Anthony Coache: Research

Publications

Binette, O. & Coache, A. The Significance of the Adjusted R Squared. (Bio)Statistics Research Day, Montréal. September 21, 2018. [Poster] [Blog]
Coache, A. & Larose, F. “Do schools kill creativity?” Well, they help analyze popularity! Annual Meeting of the SSC, Montréal. June 4, 2018. [Poster] [Poster template]
Ferland, R., Froda, S. & Coache, A. Comparison of surveillance flu data across regions. Annual Meeting of the SSC, Winnipeg. June 12, 2017. [Poster]

Stochastic Algorithms for Solving a Multi-period Quantile-Based Portfolio Optimization Problem. Annual Meeting of the SSC, Calgary. May 27, 2019. [Slides] [Beamer template]
- In financial asset allocation, while many risk measures are proposed, care must be taken to ensure that their properties reflect an observed investor behavior. Furthermore, the investor should also be able to adjust his strategy according to market fluctuations during the investment period. Thus we focus our analysis on a class of multiperiod portfolio optimization problems in which the investor wants to minimize a quantile-based function of the terminal wealth and where the stock prices follow a binomial tree model. We explore various stochastic approaches in finding an optimal or near-optimal strategy and compare their efficiency through simulation studies.
Non-Parametric Estimation of the Quantile Function. Probability and Statistics Student Seminar - UQAM. July 13, 2017.
- This talk focuses on the non-parametric estimation of the quantile function. The quantile function has several statistical applications; it is used in Monte-Carlo methods among others. We explain two L-estimators of this function and we compare their performance against the traditional non-parametric estimator.

Matlab Bootcamp for Masters of Financial insurance students. University of Toronto. January 6-7, 2021. [GitHub repo]