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Théophile Griveau-Billion
(Theophile Griveau-Billion)

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Personal Details

First Name:Theophile
Middle Name:
Last Name:Griveau-Billion
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RePEc Short-ID:pgr678
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Affiliation

Imperial College London, Department of Mathematics (Imperial College London, Department of Mathematics)

https://www.imperial.ac.uk/mathematics
United-kingdom London

Research output

as
Jump to: Working papers Articles

Working papers

  1. Th'eophile Griveau-Billion & Ben Calderhead, 2019. "Efficient computation of mean reverting portfolios using cyclical coordinate descent," Papers 1905.05841, arXiv.org.
  2. Th'eophile Griveau-Billion & Ben Calderhead, 2019. "A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour," Papers 1904.08153, arXiv.org, revised Jan 2020.
  3. Th'eophile Griveau-Billion & Jean-Charles Richard & Thierry Roncalli, 2013. "A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios," Papers 1311.4057, arXiv.org.

Articles

  1. T. Griveau-Billion & B. Calderhead, 2021. "Efficient computation of mean reverting portfolios using cyclical coordinate descent," Quantitative Finance, Taylor & Francis Journals, vol. 21(4), pages 673-684, April.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Th'eophile Griveau-Billion & Ben Calderhead, 2019. "Efficient computation of mean reverting portfolios using cyclical coordinate descent," Papers 1905.05841, arXiv.org.

    Cited by:

    1. Philippe Goulet Coulombe & Maximilian Goebel, 2023. "Maximally Machine-Learnable Portfolios," Papers 2306.05568, arXiv.org, revised Apr 2024.
    2. Philippe Goulet Coulombe & Maximilian Gobel, 2023. "Maximally Machine-Learnable Portfolios," Working Papers 23-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Apr 2023.

  2. Th'eophile Griveau-Billion & Jean-Charles Richard & Thierry Roncalli, 2013. "A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios," Papers 1311.4057, arXiv.org.

    Cited by:

    1. Sarah Perrin & Thierry Roncalli, 2019. "Machine Learning Optimization Algorithms & Portfolio Allocation," Papers 1909.10233, arXiv.org.
    2. da Costa, B. Freitas Paulo & Pesenti, Silvana M. & Targino, Rodrigo S., 2023. "Risk budgeting portfolios from simulations," European Journal of Operational Research, Elsevier, vol. 311(3), pages 1040-1056.
    3. Jean-Charles Richard & Thierry Roncalli, 2019. "Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles," Papers 1902.05710, arXiv.org.
    4. Jaehyuk Choi & Rong Chen, 2022. "Improved iterative methods for solving risk parity portfolio," Papers 2203.00148, arXiv.org.

Articles

  1. T. Griveau-Billion & B. Calderhead, 2021. "Efficient computation of mean reverting portfolios using cyclical coordinate descent," Quantitative Finance, Taylor & Francis Journals, vol. 21(4), pages 673-684, April.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (2) 2013-09-24 2013-11-22
  2. NEP-RMG: Risk Management (2) 2013-09-24 2013-11-22
  3. NEP-BEC: Business Economics (1) 2019-05-20
  4. NEP-ECM: Econometrics (1) 2019-04-22
  5. NEP-ETS: Econometric Time Series (1) 2019-04-22
  6. NEP-FOR: Forecasting (1) 2019-04-22
  7. NEP-ORE: Operations Research (1) 2013-09-24

Corrections

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