no code implementations • 3 May 2023 • Areski Cousin, Jérôme Lelong, Tom Picard
This paper studies the multi-period mean-variance portfolio allocation problem with transaction costs.
no code implementations • 22 Sep 2021 • Areski Cousin, Jérôme Lelong, Tom Picard
Analyzing the effect of business cycle on rating transitions has been a subject of great interest these last fifteen years, particularly due to the increasing pressure coming from regulators for stress testing.