Jean-Charles Richard

Eisler Capital

16 St. James's Street

London, SW1A1ER

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 7,898

SSRN RANKINGS

Top 7,898

in Total Papers Downloads

5,629

CITATIONS
Rank 15,214

SSRN RANKINGS

Top 15,214

in Total Papers Citations

33

Scholarly Papers (5)

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, Capital Fund Management, Eisler Capital and Amundi Asset Management
Downloads 2,705 (4,268)
Citation 9

Abstract:

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

2.

A Fast Algorithm for Computing High-Dimensional Risk Parity Portfolios

Number of pages: 9 Posted: 15 Sep 2013 Last Revised: 01 Oct 2013
Imperial College London, Eisler Capital and Amundi Asset Management
Downloads 1,329 (13,856)
Citation 10

Abstract:

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Risk parity, risk budgeting, ERC portfolio, cyclical coordinate descent algorithm, SQP algorithm, Jacobi algorithm, Newton algorithm, Nesterov algorithm

3.

Smart Beta: Managing Diversification of Minimum Variance Portfolios

Number of pages: 27 Posted: 18 Apr 2015 Last Revised: 20 Apr 2015
Jean-Charles Richard and Thierry Roncalli
Eisler Capital and Amundi Asset Management
Downloads 794 (29,639)
Citation 6

Abstract:

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Smart beta, risk-based allocation, minimum variance portfolio, GMV, EW, ERC, MDP, portfolio optimization, CCD algorithm

4.

Regularization of Portfolio Allocation

Number of pages: 35 Posted: 21 Apr 2016
Benjamin Bruder, Nicolas Gaussel, Jean-Charles Richard and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management, Eisler Capital and Amundi Asset Management
Downloads 618 (41,609)
Citation 9

Abstract:

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Portfolio optimization, active management, estimation error, shrinkage estimator, resampling methods, eigendecomposition, norm constraints, Lasso regression, ridge regression, information matrix, hedging portfolio, sparsity

5.

Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles

Number of pages: 36 Posted: 25 Feb 2019 Last Revised: 01 Mar 2019
Jean-Charles Richard and Thierry Roncalli
Eisler Capital and Amundi Asset Management
Downloads 183 (163,381)
Citation 1

Abstract:

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Risk budgeting, large-scale optimization, Lagrange function, cyclical coordinate descent (CCD), alternating direction method of multipliers (ADMM), proximal operator, Dykstra's algorithm, turnover, liquidity, risk parity, smart beta portfolio