Research




Ongoing research (working papers)


Main Publications

The full list of articles can be found below.


Books

Perspectives in sustainable equity investing

CRC / Chapman Hall - March 2022
Order on on the publisher’s website, Amazon (France), Amazon (US) or Amazon (UK)
Available: open source website - Early working paper version

Machine learning for factor investing (with T. Guida)

CRC / Chapman Hall, R version published in September 2020 - Python version published in September 2023
Order the R version on on the publisher’s website, Amazon (France), Amazon (US) or Amazon (UK)
Available: open source website - Material - Slides


Complete list of Published Academic Articles

Articles are grouped into research themes below.

FINANCE & ECONOMICS
  • A note on implied correlation for bivariate contracts,
    Economics Bulletin, Vol. 40, No. 2 (2020), pp. 1388-1396 (with B. Tavin) [Link]
  • Procedural Rationality, Asset Heterogeneity and Market Selection,
    Journal of Mathematical Economics, Vol. 82 (2019), pp. 125-149 (with B. Tavin) [Link] [Working paper]
  • Empirical properties of a heterogeneous agent model in large dimensions,
    Journal of Economic Dynamics & Control, Vol. 77 (2017), pp. 180-201 [Link]
  • An investigation of model risk in a market with jumps and stochastic volatility,
    European Journal of Operational Research, Vol. 253 (2016), pp. 648-658 (with B. Tavin) [Link] [Working paper]
  • Lookback option prices under a spectrally negative tempered-stable model,
    International Journal of Theoretical and Applied Finance, Vol. 16, No. 3 (2013) [Link]

SUSTAINABLE FINANCE
  • The biodiversity premium,
    Ecological Economics, Forthcoming (with T. Giroux & O.D. Zerbib): SSRN
  • ESG news spillovers across the value chain,
    Financial Management, Vol. 52, No. 4 (2023), pp. 677-710 (with V. Le Tran) [Working Paper]
  • Scopes of carbon emissions and their impact on green portfolios,
    Economic Modelling, Vol. 115 (2022), (with T. Anquetin, B. Tavin & L. Welgryn) [Link] [Working Paper]

DATA & DECISION SCIENCES
  • Unexpected opportunities in misspecified predictive regressions,
    European Journal of Operational Research Forthcoming (2024) (with R. Deguest): [Link] material
  • Dynamic decision making with predictive panels,
    Journal of the Operational Research Society, Vol. 75, No. 6 (2023), pp. 1055-1075 (with B. Tavin) [Link] [Working Paper] - [R notebook]
  • The determinants of health assessment in the United States: A supervised learning approach,
    Healthcare Analytics, Vol. 2 (2022) [Link - Open Access]
  • Persistence in factor-based supervised learning models,
    Journal of Finance & Data Science, Vol. 8 (2022), pp. 12-34 [Link - Open Access] [Material]
  • Approximate NORTA simulations for virtual sample generation,
    Expert Systems With Applications, Vol. 73 (2017), pp. 69-81 [Link]

STANDARD PORTFOLIO CHOICE
  • Training trees on tails with applications to portfolio choice,
    Annals of Operations Research, Vol. 288 (2020), pp. 181-221 (with T. Guida) [Link] [Working paper] [Material]
  • Characteristics-based portfolio choice with leverage constraints,
    Journal of Banking and Finance, Vol. 70 (2016), pp. 23-37 (with M. Ammann and J-P. Schade) [Link] [Working paper]
  • Diversified minimum-variance portfolios,
    Annals of Finance, Vol. 11, No. 2 (2015), pp. 221-241 [Link]

PROBABILITY & STATISTICS (older work)
  • On the distribution of the supremum of the spectrally negative stable process with drift,
    Statistics & Probability Letters, Vol. 107 (2015), pp. 333-340 [Link]
  • Second order risk aggregation with the Bernstein copula,
    Insurance: Mathematics and Economics, Vol. 58 (2014), pp. 150-158 [Link]
  • Meromorphic Levy-Khintchine exponents with poles of order two,
    Communications on Stochastic Analysis, Vol. 7, No. 2 (2013), pp. 179-198 [Link]
  • Approximation of probabilistic Laplace transforms and their inverses,
    Communications in Applied Mathematics and Computational Science, Vol. 7, No. 2 (2012), pp. 231-246 [Link]

WINE BUSINESS (older work)
  • Herding behavior among wine investors, Economic Modelling, Vol. 68 (2018), pp. 318-328 (with B. Aytac and C. Mandou) [Link]
  • Optimal wine pricing for restaurants, Journal of Wine Economics, Vol. 10, No. 2 (2015), pp. 204-224 [Link]

In the Practitioner Press

SUSTAINABLE INVESTING
  • The impact of climate change risk on long-term asset allocation,
    Journal of Portfolio Management, Vol. 50, No. 5 (2024), pp. 238-263 (with JC Bertrand, N. McLoughlin and S. Mesnard) [Link] [Working Paper]
  • International market exposure to sovereign ESG,
    Journal of Sustainable Finance & Investment, Vol. 14, No. 4, (2024), pp 968-987, (with C. Morgenstern & J. Kelly) [Open Access] [Working Paper]
  • Tuning trend following strategies with macro ESG data,
    Journal of Impact & ESG Investing, Vol. 2, No. 2 (2021), pp. 117-136 (with C. Morgenstern & J. Kelly) [Link]

QUANTITATIVE FINANCE
  • Interpretable supervised portfolios,
    Journal of Financial Data Science, Vol. 6, No. 2, pp. 10 - 34 (with G. Chevalier & T. Raffinot): [Link] [Working Paper]
  • Supervised portfolios,
    Quantitative Finance, Vol. 22, No. 12 (2022), pp. 2275-2295 (with G. Chevalier & T. Raffinot): [Link] [Working Paper] - [notebook]
  • Stock-specific sentiment and return predictability,
    Quantitative Finance, Vol. 20, No. 9 (2020), pp. 1531-1551 [Link] [Working paper]
  • Machine learning in systematic equity allocation: a model comparison,
    Wilmott Magazine, Vol. 2018, Issue 98 (2018), pp. 24-33 (with T. Guida) [Link]
  • Equity portfolios with improved liability-hedging benefits,
    Journal of Portfolio Management, Vol. 43, No. 2 (Winter 2017), pp. 37-49 (with L. Martellini and V. Milhau) [Link]

Book Chapters


Book Review

Machine Learning in Finance: From Theory to Practice (by Dixon, Halperin and Bilokon), Quantitative Finance, 2020 [Link]


Permanent Working Papers


Research presentations


Academic profiles

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