Benjamin Bruder

Lyxor Asset Management

Paris

France

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 3,771

SSRN RANKINGS

Top 3,771

in Total Papers Downloads

10,013

CITATIONS
Rank 22,847

SSRN RANKINGS

Top 22,847

in Total Papers Citations

12

Scholarly Papers (8)

1.

Managing Risk Exposures Using the Risk Budgeting Approach

Number of pages: 33 Posted: 23 Feb 2012 Last Revised: 10 Apr 2012
Benjamin Bruder and Thierry Roncalli
Lyxor Asset Management and Amundi Asset Management
Downloads 3,386 (2,866)
Citation 9

Abstract:

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risk budgeting, risk management, risk-based allocation, equal risk contribution, diversification, concentration, risk parity, alternative indexation, strategic asset allocation

2.

Trend Filtering Methods for Momentum Strategies

Number of pages: 49 Posted: 07 Jul 2013
Lyxor Asset Management, Capital Fund Management, Eisler Capital and Amundi Asset Management
Downloads 2,666 (4,335)

Abstract:

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momentum strategy, trend following, moving average, filtering, trend extraction

3.

Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia

Number of pages: 48 Posted: 23 Sep 2016
Benjamin Bruder, Nazar Kostyuchyk and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Downloads 863 (26,215)

Abstract:

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Risk Parity, Equal Risk Contribution, Expected Shortfall, Skewness, Jump Diffusion, Gaussian Mixture Model, EM Algorithm, Filtering Theory, Factor Investing, Alternative Risk Premia, Short Volatility Strategy, Diversification, Skewness Hedging, CTA Strategy

4.

Managing Sovereign Credit Risk in Bond Portfolios

Number of pages: 27 Posted: 09 Nov 2011 Last Revised: 23 Feb 2012
Benjamin Bruder, Pierre Hereil and Thierry Roncalli
Lyxor Asset Management, affiliation not provided to SSRN and Amundi Asset Management
Downloads 801 (29,102)

Abstract:

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Sovereign credit risk, credit spread, convex risk measure, sabr model, CDS, bond indices, fundamental indexation, risk-based indexation, risk budgeting

5.

Risk-Return Analysis of Dynamic Investment Strategies

Number of pages: 29 Posted: 14 Jul 2014
Benjamin Bruder and Nicolas Gaussel
Lyxor Asset Management and Lyxor Asset Management
Downloads 638 (39,564)

Abstract:

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6.

Regularization of Portfolio Allocation

Number of pages: 35 Posted: 21 Apr 2016
Lyxor Asset Management, Lyxor Asset Management, Eisler Capital and Amundi Asset Management
Downloads 605 (42,481)
Citation 2

Abstract:

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Portfolio optimization, active management, estimation error, shrinkage estimator, resampling methods, eigendecomposition, norm constraints, Lasso regression, ridge regression, information matrix, hedging portfolio, sparsity

7.

Portfolio Allocation of Hedge Funds

Number of pages: 38 Posted: 10 Apr 2011
Lyxor Asset Management, Université Paris Dauphine - DRM-CEREG, affiliation not provided to SSRN and Amundi Asset Management
Downloads 585 (44,472)
Citation 1

Abstract:

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Hedge funds, portfolio allocation, higher-order moments, regime-switching models

8.

How to Design Target-Date Funds?

Number of pages: 32 Posted: 07 Jul 2013
Benjamin Bruder, Leo Culerier and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Downloads 469 (58,831)

Abstract:

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target-date fund, retirement system, dynamic asset allocation, stochastic optimal control, market portfolio, risk aversion, stock/bond asset mix policy