Research

Sustainability in commodity markets

Journal of Banking & Finance Vol. 184, pp. 107599

with B. Tavin and Y. Zhou Open access

Winner of the cascad best reproduced paper award at the 2024 AFFI conference

The biodiversity premium

Ecological Economics Vol. 228

with T. Giroux & O.D. Zerbib Open access SSRN

Unexpected opportunities in misspecified predictive regressions

European Journal of Operational Research Vol. 318, No. 2, pp. 686–700

with R. Deguest Open access Material

ESG news spillovers across the value chain

Financial Management Vol. 52, No. 4, pp. 677–710

with V. Le Tran Working paper

Dynamic decision making with predictive panels

Journal of the Operational Research Society Vol. 75, No. 6, pp. 1055–1075

with B. Tavin Link Working paper R notebook

Scopes of carbon emissions and their impact on green portfolios

Economic Modelling Vol. 115

with T. Anquetin, B. Tavin & L. Welgryn Link Working paper

The determinants of health assessment in the United States: A supervised learning approach

Healthcare Analytics Vol. 2

Open access

Persistence in factor-based supervised learning models

Journal of Finance & Data Science Vol. 8, pp. 12–34

Open access Material

A note on implied correlation for bivariate contracts

Economics Bulletin Vol. 40, No. 2, pp. 1388–1396

with B. Tavin Link

Training trees on tails with applications to portfolio choice

Annals of Operations Research Vol. 288, pp. 181–221

with T. Guida Link Working paper Material

Procedural Rationality, Asset Heterogeneity and Market Selection

Journal of Mathematical Economics Vol. 82, pp. 125–149

with B. Tavin Link Working paper

Herding behavior among wine investors

Economic Modelling Vol. 68, pp. 318–328

with B. Aytac and C. Mandou Link

Empirical properties of a heterogeneous agent model in large dimensions

Journal of Economic Dynamics & Control Vol. 77, pp. 180–201

Link

Approximate NORTA simulations for virtual sample generation

Expert Systems With Applications Vol. 73, pp. 69–81

Link

An investigation of model risk in a market with jumps and stochastic volatility

European Journal of Operational Research Vol. 253, pp. 648–658

with B. Tavin Link Working paper

Characteristics-based portfolio choice with leverage constraints

Journal of Banking and Finance Vol. 70, pp. 23–37

with M. Ammann and J-P. Schade Link Working paper

On the distribution of the supremum of the spectrally negative stable process with drift

Statistics & Probability Letters Vol. 107, pp. 333–340

Link

Diversified minimum-variance portfolios

Annals of Finance Vol. 11, No. 2, pp. 221–241

Link

Optimal wine pricing for restaurants

Journal of Wine Economics Vol. 10, No. 2, pp. 204–224

Link

Second order risk aggregation with the Bernstein copula

Insurance: Mathematics and Economics Vol. 58, pp. 150–158

Link

Lookback option prices under a spectrally negative tempered-stable model

International Journal of Theoretical and Applied Finance Vol. 16, No. 3

Link

Meromorphic Levy-Khintchine exponents with poles of order two

Communications on Stochastic Analysis Vol. 7, No. 2, pp. 179–198

Link

Approximation of probabilistic Laplace transforms and their inverses

Communications in Applied Mathematics and Computational Science Vol. 7, No. 2, pp. 231–246

Link

Cross-Asset Climate Betas

Journal of Portfolio Management Vol. 51, No. 5, pp. 143–163

with JC Bertrand, N. McLoughlin and S. Mesnard Link Working paper

The impact of climate change risk on long-term asset allocation

Journal of Portfolio Management Vol. 50, No. 5, 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, pp. 968–987

with C. Morgenstern & J. Kelly Open access Working paper

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, pp. 2275–2295

with G. Chevalier & T. Raffinot Link Working paper Notebook

Tuning trend following strategies with macro ESG data

Journal of Impact & ESG Investing Vol. 2, No. 2, pp. 117–136

with C. Morgenstern & J. Kelly Link

Stock-specific sentiment and return predictability

Quantitative Finance Vol. 20, No. 9, pp. 1531–1551

Link Working paper

Machine learning in systematic equity allocation: a model comparison

Wilmott Magazine Vol. 2018, Issue 98, 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

Climate and Sustainable Investing edited by E. Jurczenko

with J. Frey-Skött, C. Morgenstern, J. Kelly, B. Österberg, S. Stiernegrip

Book review: Machine Learning in Finance: From Theory to Practice (by Dixon, Halperin and Bilokon)

Quantitative Finance

Link

Ensemble learning applied to quant equity: gradient boosting in a multifactor framework

Big Data and Machine Learning in Quantitative Investment edited by T. Guida

with T. Guida

Forking paths in empirical studies

SSRN R notebook (first study) R notebook (second study)

Boosting ESG-Based Optimization With Asset Pricing Characteristics

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

with T. Guida PDF

Active allocation to smart factor indices

Scientific Beta Research Paper

with N. Amenc and L. Martellini PDF

Estimation of covariance matrices for portfolio optimization

Scientific Beta Research Paper

with V. Milhau 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

PDF

Pricing exotic options in the Finite Moment Log-Stable model

PDF

Explaining green returns

PDF

Advances in asset pricing

Slides (HTML)