Romain Perchet

BNP Paribas Asset Management

Head of Multi Asset for Quant Research Group

14 rue Bergere

Paris, 75009

France

  • BNP Paribas Asset Management

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 29,205

SSRN RANKINGS

Top 29,205

in Total Papers Downloads

3,678

TOTAL CITATIONS

5

Scholarly Papers (7)

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1.

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

Number of pages: 29 Posted: 25 Jan 2014
Romain Perchet, Raul Leote de Carvalho, Thomas Heckel and Pierre Moulin
BNP Paribas Asset Management, BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Investment Partners
Downloads 2,130 (15,569)
Citation 4

Abstract:

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

2.

Allocating to Thematic Investments

This is the Accepted Manuscript of the article "Allocating to Thematic Investments, Koye Somefun, Romain Perchet, Chenyang Yin, Raul Leote de Carvalho", published by Taylor & Francis in the Financial Analysts Journal, doi/abs/10.1080/0015198X.2022.2112895
Number of pages: 21 Posted: 16 Sep 2021 Last Revised: 15 Sep 2022
Koye Somefun, Romain Perchet, Chenyang Yin and Raul Leote de Carvalho
BNP Paribas Asset Management, BNP Paribas Asset Management, Quantitative Research Group and BNP Paribas Asset Management
Downloads 974 (50,222)
Citation 1

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Thematic investing, Themes, Portfolio construction, Portfolio Optimisation, Asset Allocation, Core satellite.

3.

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

Number of pages: 30 Posted: 09 Sep 2015
Romain Perchet, Lu Xiao, Raul Leote de Carvalho and Thomas Heckel
BNP Paribas Asset Management, BNP Paribas Investment Partners, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 574 (100,708)

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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.

Mass Customization of Asset Allocation

The Journal of Investing, April 2022, 31 (3) 73 - 97 DOI: 10.3905/joi.2021.1.217
Posted: 16 Sep 2021 Last Revised: 11 Apr 2024
Tarek Issaoui, Romain Perchet, Olivier Retière, François Soupé, Chenyang Yin and Raul Leote de Carvalho
affiliation not provided to SSRN, BNP Paribas Asset Management, BNP Paribas - BNP Paribas Asset Management, BNP Paribas Asset Management, Quantitative Research Group and BNP Paribas Asset Management

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Tactical asset allocation, active-risk budgeting, robust portfolio optimization, multi-asset, investment committee, asset allocation, portfolio construction

5.

Tailor-Made Asset Allocation: A Robust Framework to Implement Active Views

Posted: 27 Feb 2021
Tarek Issaoui, Romain Perchet, Olivier Retière, François Soupé and Chenyang Yin
affiliation not provided to SSRN, BNP Paribas Asset Management, BNP Paribas - BNP Paribas Asset Management, BNP Paribas Asset Management and Quantitative Research Group

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Tactical Asset allocation, Active risk budgeting, Robust portfolio optimization, Multi-asset, Investment Committee, Asset allocation views, Portfolio construction

6.

A Practical Guide to Robust Portfolio Optimization

Posted: 08 Dec 2019 Last Revised: 22 Dec 2020
Chenyang Yin, Romain Perchet and François Soupé
Quantitative Research Group, BNP Paribas Asset Management and BNP Paribas Asset Management

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

7.

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
Romain Perchet, Raul Leote de Carvalho and Pierre Moulin
BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Investment Partners

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

Other Papers (1)

Total Downloads: 76
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1.

PRIIPs Regulation Unwrapped: Essential Aspects and Practical Implications

Number of pages: 27 Posted: 20 Mar 2023 Last Revised: 05 Dec 2023
Romain Perchet, Nicolas Herambourg and Raul Leote de Carvalho
BNP Paribas Asset Management, BNP Paribas and BNP Paribas Asset Management
Downloads 76 (778,288)

Abstract:

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PRIIP, UCITS, Funds, Retail Investor, Performance Scenarios, Risk, KID, SRI, SRRI