Edmond Lezmi

Amundi Asset Management

90 Boulevard Pasteur

Paris, 75015

France

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 14,476

SSRN RANKINGS

Top 14,476

in Total Papers Downloads

4,210

SSRN CITATIONS
Rank 41,161

SSRN RANKINGS

Top 41,161

in Total Papers Citations

7

CROSSREF CITATIONS

11

Scholarly Papers (7)

1.

Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies

Number of pages: 102 Posted: 09 Oct 2017
Ecole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Millennium Capital Management, France branch
Downloads 3,007 (4,904)
Citation 8

Abstract:

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Momentum risk premium, trend-following strategy, cross-section momentum, time-series momentum, alternative risk premium, market anomaly, diversification, correlation, payoff, trading impact, hedging, skewness, Gaussian quadratic forms, Kalman filter, EWMA

2.

Robust Asset Allocation for Robo-Advisors

Number of pages: 67 Posted: 25 Oct 2018 Last Revised: 06 Nov 2018
Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 569 (59,461)
Citation 5

Abstract:

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Robo-Advisor, Asset Allocation, Active Management, Portfolio Optimization, Black-Litterman Model, Spectral Filtering, Machine Learning, Tikhonov Regularization, Mixed Penalty, Ridge Regression, Lasso Method, Sparsity, ADMM Algorithm, Proximal Operator

3.

Portfolio Allocation with Skewness Risk: A Practical Guide

Number of pages: 33 Posted: 15 Jul 2018 Last Revised: 08 Feb 2019
Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 392 (93,074)
Citation 3

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Skewness, Volatility, Expected Shortfall, Stress Scenario, Market Regime, Drawdown, Risk Budgeting, Equal Risk Contribution, Gaussian Mixture Model, Jump-Diffusion Process

4.

Financial Applications of Gaussian Processes and Bayesian Optimization

Number of pages: 42 Posted: 03 Apr 2019
Ecole Normale Supérieure (ENS) de Lyon, Amundi Asset Management, Amundi Asset Management and Societe Generale
Downloads 108 (306,133)
Citation 5

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Gaussian process, Bayesian optimization, machine learning, kernel function, hyperparameter selection, regularization, time-series prediction, asset allocation, portfolio optimization, trend-following strategy, moving-average estimator, ADMM, Cholesky trick

5.

Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks

Number of pages: 72 Posted: 05 Aug 2020
Amundi Asset Management, affiliation not provided to SSRN, Amundi Asset Management and Societe Generale
Downloads 98 (326,650)

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Machine learning, generative approach, discriminative approach, restricted Boltzmann machine, generative adversarial network, Wasserstein distance, market generator, quantitative asset management, backtesting, trading strategy

6.

A Note on Portfolio Optimization with Quadratic Transaction Costs

Number of pages: 18 Posted: 22 Sep 2020
National School for Statistical and Economic Administration (ENSAE), Amundi Asset Management, Amundi Asset Management and Societe Generale
Downloads 36 (532,148)

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Portfolio allocation, mean-variance optimization, transaction cost, quadratic programming, alternating direction method of multipliers

7.

Factor Investing in Currency Markets: Does it Make Sense?

The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 141-155; DOI: https://doi.org/10.3905/jpm.2019.1.116
Posted: 09 Jul 2019
Paris School of Economics (PSE), Université Paris I Panthéon-Sorbonne, Banque de France, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Societe Generale

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foreign exchange rates, factor investing, carry, value, momentum, reversal, interest rate parity, purchasing power parity, BEER, FEER, NATREX, cross-section analysis, time-series analysis, risk premium, basket hedging, overlay management, risk aggregation, alpha strategy