Edmond Lezmi

Amundi Asset Management

90 Boulevard Pasteur

Paris, 75015

France

SCHOLARLY PAPERS

4

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Rank 20,864

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Top 20,864

in Total Papers Downloads

2,231

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Scholarly Papers (4)

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 Capital Fund Management
Downloads 1,752 (8,820)

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.

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 230 (130,609)

Abstract:

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

3.

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 210 (142,574)

Abstract:

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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

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 39 (420,812)

Abstract:

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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