-Sorbonne, Banque de France, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Societe Generale

Abstract:

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foreign exchange rates, factor investing, carry, value, momentum, reversal, interest rate parity, purchasing power parity, BEER, FEER, NATREX, cross-section analysis, time-series analysis, risk premium, basket hedging, overlay management, risk aggregation, alpha strategy