Academic Research: Integration of Macroeconomic Data into Multi-Asset Allocation with Machine Learning Techniques

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Alphien is proud to have hosted a research project by Amine Abouseir, Arthur Le Manach, Mohamed El Mennaoui from CentraleSupélec, and Ban Zheng from Ecole Polytechnique.

In the research, they proposed a new way to predict market returns for multi-assets (equity, fixed income and commodity) by extracting features from macroeconomic data and performing machine learning algorithms for both regression and classification. Their approach aims to select robust models to build alternative risk premia portfolios. Read about their research on “Integration of Macroeconomic Data into Multi-Asset Allocation with Machine Learning Techniques” here.

Alphien provided a secured, cloud-based platform with databases and collaborative tools for the researchers to conduct and document their research efficiently.

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