Jean-Charles Richard

Eisler Capital

16 St. James's Street

London, SW1A1ER

SCHOLARLY PAPERS

5

DOWNLOADS
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Top 7,253

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6,818

SSRN CITATIONS
Rank 22,231

SSRN RANKINGS

Top 22,231

in Total Papers Citations

6

CROSSREF CITATIONS

35

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, Millennium Capital Management, France branch, Eisler Capital and Amundi Asset Management
Downloads 3,135 (3,905)
Citation 14

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 1,509 (13,191)
Citation 14

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 868 (30,125)
Citation 7

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, Metori Capital Management, Eisler Capital and Amundi Asset Management
Downloads 843 (31,435)
Citation 12

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 463 (68,734)
Citation 4

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