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Sunday 23 March 2014

Emmanuel Jurczenko Finance Professor at ESCP EUROPE has been awarded by Inquire EUROPE.

Inquire Europe is a cooperative, non-profit professional organization which was formed in Europe in 1990. The Group was established to bring together investment professionals interested in understanding and developing quantitative solutions to financial and investment problems.

The article  was co-written wth T. Michel and J. Teiletche. It proposes a unified framework encompassing the most popular smart beta solutions - such as Minimum Variance, Maximum Diversification, Equal-Weight and Risk Parity, to name the most famous – using a simple generic function characterized by two specific parameters: one controlling for the intensity of the regularization of the estimated variance-covariance matrix and the other one determining the exposure to individual total risk.

 

The purpose of Inquire Europe is to encourage the use of practical advanced quantitative methods in investment management, to foster the study of finance and to support basic and applied research in the field of financial analysis in the European Common Market. The membership of Inquire Europe is composed of invited sponsor organizations from Europe consisting of a broad range of banks, stock brokers, consulting firms, insurance companies, investment advisors, independent money managers and pension funds. Inquire Europe conducts seminars twice a year, funds research projects of interest to the members, and periodically distributes research papers and summaries of its seminars and the seminars of Q-group and Inquire UK to its sponsors.

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