Benjamin Bruder

Lyxor Asset Management

Paris

France

  • Lyxor Asset Management

SCHOLARLY PAPERS

10

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Rank 3,375

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Top 3,375

in Total Papers Downloads

21,543

TOTAL CITATIONS
Rank 14,231

SSRN RANKINGS

Top 14,231

in Total Papers Citations

121

Scholarly Papers (10)

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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 6,405 (2,489)
Citation 39

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
Benjamin Bruder, Tung-Lam Dao, Jean-Charles Richard and Thierry Roncalli
Lyxor Asset Management, affiliation not provided to SSRN, Eisler Capital and Amundi Asset Management
Downloads 6,069 (2,734)
Citation 19

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

3.

Regularization of Portfolio Allocation

Number of pages: 35 Posted: 21 Apr 2016
Benjamin Bruder, Nicolas Gaussel, Jean-Charles Richard and Thierry Roncalli
Lyxor Asset Management, Metori Capital Management, Eisler Capital and Amundi Asset Management
Downloads 1,735 (21,267)
Citation 15

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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

4.

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 1,727 (21,409)
Citation 17

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5.

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 1,486 (26,836)
Citation 2

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Socially Responsible Investment, ESG, Factor Investing

6.

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 1,447 (27,928)
Citation 18

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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

7.

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 948 (51,379)
Citation 3

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

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 919 (53,639)
Citation 4

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

9.

Portfolio Allocation of Hedge Funds

Number of pages: 38 Posted: 10 Apr 2011
Benjamin Bruder, Serge Darolles, Abdul K. Koudiraty and Thierry Roncalli
Lyxor Asset Management, Université Paris Dauphine - DRM-CEREG, affiliation not provided to SSRN and Amundi Asset Management
Downloads 748 (70,848)
Citation 4

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

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 59 (735,933)

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