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The Case for Long-Only Agnostic Allocation Portfolios
Reigneron, Pierre-Alain - 2019
We advocate the use of Agnostic Allocation for the construction of long-only portfolios of stocks. We show that Agnostic Allocation Portfolios (AAPs) are a special member of a family of risk-based portfolios that are able to mitigate certain extreme features (excess concentration, high turnover,...
Persistent link: https://www.econbiz.de/10012868576
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The inelastic market hypothesis : a microstructural interpretation
Bouchaud, Jean-Philippe - In: Quantitative finance 22 (2022) 10, pp. 1785-1795
Persistent link: https://www.econbiz.de/10013367946
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Herd behavior and aggregate fluctuations in financial markets
Cont, Rama; Bouchaud, Jean-Philippe - In: Macroeconomic dynamics 4 (2000) 2, pp. 170-196
Persistent link: https://www.econbiz.de/10001500432
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An empirical investigation of the forward interest rate term structure
Matacz, Andrew; Bouchaud, Jean-Philippe - In: International journal of theoretical and applied finance 3 (2000) 4, pp. 703-729
Persistent link: https://www.econbiz.de/10001526865
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Theory of financial risks : from statistical physics to risk management
Bouchaud, Jean-Philippe; Potters, Marc - 2000 - 1. publ.
Persistent link: https://www.econbiz.de/10001530522
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Phenomenology of the interest rate curve
Bouchaud, Jean-Philippe (contributor) - In: Applied mathematical finance 6 (1999) 3, pp. 209-232
Persistent link: https://www.econbiz.de/10001490691
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Théorie des risques financiers : portefeuilles, options et risques majeurs
Bouchaud, Jean-Philippe; Potters, Marc - 1997
Persistent link: https://www.econbiz.de/10000993537
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Taming large events : optimal portfolio theory for strongly fluctuating assets
Bouchaud, Jean-Philippe (contributor) - In: International journal of theoretical and applied finance 1 (1998) 1, pp. 25-41
Persistent link: https://www.econbiz.de/10001236676
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Proceedings of the Conference on "Application of Physics in Financial Analysis" : held in Dublin (15 - 17 July 1999) ; special issue
Bouchaud, Jean-Philippe (contributor);  … - Conference on Applications of Physics in Financial … - 2000
Persistent link: https://www.econbiz.de/10001522879
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Explaining the forward interest rate term structure
Matacz, Andrew; Bouchaud, Jean-Philippe - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 381-389
Persistent link: https://www.econbiz.de/10001522890