Edmond Lezmi

Amundi Asset Management

90 Boulevard Pasteur

Paris, 75015

France

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 10,242

SSRN RANKINGS

Top 10,242

in Total Papers Downloads

7,028

SSRN CITATIONS
Rank 41,982

SSRN RANKINGS

Top 41,982

in Total Papers Citations

7

CROSSREF CITATIONS

10

Scholarly Papers (9)

1.

Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies

Number of pages: 102 Posted: 09 Oct 2017
Ecole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP), StudentsEcole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and affiliation not provided to SSRN
Downloads 4,127 (3,632)
Citation 7

Abstract:

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Momentum risk premium, trend-following strategy, cross-section momentum, time-series momentum, alternative risk premium, market anomaly, diversification, correlation, payoff, trading impact, hedging, skewness, Gaussian quadratic forms, Kalman filter, EWMA

2.

Robust Asset Allocation for Robo-Advisors

Number of pages: 67 Posted: 25 Oct 2018 Last Revised: 06 Nov 2018
Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 870 (41,110)
Citation 5

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Robo-Advisor, Asset Allocation, Active Management, Portfolio Optimization, Black-Litterman Model, Spectral Filtering, Machine Learning, Tikhonov Regularization, Mixed Penalty, Ridge Regression, Lasso Method, Sparsity, ADMM Algorithm, Proximal Operator

3.

Portfolio Allocation with Skewness Risk: A Practical Guide

Number of pages: 33 Posted: 15 Jul 2018 Last Revised: 08 Feb 2019
Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 664 (58,837)
Citation 3

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Skewness, Volatility, Expected Shortfall, Stress Scenario, Market Regime, Drawdown, Risk Budgeting, Equal Risk Contribution, Gaussian Mixture Model, Jump-Diffusion Process

4.

Graph Neural Networks for Asset Management

Number of pages: 59 Posted: 02 Feb 2022
Grégoire Pacreau, Edmond Lezmi and Jiali Xu
Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 448 (95,993)

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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

5.

Multi-Period Portfolio Optimization

Number of pages: 62 Posted: 05 May 2022
Edmond Lezmi, Thierry Roncalli and Jiali Xu
Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 435 (99,339)

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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

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 206 (215,807)

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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.

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 175 (248,973)
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

8.

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 103 (372,755)

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

9.

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