The concept of alternative risk premia is an extension of the factor investing approach. Factor investing consists in building long-only equity portfolios, which are directly exposed to common risk factors like size, value or momentum. Alternative risk premia designate non-traditional risk...

In this article, we consider a new framework to understand risk-based portfolios (GMV, EW, ERC and MDP). This framework is similar to the constrained minimum variance model of Jurczenko et al. (2013), but with another definition of the diversification constraint. The corresponding optimization...

This article develops a model that takes into account skewness risk in risk parity portfolios. In this framework, asset returns are viewed as stochastic processes with jumps or random variables generated by a Gaussian mixture distribution. This dual representation allows us to show that skewness...

In the last few years, the financial advisory industry has been impacted by the emergence of digitalization and robo-advisors. This phenomenon affects major financial services, including wealth management, employee savings plans, asset managers, private banks, pension funds, banking services,...

In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore two methods that have undergone rapid development in recent years: Gaussian processes and Bayesian optimization. Gaussian processes can be seen as...

This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the optimization program is particularly critical in order to...

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market...