Jiali Xu

Amundi Asset Management

90 Boulevard Pasteur

Paris, 75015

France

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 12,777

SSRN RANKINGS

Top 12,777

in Total Papers Downloads

7,810

TOTAL CITATIONS
Rank 24,417

SSRN RANKINGS

Top 24,417

in Total Papers Citations

50

Scholarly Papers (14)

1.

Time Series Forecasting with Transformer Models and Application to Asset Management

Number of pages: 44 Posted: 07 Mar 2023
Edmond Lezmi and Jiali Xu
Amundi Asset Management and Amundi Asset Management
Downloads 2,208 (14,462)

Abstract:

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Machine Learning, Transformer Model, Attention Mechanism, Seq2Seq Architecture, Time Series Forecasting, Quantitative Asset Management, Backtesting, Trading Strategy, Multi-Period Optimization

2.

Multi-Period Portfolio Optimization

Number of pages: 62 Posted: 05 May 2022
Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 1,432 (28,323)

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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

3.

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 1,162 (38,421)
Citation 45

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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

4.

Risk Factor, Risk Premium and Black-Litterman Model

Number of pages: 59 Posted: 14 Nov 2024
University Paris-Saclay, Amundi Asset Management and Amundi Asset Management
Downloads 861 (58,566)

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Factor model, risk premium, Black-Litterman model, minimum-variance portfolio, active management, tactical asset allocation JEL Classification: C02

5.

Net Zero Investment Portfolios - Part 2. The Core-Satellite Approach

Number of pages: 69 Posted: 25 Oct 2023 Last Revised: 03 Nov 2023
Amundi Institute, Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 381 (161,597)

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Net zero emissions, core-satellite strategy, decarbonization, transition, greenness, carbon intensity, green intensity, equity allocation, bond allocation, tracking error

6.

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 338 (184,333)

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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

7.

Random Matrix Theory Applied to Correlations in Operational Risk

Number of pages: 28 Posted: 30 Mar 2015
Société Générale, Société Générale, Sciences Po, Amundi Asset Management and Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)
Downloads 324 (192,920)

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

8.

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 301 (208,739)
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

9.

Optimal Decumulation Strategies for Retirement Solutions

Number of pages: 57 Posted: 08 Dec 2023
Amundi Asset Management, affiliation not provided to SSRN, Amundi Technology, affiliation not provided to SSRN, affiliation not provided to SSRN and Amundi Asset Management
Downloads 241 (261,655)

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Decumulation, pension schemes, stochastic optimal control, HJB equation, Monte Carlo simulation.

10.

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 221 (284,405)

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

11.

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 158 (385,081)

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

12.

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 and Amundi Asset Management
Downloads 120 (479,501)

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

13.

Causality Approach Applied to Clean-Tech Equities

Number of pages: 75 Posted: 15 Apr 2024
Edmond Lezmi, Karl Sawaya and Jiali Xu
Amundi Asset Management, affiliation not provided to SSRN and Amundi Asset Management
Downloads 63 (711,368)

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Bayesian network, causal effect, clean-tech, do-calculus, instrumental variable, structural causal model.

14.

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