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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Market heterogeneity, investment risk and portfolio allocation.

Hedonics, Housing submarkets, Market segmentation, Portfolio allocation, Quantile regression, Risk-return

Adaptive Robust Control Under Model Uncertainty.

Adaptive robust control, Dynamic programming, Markov control problem, Model uncertainty, Portfolio allocation, Recursive confidence regions, Stochastic control

Adaptive Robust Control under Model Uncertainty.

Adaptive robust control, Dynamic programming, Markov control problem, Model uncertainty, Portfolio allocation, Recursive confidence regions, Stochastic control

Risk factors and choices for long-term investors.

Allocation de portefeuille, Asset pricing models, Efficience de marché, Facteurs de risque, Long term, Long terme, Market efficiency, Modèles d’évaluation d’actifs, Petites capitalisations, Portfolio allocation, Risk factors, Small capitalizations

Alternative inflation hedging strategies in ALM.

"Passage de l'inflation", Allocation de portefeuille, Allocation stratégique, Alternative investment, Assurance de portefeuilles, Commodities, Core inflation, Couverture Inflation, Global Macro, Inflation hedging, Inflation pass-through, Inflation sous-jacente, Investissements alternatifs, Matières premières, Portfolio allocation, Portfolio insurance, Real rates, Strategic allocation, Taux réels

Frequency causality measures and Vector AutoRegressive (VAR) models: An improved subset selection method suited to parsimonious systems.

Frequency causality measures, Portfolio allocation, Subset selection methods, VAR model, Weighted financial networks

Distinguish the indistinguishable: a Deep Reinforcement Learning approach for volatility targeting models.

Deep Reinforcement learning, Features sensitivity, Model-based, Model-free, Portfolio allocation, Walk forward