François Chareyron

Lombard Odier Investment Managers

Portfolio Manager

Avenue des Morgines 6

Geneva, 1213

Switzerland

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Adaptive Supervised Learning for Volatility Targeting Models (Ecml Pkdd Midas 2021 Presentation Slides)

Number of pages: 17 Posted: 20 Sep 2021
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, Ecole Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
Downloads 20,317 (186)

Abstract:

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Volatility targeting, Supervised learning, Best ordering, Model-based and Portfolio allocation, Walk-forward and Features selection.

2.

Adaptive Supervised Learning for Volatility Targeting Models

Université Paris-Dauphine Research Paper No. 3924255
Number of pages: 12 Posted: 20 Sep 2021
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, Ecole Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
Downloads 18,530 (235)

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3.

Adaptive Learning for Financial Markets Mixing Model-Based and Model-Free RL for Volatility Targeting

Forthcoming in AAMAS ALA 2021 workshop, Machine Learning Group, LAMSADE, Dauphine University, MILES Working paper
Number of pages: 10 Posted: 30 Apr 2021 Last Revised: 14 Jun 2021
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, Lombard Odier Investment Management and Lombard Odier Investment Managers
Downloads 6,630 (1,519)
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deep reinforcement learning, volatility targetting, model based RL, model free RL