Jiali Xu

Amundi Asset Management

90 Boulevard Pasteur

Paris, 75015

France

SCHOLARLY PAPERS

9

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Top 41,629

in Total Papers Downloads

1,664

SSRN CITATIONS
Rank 49,354

SSRN RANKINGS

Top 49,354

in Total Papers Citations

3

CROSSREF CITATIONS

10

Scholarly Papers (9)

1.

Multi-Period Portfolio Optimization

Number of pages: 62 Posted: 05 May 2022
Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 379 (113,074)

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Multi-period optimization, portfolio allocation, ADMM, block coordinate descent, quadratic programming, coupling variables, transition management, total variation regularization, optimal trading trajectory problem, portfolio decarbonization, net zero alignment

2.

Graph Neural Networks for Asset Management

Number of pages: 59 Posted: 02 Feb 2022
Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 376 (114,058)

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Machine learning, graph learning, hypergraph learning, graph neural networks, graph convolutional networks, graph attention networks, quantitative asset management, backtesting, trading strategy

Random Matrix Theory Applied to Correlations in Operational Risk

Number of pages: 28 Posted: 30 Mar 2015
Société Générale, Société Générale, Sciences Po - Sciences Po, Students, Amundi Asset Management and Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)
Downloads 268 (162,173)

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operational risk modeling, correlation and dependence measures, random matrix theory, small samples, ORX database, factor models

Random Matrix Theory Applied to Correlations in Operational Risk

Journal of Operational Risk, Vol. 10, No. 4, 2015
Number of pages: 28 Posted: 02 Jul 2016
Société Générale, Société Générale, Sciences Po - Sciences Po, Students, Amundi Asset Management and Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)
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operational risk modeling, correlation and dependence measures, random matrix theory, small samples, ORX database, factor models

4.

Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks

Number of pages: 72 Posted: 05 Aug 2020
Amundi Asset Management, affiliation not provided to SSRN, Amundi Asset Management and Amundi Asset Management
Downloads 199 (216,156)

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Machine learning, generative approach, discriminative approach, restricted Boltzmann machine, generative adversarial network, Wasserstein distance, market generator, quantitative asset management, backtesting, trading strategy

5.

Financial Applications of Gaussian Processes and Bayesian Optimization

Number of pages: 42 Posted: 03 Apr 2019
Université Lyon 1 - Ecole Normale Supérieure (ENS) de Lyon, Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 165 (253,878)
Citation 5

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Gaussian process, Bayesian optimization, machine learning, kernel function, hyperparameter selection, regularization, time-series prediction, asset allocation, portfolio optimization, trend-following strategy, moving-average estimator, ADMM, Cholesky trick

The Benefit of Using Random Matrix Theory to Fit High-Dimensional T-Copulas

Number of pages: 19 Posted: 19 Mar 2016 Last Revised: 22 Mar 2016
Jiali Xu and Loïc Brin
Amundi Asset Management and Société Générale
Downloads 104 (361,752)

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Random Matrix Theory, Denoising technique, Student's t-copulas, Large Dimension, Risk Modeling, Operational Risk

The Benefit of Using Random Matrix Theory to Fit High-Dimensional T-Copulas

Journal of Operational Risk, Forthcoming
Number of pages: 21 Posted: 02 Nov 2016
Jiali Xu and Loïc Brin
Amundi Asset Management and Société Générale
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random matrix theory (RMT), denoising technique, t-copulas, large dimension, risk modeling, operational risk

7.

A Note on Portfolio Optimization with Quadratic Transaction Costs

Number of pages: 18 Posted: 22 Sep 2020
National School for Statistical and Economic Administration (ENSAE), Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 92 (388,461)

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Portfolio allocation, mean-variance optimization, transaction cost, quadratic programming, alternating direction method of multipliers

8.

Unsupervised Learning Applied to the Grouped t-Copula or the Modeling of Real-Life Dependence

Number of pages: 28 Posted: 17 Jan 2018
Société Générale, Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE), Société Générale, Sciences Po - Sciences Po, Students and Amundi Asset Management
Downloads 81 (419,529)

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grouped t-copula, statistical clustering, correlation and dependence measures, tail dependence, copula calibration

9.

Factor Investing in Currency Markets: Does it Make Sense?

The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 141-155; DOI: https://doi.org/10.3905/jpm.2019.1.116
Posted: 09 Jul 2019
Paris School of Economics (PSE), Université Paris I Panthéon-Sorbonne, Banque de France, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Amundi Asset Management

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foreign exchange rates, factor investing, carry, value, momentum, reversal, interest rate parity, purchasing power parity, BEER, FEER, NATREX, cross-section analysis, time-series analysis, risk premium, basket hedging, overlay management, risk aggregation, alpha strategy