Corentin Bourdeix

École Polytechnique Fédérale de Lausanne

Quartier UNIL-Dorigny, Bâtiment Extranef, # 211

40, Bd du Pont-d'Arve

CH-1015 Lausanne, CH-6900

Switzerland

  • École Polytechnique Fédérale de Lausanne

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1.

Adaptive Supervised Learning for Volatility Targeting Models (Ecml Pkdd Midas 2021 Presentation Slides)

Number of pages: 17 Posted: 20 Sep 2021
Eric Benhamou, David Saltiel, Serge Tabachnik, Corentin Bourdeix, François Chareyron and Beatrice Guez
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, École Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
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Volatility targeting, Supervised learning, Best ordering, Model-based and Portfolio allocation, Walk-forward and Features selection.

2.

Adaptive Supervised Learning for Volatility Targeting Models

Université Paris-Dauphine Research Paper No. 3924255
Number of pages: 12 Posted: 20 Sep 2021
Eric Benhamou, David Saltiel, Serge Tabachnik, Corentin Bourdeix, François Chareyron and Beatrice Guez
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, École Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
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