User profiles for R. Deguest
Romain DeguestIESEG School of Management Verified email at ieseg.fr Cited by 837 |
Robustness and sensitivity analysis of risk measurement procedures
… We denote by 𝒟 the (convex) set of cumulative distribution functions (cdf) on ℝ. The
distribution of a random variable X is denoted F X ∈ 𝒟, and we write X ∼ F if F X = F. The Lévy …
distribution of a random variable X is denoted F X ∈ 𝒟, and we write X ∼ F if F X = F. The Lévy …
Loss-based risk measures
Starting from the requirement that risk of financial portfolios should be measured in terms of
their losses, not their gains, we define the notion of loss-based risk measure and study the …
their losses, not their gains, we define the notion of loss-based risk measure and study the …
[BOOK][B] Risk parity and beyond-from asset allocation to risk allocation decisions
… The ENB measure relies on the choice of N uncorrelated factors, whose returns can easily
be expressed as rF = A r, where r is the vector of constituents’ returns and A is a square matrix …
be expressed as rF = A r, where r is the vector of constituents’ returns and A is a square matrix …
Risk budgeting and diversification based on optimized uncorrelated factors
… Consider an arbitrary portfolio which gives rise to a yet to be realized projected return R. In
… , futures, ...), and the portfolio return is a weighted average of the return of each asset R = ∑ …
… , futures, ...), and the portfolio return is a weighted average of the return of each asset R = ∑ …
Measuring portfolio diversification based on optimized uncorrelated factors
In recent years the practitioners and academic financial community has witnessed a surge
in interest in the concept of risk parity, as well as the broader concept of diversification …
in interest in the concept of risk parity, as well as the broader concept of diversification …
Default intensities implied by CDO spreads: inversion formula and model calibration
We propose a simple computational method for constructing an arbitrage-free collateralized
debt obligation (CDO) pricing model which matches a prespecified set of CDO tranche …
debt obligation (CDO) pricing model which matches a prespecified set of CDO tranche …
Equity correlations implied by index options: estimation and model uncertainty analysis
We propose a method for constructing an arbitrage‐free multiasset pricing model which is
consistent with a set of observed single‐ and multiasset derivative prices. The pricing model is …
consistent with a set of observed single‐ and multiasset derivative prices. The pricing model is …
Particle filter-based policy gradient in POMDPs
Our setting is a Partially Observable Markov Decision Process with continuous state,
observation and action spaces. Decisions are based on a Particle Filter for estimating the belief …
observation and action spaces. Decisions are based on a Particle Filter for estimating the belief …
Sensitivity analysis in HMMs with application to likelihood maximization
This paper considers a sensitivity analysis in Hidden Markov Models with continuous state
and observation spaces. We propose an Infinitesimal Perturbation Analysis (IPA) on the …
and observation spaces. We propose an Infinitesimal Perturbation Analysis (IPA) on the …
[BOOK][B] Goal-based Investing: Theory and Practice
Individual investors’ investment problems can be broadly summarised as a combination of
various wealth and/or consumption goals, subject to a set of dollar budgets, defined in terms …
various wealth and/or consumption goals, subject to a set of dollar budgets, defined in terms …