Edmond Lezmi

Amundi Asset Management

90 Boulevard Pasteur

Paris, 75015

France

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 17,248

SSRN RANKINGS

Top 17,248

in Total Papers Downloads

3,014

SSRN CITATIONS
Rank 42,479

SSRN RANKINGS

Top 42,479

in Total Papers Citations

4

CROSSREF CITATIONS

10

Scholarly Papers (5)

1.

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

Number of pages: 102 Posted: 09 Oct 2017
Ecole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Millennium Capital Management, France branch
Downloads 2,248 (6,545)
Citation 6

Abstract:

Loading...

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 374 (85,314)
Citation 5

Abstract:

Loading...

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 320 (101,412)
Citation 2

Abstract:

Loading...

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

4.

Financial Applications of Gaussian Processes and Bayesian Optimization

Number of pages: 42 Posted: 03 Apr 2019
Ecole Normale Supérieure (ENS) de Lyon, Amundi Asset Management, Amundi Asset Management and Societe Generale
Downloads 72 (347,041)
Citation 4

Abstract:

Loading...

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

5.

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 Societe Generale

Abstract:

Loading...

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