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Delta Hedging in Financial Engineering: Towards a Model-Free Approach

Michel Fliess , Cédric Join
18th Mediterranean Conference on Control and Automation, MED'10, Jun 2010, Marrakech, Morocco. pp.CDROM
Conference papers inria-00479824v1
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Quantification des incertitudes en gestion d'actifs : méthodes à noyaux et fluctuations statistiques

Linda Chamakh
Statistics [math.ST]. Institut Polytechnique de Paris, 2021. English. ⟨NNT : 2021IPPAX045⟩
Theses tel-03373286v1
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Asymptotic analysis of different covariance matrices estimation for minimum variance portfolio

Linda Chamakh , Emmanuel Gobet , Jean-Philippe Lemor
Preprints, Working Papers, ... hal-03207061v1
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Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio

Ankush Agarwal , Ronnie Sircar
Preprints, Working Papers, ... hal-01388399v2
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Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs

Christoph Czichowsky , Rémi Peyre , Walter Schachermayer , Junjian Yang
Finance and Stochastics, 2018, 22 (1), pp.161-180. ⟨10.1007/s00780-017-0351-5⟩
Journal articles hal-02373296v1
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Optimal asset allocation subject to withdrawal risk and solvency constraints

Areski Cousin , Ying Jiao , Christian y Robert , Olivier David Zerbib
Preprints, Working Papers, ... hal-03244380v1
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Systematic risk analysis: first steps towards a new definition of beta

Michel Fliess , Cédric Join
Cognitive Systems with Interactive Sensors, COGIS'09, SEE, Nov 2009, Paris, France
Conference papers inria-00425077v1

Stochastic Algorithms for Advanced Risk Budgeting

Adil Rengim Cetingoz , Jean-David Fermanian , Olivier Guéant
Preprints, Working Papers, ... hal-03857964v1
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Investment/consumption problem in illiquid markets with regimes switching

Paul Gassiat , Fausto Gozzi , Huyen Pham
Preprints, Working Papers, ... hal-00610214v1
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A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?

Michel Fliess , Cédric Join , Frédéric Hatt
Conférence Méditerranéenne sur l'Ingénierie Sûre des Systèmes Complexes, MISC 2011, May 2011, Agadir, Maroc
Conference papers hal-00585152v2
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Long time asymptotics for optimal investment

Huyen Pham
Preprints, Working Papers, ... hal-01058657v1
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A new spin on optimal portfolios and ecological equilibria

Jérôme Garnier-Brun , Michael Benzaquen , Stefano Ciliberti , Jean-Philippe Bouchaud
Journal of Statistical Mechanics: Theory and Experiment, 2021, 2021 (9), pp.093408. ⟨10.1088/1742-5468/ac21d9⟩
Journal articles hal-03378915v1