Benjamin Bruder

Lyxor Asset Management

Paris

France

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 3,541

SSRN RANKINGS

Top 3,541

in Total Papers Downloads

13,770

SSRN CITATIONS
Rank 12,630

SSRN RANKINGS

Top 12,630

in Total Papers Citations

28

CROSSREF CITATIONS

68

Scholarly Papers (10)

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 4,236 (2,791)
Citation 39

Abstract:

Loading...

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, Millennium Capital Management, France branch, Eisler Capital and Amundi Asset Management
Downloads 3,713 (3,499)
Citation 16

Abstract:

Loading...

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 1,090 (25,073)
Citation 18

Abstract:

Loading...

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.

Regularization of Portfolio Allocation

Number of pages: 35 Posted: 21 Apr 2016
Lyxor Asset Management, Metori Capital Management, Eisler Capital and Amundi Asset Management
Downloads 1,011 (27,954)
Citation 15

Abstract:

Loading...

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

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 Metori Capital Management
Downloads 1,000 (28,406)
Citation 16

Abstract:

Loading...

6.

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 852 (35,521)
Citation 3

Abstract:

Loading...

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

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 640 (52,269)
Citation 4

Abstract:

Loading...

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 612 (55,410)
Citation 2

Abstract:

Loading...

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

9.

Integration of ESG in Asset Allocation

Number of pages: 29 Posted: 05 Nov 2019 Last Revised: 11 Nov 2019
Benjamin Bruder, Yazid Cheikh, Florent Deixonne and Ban Zheng
Lyxor Asset Management, Ecole Polytechnique, Palaiseau, Student, Lyxor Asset Management and Ecole Polytechnique
Downloads 599 (56,853)
Citation 2

Abstract:

Loading...

Socially Responsible Investment, ESG, Factor Investing

10.

Generation of Option-Like Investment Profiles in Open-Ended Funds

Number of pages: 17 Posted: 22 May 2020 Last Revised: 31 Oct 2020
Nicolas Gaussel and Benjamin Bruder
Metori Capital Management and Lyxor Asset Management
Downloads 17 (662,242)

Abstract:

Loading...

Open-ended fund, optimal portfolio, random horizon, time-invariant, turnpike theorem, option, portfolio theory