In this article, we show how to take into account skewness risk in portfolio allocation. Until recently, this issue has been seen as a purely statistical problem, since skewness corresponds to the third statistical moment of a probability distribution. However, in finance, the concept of...

The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing. Today, institutional investors structure their strategic asset allocation around five risk factors: size, value, low beta, momentum and quality. This approach has been...

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...

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...

In this short note, we consider mean-variance optimized portfolios with transaction costs. We show that introducing quadratic transaction costs makes the optimization problem more difficult than using linear transaction costs. The reason lies in the specification of the budget constraint, which...

This article explores the use of machine learning models to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial time series, whose statistical properties are the same as those observed in the financial markets. In particular, these synthetic data...

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...

Fitting simultaneously SPX and VIX smiles is known to be one of the most challenging problems in volatility modeling. A long-standing conjecture due to Julien Guyon is that it may not be possible to calibrate jointly these two quantities with a model with continuous sample-paths. We present the...