Romain Perchet

BNP Paribas Asset Management

Head of Multi Asset for Quant Research Group

14 rue Bergere

Paris, 75009

France

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 23,780

SSRN RANKINGS

Top 23,780

in Total Papers Downloads

2,705

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (7)

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 1,957 (10,369)
Citation 4

Abstract:

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

2.

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 425 (87,989)

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

3.

Mass Customization of Asset Allocation

Number of pages: 29 Posted: 16 Sep 2021
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
Downloads 195 (197,682)

Abstract:

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

4.

Allocating to Thematic Investments

Number of pages: 15 Posted: 16 Sep 2021
affiliation not provided to SSRN, BNP Paribas Asset Management, Quantitative Research Group and BNP Paribas Asset Management
Downloads 128 (280,153)

Abstract:

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

5.

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

Posted: 27 Feb 2021
affiliation not provided to SSRN, BNP Paribas Asset Management, BNP Paribas - BNP Paribas Asset Management, BNP Paribas Asset Management and Quantitative Research Group

Abstract:

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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

Abstract:

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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
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