Tung-Lam Dao

Millennium Capital Management, France branch

Portfolio Manager

2 Rue Jean Rostand

Orsay, 91400

France

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 4,412

SSRN RANKINGS

Top 4,412

in Total Papers Downloads

9,832

SSRN CITATIONS
Rank 33,655

SSRN RANKINGS

Top 33,655

in Total Papers Citations

2

CROSSREF CITATIONS

19

Scholarly Papers (7)

1.

Trend Filtering Methods for Momentum Strategies

Number of pages: 49 Posted: 07 Jul 2013
Lyxor Asset Management, Millennium Capital Management, France branch, Eisler Capital and Amundi Asset Management
Downloads 3,029 (4,008)
Citation 13

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
Ecole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Millennium Capital Management, France branch
Downloads 2,305 (6,360)
Citation 6

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
Millennium Capital Management, France branch, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 2,067 (7,622)
Citation 3

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 1,653 (11,077)

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 373 (86,227)
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 298 (110,683)

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
Ecole Normale Superiéure (ENS), Millennium Capital Management, France branch and Capital Fund Management
Downloads 107 (273,785)
Citation 2

Abstract:

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