William Lefebvre

Laboratoire de Probabilités, Statistique et Modélisation (LPSM)

PhD student

5 Rue Thomas Mann

Paris, Paris 75013

France

BNP Paribas

PhD candidate - Quantitative analyst

20 Boulevard des Italiens

Paris, 75009

France

SCHOLARLY PAPERS

2

DOWNLOADS

79

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Mean-Variance Portfolio Selection with Tracking Error Penalization

Number of pages: 29 Posted: 05 Nov 2020
William Lefebvre, Gregoire Loeper and Huyên Pham
Laboratoire de Probabilités, Statistique et Modélisation (LPSM), BNP Paribas and Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Downloads 79 (546,456)

Abstract:

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Continuous-time mean-variance problem, tracking error, robust allocation, parameter misspecification

2.

Beyond Carry and Momentum in Government Bonds

The Journal of Fixed Income, Spring 2020
Posted: 07 Sep 2019 Last Revised: 27 Dec 2020
Jerome Gava, William Lefebvre and Julien Turc
BNP Paribas, Laboratoire de Probabilités, Statistique et Modélisation (LPSM) and BNP Paribas

Abstract:

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Factor and style investing, xed income, macroeconomy, macro- nance, seasonality, mean-reversion, machine learning, variables selection, panel regression, clustering, covariance selection, selection bias under multiple testing