90 Boulevard Pasteur
Paris, 75015
France
Amundi Asset Management
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Machine Learning, Transformer Model, Attention Mechanism, Seq2Seq Architecture, Time Series Forecasting, Quantitative Asset Management, Backtesting, Trading Strategy, Multi-Period Optimization
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
Machine learning, graph learning, hypergraph learning, graph neural networks, graph convolutional networks, graph attention networks, quantitative asset management, backtesting, trading strategy
Factor model, risk premium, Black-Litterman model, minimum-variance portfolio, active management, tactical asset allocation JEL Classification: C02
Net zero emissions, core-satellite strategy, decarbonization, transition, greenness, carbon intensity, green intensity, equity allocation, bond allocation, tracking error
Machine learning, generative approach, discriminative approach, restricted Boltzmann machine, generative adversarial network, Wasserstein distance, market generator, quantitative asset management, backtesting, trading strategy
operational risk modeling, correlation and dependence measures, random matrix theory, small samples, ORX database, factor models
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
Decumulation, pension schemes, stochastic optimal control, HJB equation, Monte Carlo simulation.
Portfolio allocation, mean-variance optimization, transaction cost, quadratic programming, alternating direction method of multipliers
Random Matrix Theory, Denoising technique, Student's t-copulas, Large Dimension, Risk Modeling, Operational Risk
grouped t-copula, statistical clustering, correlation and dependence measures, tail dependence, copula calibration
Bayesian network, causal effect, clean-tech, do-calculus, instrumental variable, structural causal model.
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