… If we solve Equations (19) or (20), we get: w r o b ∗ = 1 λ Σ − 1 μ -- κ w r o b ∗ T Ω w r o b ∗
Ω w r o b ∗ The optimal robust weights are homothetic with respect to λ . We observe that the …

Volatility targeting is a systematic strategy that invests in a risky asset and in the risk-free
asset, rebalancing the portfolio in such a way as to keep the ex ante risk at a constant target …

… X R market thematic + X R region style sector thematic + X R pure theme thematic (1) where
X R … what is explained by the exposure to the equity market as a whole, X R region style …

The digital transformation is creating a need for mass customization of tactical asset allocation
(TAA). Asset managers publish TAA qualitative views regularly. However, the construction …

… In this paper, we extend the approach of Perchet et al (2014) to factor investing. We focus
on value and momentum factors in equity markets, government bond markets and foreign …

Inter-temporal risk parity is a strategy which rebalances between a risky asset and cash in
order to target a constant level of risk over time. When applied to equities and compared to a …

For a number of different formulations of robust portfolio optimization, quadratic and absolute,
we show that (a) in the limit of low uncertainty in estimated asset mean returns, the robust …

… In Exhibit 5 we show the R-squared from the regressions used in Exhibit 4 for the projection
of … Finally, in the case where 𝛀is the identity matrix I, we find that the R-squared is no longer …

Motivated by cognitive radio networks, we consider the stochastic multiplayer multi-armed
bandit problem, where several players pull arms simultaneously and collisions occur if one of …

We study a multiplayer stochastic multi-armed bandit problem in which players cannot
communicate, and if two or more players pull the same arm, a collision occurs and the involved …