Research




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)
Website: http://www.esgperspectives.com
Early working paper version on SSRN

Machine learning for factor investing (with T. Guida)

CRC / Chapman Hall, September 2020
Order on on the publisher’s website, Amazon (France), Amazon (US) or Amazon (UK)
Website: http://www.mlfactor.com
Material: https://github.com/shokru/mlfactor.github.io/tree/master/material
Slides: [html]


Ongoing research (working papers)


Published Academic Articles

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]
  • 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]
  • Diversified minimum-variance portfolios,
    Annals of Finance, Vol. 11, No. 2 (2015), pp. 221-241 [Link]
  • Lookback option prices under a spectrally negative tempered-stable model,
    International Journal of Theoretical and Applied Finance, Vol. 16, No. 3 (2013) [Link]

DATA SCIENCE, PROBABILITY & STATISTICS

  • 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]
  • 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]
  • Approximate NORTA simulations for virtual sample generation,
    Expert Systems With Applications, Vol. 73 (2017), pp. 69-81 [Link]
  • 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]

SUSTAINABLE INVESTING

  • Scopes of carbon emissions and their impact on green portfolios,
    Economic Modelling Special Issue on Green Finance, Vol. 115 (2022), (with T. Anquetin, B. Tavin & L. Welgryn) [Link] [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]

WINE BUSINESS

  • 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


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


My academic profiles

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