Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction. Until now, investors have mainly measured carbon risk using fundamental approaches, such as with carbon intensity metrics. Nevertheless, it has not been...

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...

These presentation slides correspond to an advanced course in financial risk management given at the University of Evry/Paris-Saclay. They cover the following topics:Lecture 1. Introduction to Financial Risk ManagementLecture 2. Market RiskLecture 3. Credit RiskLecture 4. Counterparty Credit...

1. Introduction. Part I Risk Management in the Financial Sector. 2. Market Risk. 3. Credit Risk. 4. Counterparty Credit Risk and Collateral Risk. 5. Operational Risk. 6. Liquidity Risk. 7. Asset Liability Management Risk. 8. Systemic Risk and Shadow Banking System. Part II Mathematical and...

In this article, we consider a multi-period portfolio optimization problem, which is an extension of the single-period mean-variance model. We discuss several formulations of the objective function, constraints and coupling relationships. We then derive three numerical algorithms that can be...

These lectures notes have been written for the course in Sustainable Finance given at the University of Paris-Saclay. The 725 slides cover the following topics: (1) the Market of ESG Investing, Ecosystem of Responsible Investing (2) ESG Scoring & Ratings, Performance of ESG Investing, ESG...

Research in hedge fund investing proposes different solutions to build optimal hedge fund portfolios. However, these solutions are direct extensions of the usual meanvariance framework, and still suffer from model risks. More complex approaches start to be used but are related to numerous...

Several years ago, the concept of target-date funds emerged to complement traditional balanced funds in defined-contribution pension plans. The main idea is to delegate the dynamic allocation with respect to the retirement date of individuals to the portfolio manager. Owing to its long-term...

This paper studies trend filtering methods. These methods are widely used in momentum strategies, which correspond to an investment style based only on the history of past prices. For example, the CTA strategy used by hedge funds is one of the best-known momentum strategies. In this paper, we...

Risk parity is an allocation method used to build diversified portfolios that does not rely on any assumptions of expected returns, thus placing risk management at the heart of the strategy. This explains why risk parity became a popular investment model after the global financial crisis in...