Guillaume Weisang

affiliation not provided to SSRN

SCHOLARLY PAPERS

6

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Top 4,747

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8,705

SSRN CITATIONS
Rank 24,324

SSRN RANKINGS

Top 24,324

in Total Papers Citations

8

CROSSREF CITATIONS

21

Scholarly Papers (6)

1.

Risk Parity Portfolios with Risk Factors

Number of pages: 32 Posted: 03 Oct 2012 Last Revised: 06 Oct 2012
Thierry Roncalli and Guillaume Weisang
Amundi Asset Management and affiliation not provided to SSRN
Downloads 3,279 (3,165)
Citation 10

Abstract:

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risk parity, risk budgeting, factor model, ERC portfolio, diversification, concentration, Fama-French model, hedge fund allocation, strategic asset allocation

2.

Risk Management Lessons from Madoff Fraud

Number of pages: 39 Posted: 18 Mar 2009 Last Revised: 08 Apr 2009
Pierre Clauss, Thierry Roncalli and Guillaume Weisang
Société Générale, Amundi Asset Management and affiliation not provided to SSRN
Downloads 2,411 (5,329)
Citation 10

Abstract:

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Madoff fraud, Ponzi scheme, operational risk, due diligence, supervision, hedge funds, bull spread strategy, split strike conversion

3.

Tracking Problems, Hedge Fund Replication and Alternative Beta

Number of pages: 66 Posted: 12 Jan 2009 Last Revised: 20 Apr 2009
Thierry Roncalli and Guillaume Weisang
Amundi Asset Management and affiliation not provided to SSRN
Downloads 1,939 (7,712)
Citation 13

Abstract:

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Tracking problem, hedge fund replication, alternative beta, global tactical asset allocation, Bayes filter, Kalman filter, particle filter, non-linear exposure, alpha

4.

Asset Management and Systemic Risk

Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 52 Posted: 29 May 2015
Thierry Roncalli and Guillaume Weisang
Amundi Asset Management and affiliation not provided to SSRN
Downloads 640 (40,654)
Citation 4

Abstract:

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Systemic risk, SIFI, asset managers, asset owners, interconnectedness, liquidity risk, reputational risk, business risk, counterparty credit risk, market risk, liquidation period, index funds, money market funds, exchange traded funds, hedge funds

5.

Factor Selection in Hedge Fund Replication Dynamic Models

Number of pages: 36 Posted: 13 May 2011 Last Revised: 26 May 2011
Guillaume Weisang
affiliation not provided to SSRN
Downloads 310 (98,157)
Citation 1

Abstract:

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Tracking problem, hedge fund replication, alternative beta, Kalman filter, Factor Selection, Model Selection

6.

A Robust Approach to Misspecifications and Non Linearities for Hedge Fund Replication and Alternative Beta

Number of pages: 51 Posted: 14 May 2011
Guillaume Weisang
affiliation not provided to SSRN
Downloads 126 (226,645)

Abstract:

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Minimax Filter, Hedge Fund Replication, Alternative Beta, Robust Methodology, Detection of Non Linearities