Publications

We believe that research is the cornerstone leading to economically and empirically motivated investment processes. Some of our research papers and notes are available for download below:

Stock Market Volatility Dynamics: A Volume Filtered-GARCH Model

Date: June 2016
Author: Maxime Bonelli

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An Alternative Model of Expected Returns and its Implications for Return Predictability

Date: March 2016
Authors: Maxime Bonelli and Daniel Mantilla-Garcia

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Exchange Traded Funds: Toward a Tailored Selection Approach

Date: Avril 2015
Author: Maxime Bonelli

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Should a Skeptical Portfolio Insurer Use an Optimal or a Risk-Based Allocation?

Date: December 2014
Authors: Maxime Bonelli and Daniel Mantilla-Garcia

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Dynamic Allocation Strategies for Absolute and Relative Loss Control

Date: July 2014
Author: Daniel Mantilla-Garcia

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Dynamic Smart Beta Investing

Date: June 2014
Author: Emilien Audeguil

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Growth Optimal Portfolio Insurance for Long-Term Investors

Date: February 2014
Author: Daniel Mantilla-Garcia

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Revisiting Core-Satellite Investing - A Dynamic Model of Relative Risk Management

Date: November 2012
Authors: Noël Amenc, Philippe Malaise, Lionel Martellini

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Advances in Dynamic Risk Budgeting: Efficient Control of Absolute and Relative Risks

Date: July 2012
Authors: Daniel Mantilla-Garcia and Hugo Lestiboudois

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Growth Optimal Portfolio Insurance and the Benefits of High Correlation

Date: January 2012
Author: Daniel Mantilla-Garcia

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Capturing the Market, Value, or Momentum Premium with Downside Risk Control: Dynamic Allocation Strategies with Exchange-Traded Funds

Date: July 2011
Authors: Elie Charbit, Jean-René Giraud, Felix Goltz, Lin Tang

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Idiosyncratic Risk and the Cross-Section of Stock Returns

Date: February 2011
Authors: René Garcia, Daniel Mantilla-Garcia, Lionel Martellini

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