Research
Book
Goal-Based Investing: Theory and Practice. (with L. Martellini and V. Milhau)
World Scientific Publishing Co Pte Ltd, July 2021.
ISBN-13: 978-9811240942
Order directly from the publisher’s website, Amazon (France), Amazon (US) or Amazon (UK).
Working Papers
Biodiversity and Climate: Friends or Foes? (with E. Bouyé, E. Jurczenko and J. Teiletche)
From Fund Separation Theorems to Fund Interaction Theorems. (with L. Martellini and V. Milhau)
Publications
Unexpected Opportunities in Misspecified Predictive Regressions. (with G. Coqueret)
European Journal of Operational Research 2024, Volume 318, Issue 2, Pages 686 – 700.
Blockchain Adoption and Optimal Reinsurance Design. (with H. Amini, E. Iyidogan and A. Minca)
European Journal of Operational Research 2024, Volume 318, Issue 1, Pages 341 – 353.
An Empirical Analysis of the Benefits of Corporate Bond Portfolio Optimization in the Presence of Duration Constraints. (with L. Martellini and V. Milhau)
The Journal of Fixed Income, Spring 2022, Volume 31, Issue 4, Pages 50 – 82.
Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions. (with L. Martellini and A. Meucci)
The Journal of Portfolio Management 2022, Multi-Asset Special Issue, Volume 48, Issue 4, Pages 108 – 135.
Bond Portfolio Optimization in the Presence of Duration Constraints. (with F. Fabozzi, L. Martellini and V. Milhau)
The Journal of Fixed Income, Summer 2018, Volume 28, Issue 1, Pages 6 – 26.
A Reinterpretation of the Optimal Demand in Risky Assets in Fund Separation Theorems. (with L. Martellini and V. Milhau)
Management Science 2018, Volume 64, Issue 9, Pages 3971 – 4470.
Risk budgeting and diversification based on optimized uncorrelated factors. (with A. Meucci and A. Santangelo)
Risk 2015, Volume 11, Issue 29, Pages 70 – 75.
Mass Customization in Life-Cycle Investing Strategies with Income Risk. (with L. Martellini and V. Milhau)
Bankers, Markets & Investors 2015, Issue 139, Pages 28 – 44.
Hedging versus Insurance: Long-Horizon Investing with Short-Term Constraints. (with L. Martellini and V. Milhau)
Bankers, Markets & Investors 2014, Special Issue EDHEC-Risk Days Europe, Pages 33 – 47.
Loss-based risk measures. (with R. Cont and X. He)
Statistics & Risk Modeling 2013, Volume 30, Issue 2, Pages 133 – 167.
Equity correlations implied by index options: estimation and model uncertainty analysis. (with R. Cont)
Mathematical Finance 2013, Volume 23, Issue 3, Pages 496 – 530.
Default intensities implied by CDO spreads: inversion formula and model calibration. (with R. Cont and Y.H. Kan)
SIAM Journal on Financial Mathematics 2010, Volume 1, Pages 555 – 585.
Robustness and sensitivity analysis of risk measurement procedures. (with R. Cont and G. Scandolo)
Quantitative Finance 2010, Volume 10, Issue 6, Pages 593 – 606.
Sensitivity analysis in HMMs with application to likelihood maximization. (with P.A. Coquelin and R. Munos)
Advances in Neural Information Processing Systems (NIPS) 2009.
Particle Filter-based Policy Gradient in POMDPs. (with P.A. Coquelin and R. Munos)
Advances in Neural Information Processing Systems (NIPS) 2008.
Book Chapter
Designing Multi-Factor Equity Portfolios. (with N. Amenc, F. Goltz, A. Lodh, L. Martellini and E. Shirbini)
In: Emmanuel Jurczenko(Eds.), Risk-Based and Factor Investing, Elsevier - ISTE Editions 2016, London, chapter 17, pp. 377-399.
ISBN-13: 978-1785480089
Permanent Working Paper
Numerical methods for sensitivity analysis of Feynman-Kac models. (with P.A. Coquelin and R. Munos)
inria-00125427 2007, Research Report.
Conferences and Seminars
Transparence et audit des modèles d’intelligence artificielle. Applications en matière bancaire et financière – Strasbourg University (France), Jun 7th 2019
La transparence des modèles d’IA. Quand ? Envers qui ?
La transparence des modèles d’IA. Les moyens de l’explicabilité
Journée MACIF Finance Epargne - Paris (France), Apr 2nd 2019
L’Intelligence Artificielle, levier de création de valeur
Conférence Allianz, SKEMA Executive Education – Paris (France), Mar 20th 2019
Introduction to Robo-Advisors
Intelligence artificielle. Pratiques de la norme dans le domaine bancaire & financier – Strasbourg University (France), Jan 24-25 2019
IA et data science dans le conseil financier « augmenté »
La digitalisation de la relation bancaire, Pratiques et usages de l’intelligence artificielle – Strasbourg University (France), Sep 21th 2018
L’expérience française des robo-advisors
European Sovereign Debt Crisis Conference - Monaco (Monaco), Mar 12-13 2015
Bond portfolio optimization before and after the European sovereign debt crisis.
EDHEC-Risk Days North America 2013 - New York (USA), Oct 8-9 2013
How to measure and report the portfolio exposure to uncorrelated factors.
2nd International FEBS Conference - London (UK), Jun 7-8 2012
Dynamic equity allocation for insurance companies in the presence of Solvency II constraints
Workshop, Nordic Asset Allocation Conference - Stockholm (Sweden), Feb 1st 2012
Dynamic equity risk management in the context of Solvency II
Seminar, European Institute of Financial Regulations, Paris (France), Jan 31st 2012
Maximizing the Benefits of Equity Investments for Insurance Companies Facing Solvency II Constraints
Managing Insurance Assets Under Solvency II - London (UK), Sep 26-28 2011
Solvency II benchmarks: How to introduce dynamic equity risk management in the context of Solvency II
Modeling and Managing Financial Risks - Paris (France), Jan 10-13 2011
Equity Correlations Implied by Index Options: Estimation and Model Uncertainty Analysis
Seminar Series, Laboratoire de Probabilités et Modèles Aléatoires, Paris 6 University - Paris (France), Jan 2010
Robustness and sensitivity analysis of risk measurement procedures
INFORMS Annual Meeting - San Diego (CA, USA), Oct 11-14 2009
Implied Correlation from Index Options: Estimation and Model Uncertainty Analysis
PhD Seminar, Business School, Columbia University - New York (USA), Oct 9th 2009
Implied Correlation from Index Options: Estimation and Model Uncertainty Analysis
PhD Seminar Series, Department of Statistics, Columbia University - New York (USA), Mar 25th 2009
A closed-form formula for the local intensity and its application to calibration
The Second International Financial Research Forum: Risk Management and Financial Crisis - Paris (France), Mar 19-20 2009
Extracting Implied Correlation from Index Options: A Statistical Approach
SIAM Conference on Financial Mathematics and Engineering - New Brunswick (NJ, USA), Nov 21-22 2008
A probabilistic approach to inverse problems in option pricing
INFORMS Annual Meeting - Washington D.C. (USA), Oct 12-15 2008
Robustness and sensitivity analysis of risk measurement procedures
New Directions in Quantitative Finance - Paris (France), May 19-21 2008
Robustness and sensitivity analysis of risk measurement procedures
Applied Probability Society of INFORMS - Eindhoven (The Netherlands), July 9-11 2007
Robustness and sensitivity analysis of risk measurement procedures