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Romain Deguest
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Year
Robustness and sensitivity analysis of risk measurement procedures
R Cont, R Deguest, G Scandolo
Quantitative finance 10 (6), 593-606, 2010
3622010
Risk parity and beyond-from asset allocation to risk allocation decisions
R Deguest, L Martellini, A Meucci
Available at SSRN 2355778, 2013
442013
Loss-based risk measures
R Cont, R Deguest, XD He
Statistics & Risk Modeling 30 (2), 133-167, 2013
432013
Measuring portfolio diversification based on optimized uncorrelated factors
A Meucci, A Santangelo, R Deguest
Available at SSRN, 2014
392014
Risk budgeting and diversification based on optimized uncorrelated factors
A Meucci, A Santangelo, R Deguest
Available at SSRN 2276632, 2015
312015
Risk budgeting and diversification based on optimized uncorrelated factors
A Meucci, A Santangelo, R Deguest
Available at SSRN 2276632, 2015
312015
Default intensities implied by CDO spreads: inversion formula and model calibration
R Cont, R Deguest, YH Kan
SIAM Journal on Financial Mathematics 1 (1), 555-585, 2010
282010
Equity correlations implied by index options: estimation and model uncertainty analysis
R Cont, R Deguest
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2013
232013
Introducing a comprehensive risk allocation framework for goals-based wealth management
R Deguest, L Martellini, V Milhau, A Suri, H Wang
EDHEC-Risk Institute Publication, 2015
182015
Particle filter-based policy gradient in POMDPs
PA Coquelin, R Deguest, R Munos
Advances in Neural Information Processing Systems 21, 2008
182008
Risk allocation, factor investing and smart beta: Reconciling innovations in equity portfolio construction
N Amenc, R Deguest, F Goltz, A Lodh, L Martellini, E Shirbini
EDHEC‐Risk Institute, Nice, France, 2014
112014
Improved risk reporting with factor-based diversification measures
T Carli, R Deguest, L Martellini
EDHEC-Risk Institute Publications, 2014
112014
Sensitivity analysis in HMMs with application to likelihood maximization
PA Coquelin, R Deguest, R Munos
Advances in Neural Information Processing Systems 22, 2009
112009
Hedging versus insurance: Long-horizon investing with short-term constraints
R Deguest, L Martellini, V Milhau
Bankers, Markets and Investors (Special Issue March–April 2014) 33, 47, 2014
102014
Perturbation analysis for parameter estimation in continuous space HMMs
A Coquelin, R Deguest, R Munos
Submitted to IEEE Transactions on Signal Processing, 2008
72008
Numerical methods for sensitivity analysis of Feynman-Kac models
PA Coquelin, R Deguest, R Munos
62007
Numerical methods for sensitivity analysis of Feynman-Kac models
PA Coquelin, R Deguest, R Munos
62007
A reinterpretation of the optimal demand for risky assets in fund separation theorems
R Deguest, L Martellini, V Milhau
Management Science 64 (9), 4333-4347, 2018
42018
Bond portfolio optimization in the presence of duration constraints
R Deguest, F Fabozzi, L Martellini, V Milhau
The Journal of Fixed Income 28 (1), 6-26, 2018
42018
Predictive Regressions: A Machine Learning Perspective
G Coqueret, R Deguest
Available at SSRN 3709412, 2020
12020
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Articles 1–20