Thierry Michel

Lombard Odier & Cie

11 rue de la Corraterie

Geneva, 1211

Switzerland

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 11,236

SSRN RANKINGS

Top 11,236

in Total Papers Downloads

3,269

CITATIONS
Rank 30,769

SSRN RANKINGS

Top 30,769

in Total Papers Citations

7

Scholarly Papers (6)

1.

Generalized Risk-Based Investing

Number of pages: 43 Posted: 24 Jan 2013 Last Revised: 20 Apr 2013
Emmanuel Jurczenko, Thierry Michel and Jerome Teiletche
ESCP Europe, Lombard Odier & Cie and Unigestion
Downloads 1,892 (4,069)
Citation 5

Abstract:

Risk-Based Investing, Minimum Variance, Risk Parity, Maximum Diversification, Equal-Weight, Low-Vol Anomaly

2.

A Volatility Driven Asset Allocation

Number of pages: 19 Posted: 13 Nov 2010
Laurent Michel, Thierry Michel and Christophe Morel
Lombard Odier & Cie, Lombard Odier & Cie and Université Paris Dauphine - DRM-CEREG
Downloads 321 (66,366)

Abstract:

asset allocation, rebalancing strategy, volatility

3.

High Watermarks of Market Risk

Number of pages: 20 Posted: 01 Mar 2007 Last Revised: 12 Nov 2010
University of Orléans, CES/CNRS - University of Paris-1 (Panthéon-Sorbonne) and Lombard Odier & Cie
Downloads 128 (170,215)
Citation 2

Abstract:

Financial Crisis, Volatility Estimators Distributions, Range-based Volatility, Extreme Value, High Frequency Data

4.

Misalignments and Aggregated Volatility

Number of pages: 12 Posted: 02 Mar 2007
ESG, University of Orléans and Lombard Odier & Cie
Downloads 88 (226,999)

Abstract:

Realized Volatility, Volatility Forecasting, Asymmetry

5.

A 'Smart' Alpha Overlay

Number of pages: 13 Posted: 17 Sep 2015
Alexey Medvedev and Thierry Michel
Lombard Odier & Cie and Lombard Odier & Cie
Downloads 72 (73,182)

Abstract:

asset allocation, portfolio construction, alpha overlay, active views, minimum risk, expected returns

6.

Metaheuristic Construction of Long-Only Risk Budgeted Futures Portfolio with Maximal Diversification Index

Number of pages: 34 Posted: 26 Jun 2015 Last Revised: 29 Jun 2015
Vijayalakshmi G A Pai and Thierry Michel
PSG College of Technology and Lombard Odier & Cie
Downloads 53 (249,816)

Abstract:

Futures portfolio; Diversification Ratio; Risk Budgeting; Multi-objective Optimization; Differential Evolution