no code implementations • 2 Feb 2024 • Stelios Arvanitis, Olivier Scaillet, Nikolas Topaloglou
We develop and implement methods for determining whether relaxing sparsity constraints on portfolios improves the investment opportunity set for risk-averse investors.
no code implementations • 24 Jun 2023 • Alain-Philippe Fortin, Patrick Gagliardini, Olivier Scaillet
An empirical application to a large panel of monthly U. S. stock returns separates date after date systematic and idiosyncratic risks in short subperiods of bear vs. bull market based on the selected number of factors.
no code implementations • 28 Oct 2022 • Alain-Philippe Fortin, Patrick Gagliardini, Olivier Scaillet
This paper studies new tests for the number of latent factors in a large cross-sectional factor model with small time dimension.
no code implementations • 1 Aug 2022 • Gaetan Bakalli, Stéphane Guerrier, Olivier Scaillet
We develop a penalized two-pass regression with time-varying factor loadings.
no code implementations • 13 May 2021 • Gaetan Bakalli, Davide A. Cucci, Ahmed Radi, Naser El-Sheimy, Roberto Molinari, Olivier Scaillet, Stéphane Guerrier
While different techniques are available to model and remove the deterministic errors, there has been considerable research over the past years with respect to modelling the stochastic errors which have complex structures.
no code implementations • 23 Jun 2020 • Roberto Molinari, Gaetan Bakalli, Stéphane Guerrier, Cesare Miglioli, Samuel Orso, Mucyo Karemera, Olivier Scaillet
As a consequence, there is the need to make the outputs of machine learning algorithms more interpretable and to deliver a library of "equivalent" learners (in terms of prediction performance) that users can select based on attribute availability in order to test and/or make use of these learners for predictive/diagnostic purposes.
no code implementations • 21 Apr 2020 • Chenxu Li, Olivier Scaillet, Yiwen Shen
We develop a novel five-component decomposition of optimal dynamic portfolio choice, which reveals the simultaneous impacts from market incompleteness and wealth-dependent utilities.
no code implementations • 6 Apr 2020 • Stelios Arvanitis, Olivier Scaillet, Nikolas Topaloglou
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors.