research.knit

Research

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

Sustainable commodity factors (with B. Tavin and Y. Zhou) SSRN
The biodiversity premium (with T. Giroux & O.D. Zerbib): SSRN
Unexpected opportunities in misspecified predictive regressions (with R. Deguest): material
Factor investing with reinforcement learning (with E. André): SSRN
Characteristics-driven returns in equilibrium: SSRN - R notebook
Forking paths in empirical studies: SSRN - R Notebook (first study) R Notebook (second study)
Interactions in Asset Pricing (with G. Chevalier & T. Raffinot): SSRN

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

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]

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]

DATA & DECISION SCIENCES

Dynamic decision making with predictive panels,
Journal of the Operational Research Society, Forthcoming (2023) - (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]

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]

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, Forthcoming (2022), (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, Forthcoming (with G. Chevalier & T. Raffinot): [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]

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)

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

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]