User profiles for Joseph Simonian
Joseph SimonianAutonomous Investment Technologies Verified email at autoinvestec.com Cited by 262 |
Risk parity: The democratization of risk in asset allocation
FA Fabozzi, J Simonian, FJ Fabozzi - The Journal of Portfolio …, 2021 - pm-research.com
The risk parity investment model for asset allocation offers an alternative to the mean–variance
framework. The fundamental idea is that the allocation to different asset classes should …
framework. The fundamental idea is that the allocation to different asset classes should …
A machine learning approach to risk factors: A case study using the fama–french–carhart model
J Simonian, C Wu, D Itano… - The Journal of …, 2019 - jfds.pm-research.com
Factor models are by now ubiquitous in finance and form an integral part of investment practice.
The most common models in the investment industry are linear, a development that is no …
The most common models in the investment industry are linear, a development that is no …
Black–litterman and beyond: The bayesian paradigm in investment management
The Black–Litterman model is one of the most popular models in quantitative finance, with
numerous theoretical and practical achievements. From the standpoint of investment theory, …
numerous theoretical and practical achievements. From the standpoint of investment theory, …
INVITED EDITORIAL COMMENT: Order from Chaos: How Data Science Is Revolutionizing Investment Practice
J Simonian, ML de Prado… - Journal of portfolio …, 2018 - search.proquest.com
[...] decision tree–based forms of data analysis provide a hierarchical approach to analyzing
data, whereas neural network algorithms use an inherent parallel processing of data to …
data, whereas neural network algorithms use an inherent parallel processing of data to …
Sharpe parity redux
J Simonian, A Martirosyan - The Journal of Portfolio …, 2022 - jpm.pm-research.com
In this article, the authors investigate the performance of the Sharpe parity asset allocation
strategy relative to the more well-known 60/40, mean–variance, risk parity, and min-variance …
strategy relative to the more well-known 60/40, mean–variance, risk parity, and min-variance …
Triumph of the Empiricists: The Birth of Financial Data Science
J Simonian, FJ Fabozzi - The Journal of Financial Data Science, 2019 - pm-research.com
The authors situate financial data science within the broader history of econometrics and
argue that its ascendance marks a reorientation of the field toward a more empirical and …
argue that its ascendance marks a reorientation of the field toward a more empirical and …
Portfolio selection: a game-theoretic approach
J Simonian - The Journal of Portfolio Management, 2019 - jpm.pm-research.com
Game-theoretic methods are not widespread in finance. One reason is that practitioners do
not see straightforward applications of game theory to core investment problems. To that end, …
not see straightforward applications of game theory to core investment problems. To that end, …
Investment Decisions under Almost Complete Causal Ignorance.
J Simonian - Journal of Portfolio Management, 2022 - search.ebscohost.com
This article investigates investment decision making under conditions of almost complete
causal ignorance. Using two basic notions of causal dependence, probabilistic and …
causal ignorance. Using two basic notions of causal dependence, probabilistic and …
Minsky vs. Machine: New Foundations for Quant-Macro Investing
J Simonian, C Wu - The Journal of Financial Data Science, 2019 - pm-research.com
Systematic macro investors’ use of the regime-switching models that have been developed
in academia over the last several decades is infrequent at best and, when used, generally …
in academia over the last several decades is infrequent at best and, when used, generally …
The most simple methodology to create a valid correlation matrix for risk management and option pricing purposes
J Simonian - Applied Economics Letters, 2010 - Taylor & Francis
We present a methodology for obtaining a valid correlation matrix from an invalid one for
financial applications. In contrast to other approaches, the methodology described only …
financial applications. In contrast to other approaches, the methodology described only …