Jay Emmanuelle

QUANTED

Chairman-Senior Quant

110 rue du fbg Saint-Denis

Paris, 75010

France

Fideas Capital

Scientific Advisor

21 avenue de l'Opéra

Paris, 75001

France

SCHOLARLY PAPERS

4

DOWNLOADS
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Top 28,814

in Total Papers Downloads

1,663

SSRN CITATIONS

0

CROSSREF CITATIONS

7

Scholarly Papers (4)

1.

Multi-Factor Models and Signal Processing Techniques: Survey and Examples

IEEE Signal Processing Magazine - Special Issue on Financial Applications, Forthcoming
Number of pages: 12 Posted: 18 May 2011
QUANTED, ENSEA-ETIS, Université Paris Dauphine - DRM-CEREG and Aequam Capital
Downloads 871 (27,516)

Abstract:

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Factor models, Factor selection, model selection, Kalman filter, robust Kalman filter, Hedge Funds analysis, risk exposures

2.

Robust Portfolio Allocation with Systematic Risk Contribution Restrictions

Number of pages: 48 Posted: 22 Dec 2012
Serge Darolles, Christian Gourieroux and Jay Emmanuelle
Université Paris Dauphine - DRM-CEREG, University of Toronto - Department of Economics and QUANTED
Downloads 593 (46,479)
Citation 5

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Asset Allocation, Portfolio Turnover, Risk Diversification, Minimum Variance Portfolio, Risk Parity Portfolio, Systematic Risk, Euler Allocation, Hedge Fund

3.

Regularization of the Kalman Filter for Exogenous Outlier Removal: Application to Hedge Funds Analysis

CAMSAP 2011, Puerto Rico, December 13-17, 2011
Number of pages: 4 Posted: 26 Oct 2011
QUANTED, ENSEA-ETIS, Université Paris Dauphine - DRM-CEREG and University of Toronto - Department of Economics
Downloads 173 (179,641)

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4.

Improving Portfolios Global Performance with Robust Covariance Matrix Estimation: Application to the Maximum Variety Portfolio

26th European Signal Processing Conference (EUSIPCO 2018)
Number of pages: 5 Posted: 31 May 2018
QUANTED, CentraleSupélec, DEMR, ONERA and L2S, CentraleSupélec
Downloads 26 (505,608)

Abstract:

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Robust Covariance Matrix Estimation, Model Order Selection, Random Matrix Theory, Portfolio Optimisation, Financial Time Series, Multi-Factor Model, Elliptical Symmetric Noise, Maximum Variety Portfolio