Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Asset prices and assets without prices.

Allocation d'actifs, Art market, Asset allocation, Bubbles, Bulles, Marché de l'art, Market sentiment, Prévisibilité des rendements, Return predictability, Sentiment, Trading volume, Volume

Optimal asset allocation subject to withdrawal risk and solvency constraints.

Asset allocation, Asset-liability management, Liquidity risk, Utility maximization, Withdrawal risk

Essays on investments, portfolio management and pensions.

Allocation d’actifs, Asset Allocation, Fonds de pension, Gestion de portefeuille, Gestion des risques, Investissements, Investments, Pensions, Portfolio Management, Retraites, Risk Sharing, Social Security

Three Essays in Asset Management.

Active mutual funds, Allocation d’actifs, Asset allocation, Fonds d’investissement actifs, Gestion de portefeuille, Information risk, Liquidity, Liquidité, Portfolio Management, Predictability, Prédictibilité des rendements, Risque de l’information

Economic cycles and portfolio management.

Allocation d'actifs, Apprentissage automatique, Asset allocation, Cycles économiques, Economic cycles, Machine learning

Detecting reversals in the US equity market.

Allocation d'actifs, Analyse technique, Asset allocation, Bull and bear markets, Effet momentum, Gestion de portefeuille, Logistic regression, Marchés haussiers et baissiers, Market timing, Monumentum effect, Portfolio management, Prévisibilité des marchés actions, Retournements des marchés actions, Régression logistique, Stock market predictability, Stock market reversals, Sélection de variables, Technical analysis, Timing du marché, Variable selection

Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance?

Active Management, Asset Allocation, Mutual Funds, Performance Attribution, Socially Responsible Investment

Asset Prices and Priceless Assets.

Allocation d'actifs, Art market, Asset allocation, Bubbles, Bulles, Marché de l'art, Market sentiment, Prévisibilité des rendements, Return predictability, Sentiment, Trading volume, Volume

The Need for New Forms of Financial Intermediation.

Asset allocation, Corporate governance, Financial intermediation, Financialization, Growth, Investment, Liquidity, Shareholders, Stakeholders

Strategic asset allocation and ALM for pension plans.

Allocation d’actifs, Asset allocation, Asset-liability management, Gestion actif-passif, Génération de scénarios, Optimisation stochastique, Programmation stochastique, Retirement scheme, Régime de retraite, Scenario generation, Stochastic optimization, Stochastic programming

Hedging of volatility and correlation risk in a portfolio.

Allocation d'actifs, Asset allocation, Conditions de stationnarité, Dcc, Garch, Hedging strategies, Risque de volatilité et de corrélation, Régimes de volatilité, Stationarity conditions, Stratégies de couverture, VaR, Volatility and correlation risk, Volatility regimes

An Economic Evaluation of Model Risk in Long-term Asset Allocations.

Asset allocation, Economic impact, Economic models, Financial institutions, Financialcrises, Risk management in business, Value at risk