Jerome Gava

BNP Paribas

Senior Quantitative Analyst

20 Boulevard des Italiens

Paris, 75009

France

Ecole Polytechnique

Route de Saclay

Palaiseau, 91128

France

http://https://portail.polytechnique.edu/economie/en

SCHOLARLY PAPERS

3

DOWNLOADS

428

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

The Properties of Alpha Risk Parity Portfolios

Gava, Jérôme and Julien Turc. 2022. “The Properties of Alpha Risk Parity Portfolios” Entropy 24, no. 11: 1631. https://www.mdpi.com/1099-4300/24/11/1631
Number of pages: 40 Posted: 28 Sep 2022 Last Revised: 21 Nov 2022
Jerome Gava and Julien Turc
BNP Paribas and BNP Paribas
Downloads 428 (122,496)

Abstract:

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portfolio optimization, risk parity, risk budgeting, generalized entropy, statistical divergence, information theory, information geometry, portfolio selection, investment risk, diversification

2.

Turning Tail Risks into Tailwinds

The Journal of Portfolio Management, 2021 ‘Multi-asset’ Special Edition
Posted: 26 Feb 2021
Jerome Gava, Francisco Guevara and Julien Turc
BNP Paribas, École polytechnique and BNP Paribas

Abstract:

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Risk parity, tail risk, systematic investing, trend following, put underwriting, spectral risk measures, decision theory, cumulative prospect theory, Cornish-Fisher expansion, power-law distributions, copula, vine copula

3.

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

Other Papers (1)

Total Downloads: 0
1.

The Early Bird Catches the Intraday Trend

Posted: 11 Jan 2022
Julien Turc, Jerome Gava and Roxton McNeal
BNP Paribas, BNP Paribas and Independent

Abstract:

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Intraday; trend following; knowledge graphs; equity futures; developed markets; machine learning; systematic investing; portfolio construction; tail risks