Jean-Philippe Gagnon Fleury

Université Laval - Département de Finance et Assurance

Pavillon Palasis-Prince

Quebec G1K 7P4

Canada

SCHOLARLY PAPERS

2

DOWNLOADS

813

SSRN CITATIONS

6

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

The Impact of Covariance Misspecification in Risk-Based Portfolios

Annals of Operation Research, Vol. 254, No. 1, pp. 1-16, 2017
Number of pages: 17 Posted: 28 Aug 2015 Last Revised: 15 Nov 2017
David Ardia, Guido Bolliger, Kris Boudt and Jean-Philippe Gagnon Fleury
HEC Montreal - Department of Decision Sciences, Asteria Investment Managers, Ghent University and Université Laval - Département de Finance et Assurance
Downloads 813 (46,082)
Citation 6

Abstract:

Loading...

Covariance misspecification, Monte Carlo study, Risk-based portfolios

2.

RiskPortfolios: Computation of Risk-based Portfolios in R

Journal of Open Source Software, Vol 10, No. 2, 2017
Posted: 04 Feb 2017 Last Revised: 06 Feb 2017
David Ardia, Kris Boudt and Jean-Philippe Gagnon Fleury
HEC Montreal - Department of Decision Sciences, Ghent University and Université Laval - Département de Finance et Assurance

Abstract:

Loading...

Risk-based portfolios, optimization, R software