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 18,308

SSRN RANKINGS

Top 18,308

in Total Papers Downloads

2,588

CITATIONS

8

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 Capital Fund Management
Downloads 1,855 (8,136)
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.

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 292 (103,251)
Citation 1

Abstract:

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

3.

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 250 (121,528)
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

4.

Factor Investing in Currency Markets: Does it Make Sense?

Number of pages: 107 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
Downloads 167 (177,644)

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

5.

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 (496,505)

Abstract:

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Multivariate dynamic models, conditional correlations, stationarity, DCC