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Details about Théophile Griveau-Billion

E-mail: This e-mail address is bad, please ask Théophile Griveau-Billion to update the entry in the RePEc Author Service or the correct address.
Workplace:Imperial College London, Department of Mathematics

Access statistics for papers by Théophile Griveau-Billion.

Last updated 2021-04-26. Update your information in the RePEc Author Service.

Short-id: pgr678

Jump to Journal Articles

Working Papers

2020

  1. A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour
    Papers, arXiv.org Downloads

2019

  1. Efficient computation of mean reverting portfolios using cyclical coordinate descent
    Papers, arXiv.org Downloads
    See also Journal Article Efficient computation of mean reverting portfolios using cyclical coordinate descent, Quantitative Finance, Taylor & Francis Journals (2021) Downloads View citations (2) (2021)

2013

  1. A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
    Also in Papers, arXiv.org (2013) Downloads View citations (5)

Journal Articles

2021

  1. Efficient computation of mean reverting portfolios using cyclical coordinate descent
    Quantitative Finance, 2021, 21, (4), 673-684 Downloads View citations (2)
    See also Working Paper Efficient computation of mean reverting portfolios using cyclical coordinate descent, Papers (2019) Downloads (2019)
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