Tung-Lam Dao

Millennium Capital Management, France branch

Portfolio Manager

2 Rue Jean Rostand

Orsay, 91400

France

  • Millennium Capital Management, France branch

    • Email
    • Tel: +33651093563
SCHOLARLY PAPERS

7

DOWNLOADS
Rank 3,894

SSRN RANKINGS

Top 3,894

in Total Papers Downloads

14,079

SSRN CITATIONS
Rank 33,645

SSRN RANKINGS

Top 33,645

in Total Papers Citations

5

CROSSREF CITATIONS

19

Scholarly Papers (7)

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Email selected abstracts
1.

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, Millennium Capital Management, France branch, Eisler Capital and Amundi Asset Management
Downloads 4,379 (3,065)
Citation 17

Abstract:

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

2.

Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies

Number of pages: 102 Posted: 09 Oct 2017
Paul Jusselin, Paul Jusselin, Edmond Lezmi, Hassan Malongo, Côme Masselin, Thierry Roncalli and Tung-Lam Dao
Ecole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP), StudentsEcole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Millennium Capital Management, France branch
Downloads 3,747 (3,957)
Citation 7

Abstract:

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Momentum risk premium, trend-following strategy, cross-section momentum, time-series momentum, alternative risk premium, market anomaly, diversification, correlation, payoff, trading impact, hedging, skewness, Gaussian quadratic forms, Kalman filter, EWMA

3.

Tail Protection for Long Investors: Trend Convexity at Work

Number of pages: 26 Posted: 09 May 2016 Last Revised: 07 Jul 2016
Tung-Lam Dao, Trung-Tu Nguyen, Cyril Deremble, Yves Lemperiere, Jean-Philippe Bouchaud, Marc Potters and Marc Potters
Millennium Capital Management, France branch, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund ManagementCapital Fund Management
Downloads 2,866 (6,260)
Citation 4

Abstract:

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Trend Following, Convexity, Volatility, Option Hedging, Variance Swap, CTA, Risk Parity, Tail Risk, Protection

4.

Momentum Strategies: From Novel Estimation Techniques to Financial Applications

Number of pages: 212 Posted: 26 Nov 2013 Last Revised: 23 Dec 2013
Tung-Lam Dao
Millennium Capital Management, France branch
Downloads 1,892 (12,182)

Abstract:

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Momentum strategy, L1 filtering, L2 filtering, trend-following, meanreverting, volatility, voltarget, range-based estimator, high-low estimator, microstructure noise, machine learning, support vector machine, regression, classification, stock selection, CTA , Kalman filter, Chi-square distribution.

5.

Systematic Asset Management

Number of pages: 19 Posted: 30 Jul 2018
Tung-Lam Dao
Millennium Capital Management, France branch
Downloads 582 (65,555)
Citation 1

Abstract:

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Asset Management, Alpha, Beta, Portfolio Construction, Prediction, Risk Management, Value at Risk, Trend Following, Filter, Volatility

6.

Momentum Strategies with L1 Filter

Journal of Investment Strategies 3(4), 1–26
Number of pages: 22 Posted: 16 May 2016
Tung-Lam Dao
Millennium Capital Management, France branch
Downloads 447 (90,516)

Abstract:

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Momentum strategy, L1 filtering, L2 filtering, trend following, mean-reverting, cross validation

7.

Skew and Implied Leverage Effect: Smile Dynamics Revisited

Number of pages: 12 Posted: 09 Mar 2017
Vincent Vargas, Tung-Lam Dao and Jean-Philippe Bouchaud
Ecole Normale Superiéure (ENS), Millennium Capital Management, France branch and Capital Fund Management
Downloads 166 (247,052)
Citation 2

Abstract:

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skew, implied leverage effect, volatility smile, skew-stickiness ratio