Research
Ongoing research (working
papers)
Main Publications
The full list of articles can be found below.
- Unexpected opportunities in misspecified predictive regressions,
European Journal of
Operational Research Forthcoming (2024) (with R.
Deguest):
[Link]
material
- 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]
- 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]
- 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]
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
- Enhancing Environment-driven Portfolios with Traditional Factors, In
Climate and Sustainable Investing edited by E.
Jurczenko, 2023, (with J., Frey-Skött, C. Morgenstern, J. Kelly, B.
Österberg, S. Stiernegrip)
- Ensemble learning applied to quant equity: gradient boosting in a
multifactor framework, In Big Data and Machine Learning in
Quantitative Investment edited by T. Guida, 2018 (with T.
Guida)
Book Review
Machine Learning in Finance: From Theory to Practice (by Dixon,
Halperin and Bilokon), Quantitative
Finance, 2020
[Link]
Permanent Working
Papers
- Boosting ESG-Based Optimization With Asset Pricing Characteristics,
2021 (with J., Frey-Skött, C. Morgenstern, J. Kelly, B. Österberg, S.
Stiernegrip)
[SSRN]
- Stock returns and the cross-section of characteristics: a tree-based
approach, 2018 (with T. Guida)
[PDF]
- Active allocation to smart factor indices, 2015 (with N. Amenc and
L. Martellini) - Scientific Beta Research Paper
[PDF]
- Estimation of covariance matrices for portfolio optimization, 2013
(with V. Milhau) - Scientific Beta Research Paper
[PDF]
- Equity portfolios with improved liability-hedging benefits - Long
Version (with R. Deguest, L. Martellini and V. Milhau)
[PDF]
- Risk aggregation with the generalized logistic distribution, 2013
[PDF]
- Pricing exotic options in the Finite Moment Log-Stable model, 2012
[PDF]
Research
presentations
- Explaining green returns (2022)
[pdf]
- Advances in asset pricing (2020)
[html]