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Replication of a medium risk portfolio through non fixed income ETFs. Written with : Christophe Dispas, Amaury Gaugel, Thomas Lanzi and Hugo Pascail

Pending.The paper will compare two methodologies for the replication of a medium risk portfolio through non fixed income ETFs. The two methodology have in common the minimization of the tracking error between the monthly return earned with the replicated index of ETFs and the monthly return earned with the benchmark case constructed as a medium risk portfolio. The first method is standard and consist to minimize the tracking error between the two set without pre-selection of explicative variables. We call this method the full quadratic replication method. The second method add a step where explicative variables are automatically selected by an algorithm, namely PcGets. Based on this selection, we minimize the tracking error between the two set. The conclusions show that PcGets appears as an interesting ETF’s selector and could be a good alternative to standard methodologies. Within the block search extension, he also allows to deal with database where the number of exogenous variables is greater than the number of observations. This is particularly interesting in portfolio management.


Pending. Book Palgrave McMillan edition. Managing Country Risk in an Age of Globalization : A practical guide to overcoming challenges in a complex world (predicted) by Michel Henry Bouchet (Distinguished professor at Skema), Charles A. Fishkin (Director, Office of Risk Assessment, United States Securities and Exchange Commission), and Amaury Goguel

Around 250 pages with 30 illustrations/end 2017

The book would target six main audiences:

  • Scholarly community: Professors/lecturers, Bachelor/Master/PhD students who want to become country risk analyst and Business/IR/Political Science/History students who want to improve their understanding of macro-economic and geopolitical issues, including with distant learning MBAs.
  • Risk rating and export insurance agencies, as well as IFIs’ staff, in training programs and seminars.
  • Credit risk professionals who need a better understanding of the national risk environment and professionals who regularly need to work with cross-border economic data
  • Country specialists who need a consistent framework to interpret and compare national indicators and professionals who consider making a career move into risk analysis, risk management or country research.
  • Professional risk managers who work in the treasury functions of international companies and must tackle a range of risks relating to currency exposure, cash holdings, investing, tax regimes, banking relationships, etc.
  • CROs and CFOs and their subordinate staffs; and portfolio managers and investment risk professionals in hedge funds and pension funds.

Whos Who 2017-UEBAWhos Who 2017-UEBA

Université d’été des banquiers africains, avec l’observatoire de la finance durable. Membre du comité de pilotage.