Thierry Michel

TOBAM

49-53 av. Champs Elysées

Paris, 75008

France

SCHOLARLY PAPERS

6

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4,263

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CROSSREF CITATIONS

10

Scholarly Papers (6)

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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
EDHEC Business School, TOBAM and Unigestion
Downloads 2,971 (6,531)
Citation 9

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

2.

A 'Smart' Alpha Overlay

Number of pages: 13 Posted: 17 Sep 2015
Alexey Medvedev and Thierry Michel
Lombard Odier & Cie and TOBAM
Downloads 490 (88,646)

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

3.

A Volatility Driven Asset Allocation

Number of pages: 19 Posted: 13 Nov 2010
Laurent Michel, Thierry Michel and Christophe Morel
Lombard Odier & Cie, TOBAM and Université Paris Dauphine - DRM-CEREG
Downloads 419 (106,650)

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asset allocation, rebalancing strategy, volatility

4.

High Watermarks of Market Risk

Number of pages: 20 Posted: 01 Mar 2007 Last Revised: 12 Nov 2010
Bertrand B. Maillet, Jean-Philippe Medecin and Thierry Michel
EMLyon Business School (Paris Campus), CES/CNRS - University of Paris-1 (Panthéon-Sorbonne) and TOBAM
Downloads 158 (280,898)
Citation 3

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

5.

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 TOBAM
Downloads 113 (363,025)

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

6.

Misalignments and Aggregated Volatility

Number of pages: 12 Posted: 02 Mar 2007
Christophe Boucher, Bertrand B. Maillet and Thierry Michel
ESG, EMLyon Business School (Paris Campus) and TOBAM
Downloads 112 (365,393)

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Realized Volatility, Volatility Forecasting, Asymmetry