Romain Perchet

BNP Paribas Asset Management

Head of Multi Asset for Quant Research Group

14 rue Bergere

Paris, 75009

France

Ecole des Hautes Etudes en Sciences Sociales (EHESS)

54, boulevard Raspail

Paris, 75006

France

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 19,923

SSRN RANKINGS

Top 19,923

in Total Papers Downloads

2,631

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (4)

1.

Inter-Temporal Risk Parity: A Constant Volatility Framework for Equities and Other Asset Classes

Number of pages: 29 Posted: 25 Jan 2014
BNP Paribas Asset Management, BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Investment Partners
Downloads 1,743 (10,151)
Citation 4

Abstract:

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risk parity, constant volatility, asset allocation, risk budget, GARCH

2.

A Practical Guide to Robust Portfolio Optimization

Number of pages: 35 Posted: 08 Dec 2019 Last Revised: 16 Jun 2020
Chenyang Yin, Romain Perchet and François Soupé
Quantitative Research Group, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 514 (58,577)

Abstract:

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Robust optimization, Portfolio construction, Mean-variance optimization, Multi-asset, Asset Allocation

3.

Insights into Robust Portfolio Optimization: Decomposing Robust Portfolios into Mean-Variance and Risk-Based Portfolios

Number of pages: 30 Posted: 09 Sep 2015
BNP Paribas Asset Management, BNP Paribas Investment Partners, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 374 (85,976)

Abstract:

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portfolio optimization, portfolio construction, robust optimization, risk-based portfolios, minimum variance, risk parity, equal-risk budget, equally-weighted, mean-variance, Markowitz

4.

Inter-Temporal Risk Parity: A Constant Volatility Framework for Factor Investing

Journal of Investment Strategies, vol. 4, no. 1, 2014
Posted: 25 May 2014 Last Revised: 03 Feb 2015
BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Investment Partners

Abstract:

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Risk Parity, constant volatility, factor investing, smart beta, value, momentum