Details about Fabrice Barthélémy

Access statistics for papers by Fabrice Barthélémy.

Last updated 2022-12-14. Update your information in the RePEc Author Service.

Short-id: pba408

Working Papers

2021

1. Dummy Players and the Quota in Weighted Voting Games
   Post-Print, HAL
   See also Journal Article Dummy Players and the Quota in Weighted Voting Games, Group Decision and Negotiation, Springer (2021) (2021)

2020

2. Dummy players and the quota in weighted voting games: Some further results
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
   See also Chapter Dummy Players and the Quota in Weighted Voting Games: Some Further Results, Studies in Choice and Welfare, Springer (2021) (2021)

2018

3. An index to forecast housing returns
   ERES, European Real Estate Society (ERES)
4. Mixed-asset portfolio allocation under mean-reverting asset returns
   Post-Print, HAL
   See also Journal Article Mixed-asset portfolio allocation under mean-reverting asset returns, Annals of Operations Research, Springer (2019) View citations (2) (2019)

2017

5. A changing model for Real Estate Returns: a factorial approach
   ERES, European Real Estate Society (ERES)
6. Computation of the Corrected Cornish-Fisher Expansion using the Response Surface Methodology: Application to V aR and CV aR
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)
   See also Journal Article Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR, Annals of Operations Research, Springer (2019) View citations (6) (2019)
7. Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
8. Trump’s victory like Harrison, not Hayes and Bush
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

2016

9. Market heterogeneity and the determinants of Paris apartment prices: A quantile regression approach
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (2)
   Also in ERES, European Real Estate Society (ERES) (2013)
10. Segmenting the Paris residential market using a Principal Component Analysis
    ERES, European Real Estate Society (ERES)

2015

11. Ex-ante real estate Value at Risk calculation method
    ERES, European Real Estate Society (ERES)
    See also Journal Article Ex-ante real estate Value at Risk calculation method, Annals of Operations Research, Springer (2018) View citations (2) (2018)
12. Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
    See also Journal Article Real estate investment: Market volatility and optimal holding period under risk aversion, Economic Modelling, Elsevier (2016) (2016)
13. The Impact of Lease Structures on the Optimal Holding Period for a Commercial Real Estate Portfolio
    Post-Print, HAL View citations (2)
    Also in ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2014)
    See also Journal Article The impact of lease structures on the optimal holding period for a commercial real estate portfolio, Journal of Property Investment & Finance, Emerald Group Publishing Limited (2015) View citations (3) (2015)

2014

14. Cornish-Fisher Expansion for Commercial Real Estate Value at Risk
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)
    See also Journal Article Cornish-Fisher Expansion for Commercial Real Estate Value at Risk, The Journal of Real Estate Finance and Economics, Springer (2015) View citations (7) (2015)
15. Market Heterogeneity and Investment Risk – Applying Quantile Regression to the Paris Apartment Market, 1990-2006
    ERES, European Real Estate Society (ERES)
16. The Optimal Holding Period for a Commercial Real Estate Portfolio: Taking the Lease Structure into Account
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

2012

17. Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School View citations (6)
    Also in ERES, European Real Estate Society (ERES) (2010)
    Post-Print, HAL (2011)
    See also Journal Article Combining Monte Carlo simulations and options to manage the risk of real estate portfolios, Journal of Property Investment & Finance, Emerald Group Publishing Limited (2013) View citations (8) (2013)
18. Cornish-Fisher expansion for real estate value at risk
    ERES, European Real Estate Society (ERES)
19. On the likelihood of dummy players in weighted majority games
    Post-Print, HAL View citations (1)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2011) View citations (1)
    See also Journal Article On the likelihood of dummy players in weighted majority games, Social Choice and Welfare, Springer (2013) View citations (6) (2013)
20. Value-at-risk: A specific real estate model
    ERES, European Real Estate Society (ERES)

2011

21. A comparison between the methods of apportionment using power indices: the case of the U.S. presidential elections
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (5)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2007)
    See also Journal Article A Comparison Between the Methods of Apportionment Using Power Indices: the Case of the US Presidential Elections, Annals of Economics and Statistics, GENES (2011) View citations (2) (2011)
22. Fair Apportionment in the Italian Senate: Which Reform Should Be Implemented?
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
23. Real Estate Portfolio Management: Optimization under Risk Aversion
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (3)
24. Some conjectures on the two main power indices
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (3)
25. U.S Presidential Elections and the Referendum Paradox
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

2009

26. A Repeat Sales Index Robust to Small Datasets
    Post-Print, HAL
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2009)
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2009)
    See also Journal Article A repeat sales index robust to small datasets, Journal of Property Investment & Finance, Emerald Group Publishing Limited (2011) (2011)
27. Forecasting Real Estate Prices From a PCA Repeat Sales Index
    ERES, European Real Estate Society (ERES)
28. La loi LRU a-t-elle modifié les distributions de pouvoir au sein des universités françaises ?
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)
    Also in Post-Print, HAL (2009) View citations (1)
    See also Journal Article La loi LRU a-t-elle modifié les distributions de pouvoir au sein des universités françaises ?, Revue économique, Presses de Sciences-Po (2009) View citations (1) (2009)
29. Optimal Time to Sell in Real Estate Portfolio Management
    Post-Print, HAL View citations (9)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2008) View citations (5)
    See also Journal Article Optimal Time to Sell in Real Estate Portfolio Management, The Journal of Real Estate Finance and Economics, Springer (2009) View citations (6) (2009)
30. Segmenting the Paris Residential Market According to Temporal Evolution and Housing Attributes
    ERES, European Real Estate Society (ERES)
31. What Discount Rate Should Bankruptcy Judges Use? Estimate from Canadian Reorganization Data
    Post-Print, HAL View citations (1)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2006)
    See also Journal Article What discount rate should bankruptcy judges use? Estimates from Canadian reorganization data, International Review of Law and Economics, Elsevier (2009) View citations (1) (2009)

2008

32. A REPEAT SALES INDEX ROBUST TO SMALL TRANSACTIONS VOLUME
    ERES, European Real Estate Society (ERES)
33. Italian Senate apportionment: is the 2007 proposal fair?
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
34. Loi relative aux libertés et responsabilités des universités (loi LRU), élection du président et conseil d'administration: une analyse en termes de pouvoir
    Post-Print, HAL View citations (1)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2008) View citations (2)
    See also Journal Article Loi relative aux libertés et responsabilités des universités (loi LRU), élection du président et conseil d'administration: une analyse en termes de pouvoir, Revue d'économie politique, Dalloz (2008) View citations (1) (2008)

2007

35. Configurations study for the Banzhaf and the Shapley-Shubik indices of power
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
36. Is it possible to construct derivatives for the Paris residential market?
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
    Also in ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2007)
    See also Journal Article Is It Possible to Construct Derivatives for the Paris Residential Market?, The Journal of Real Estate Finance and Economics, Springer (2008) View citations (5) (2008)
37. May we Build Derivatives on the Paris Residential Market?
    ERES, European Real Estate Society (ERES)
38. On the performance of the Shapley Shubik and Banzhaf power indices for the allocations of mandates
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)
39. Optimal Holding Period for a Real Estate Portfolio
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School View citations (8)
    See also Journal Article Optimal holding period for a real estate portfolio, Journal of Property Investment & Finance, Emerald Group Publishing Limited (2007) View citations (2) (2007)
40. Paris Repeat Sales Commercial Property Indices
    ERES, European Real Estate Society (ERES)
41. The Carrez Law: a Law to Fight Against the Round Numbers?
    ERES, European Real Estate Society (ERES)

2006

42. Analyse spatiale du pouvoir de vote: application au cas de l'intercommunalité dans le département du Val d'Oise
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
43. Monte Carlo Simulations versus DCF in Real Estate Portfolio Valuation
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School View citations (4)
44. OPTIMAL HOLDING PERIOD IN REAL ESTATE PORTFOLIO
    ERES, European Real Estate Society (ERES)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2006) View citations (2)

2005

45. A PCA Factor Repeat Sales Index (1973-2001) To Forecast Apartment Prices in Paris (France)
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School View citations (22)
46. Répartition des sièges au sein des structures intercommunales du Val d’Oise
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)

2004

47. A PCA Factor Repeat Sales Index To Forecast Apartment Prices in Paris
    ERES, European Real Estate Society (ERES)
48. Do building and street matter?
    ERES, European Real Estate Society (ERES)
49. Estimates of Creditors' Discount Rates in Court-Supervised Reorganisation Decisions
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (3)
50. La Rénovation de la Goutte d’Or est elle un succès ? Un Diagnostic à l’Aide d’Indices de Prix Immobilier
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)
    See also Journal Article La rénovation de la Goutte d'Or est-elle un succès ? Un diagnostic à l'aide d'indices de prix immobilier, Économie et Prévision, Programme National Persée (2007) View citations (3) (2007)
51. Physical Real Estate. A Paris Repeat Sales Residential Index
    ERES, European Real Estate Society (ERES) View citations (3)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2004) View citations (4)
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2004) View citations (6)
52. The Paris Residential Market: Driving Factors and Market Behaviour 1973-2001
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School View citations (10)
53. Which Capital Growth Index for the Paris Residential Market?
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
    Also in ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2003)

2003

54. A Hybrid Housing Price Index for Paris
    ERES, European Real Estate Society (ERES)
55. Which Capital Growth for the Paris Residential Market?
    ERES, European Real Estate Society (ERES)

2002

56. A Repeat Sales Index for Paris
    ERES, European Real Estate Society (ERES) View citations (1)
57. Sequential Multiple Unit Root Test: New Evidence
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

2001

58. Analysing the real estate investment risk: The case of Paris
    ERES, European Real Estate Society (ERES)
59. Indices de l'immobilier physique et facteurs systématiques de risque
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

2000

60. Strategies optimales d'allocation de portefeuilles internationaux avec contraintes
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

1997

61. Tests de racines unitaires multiples et saisonnalité
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)
    See also Journal Article Tests de racines unitaires multiples et saisonnalité, Revue Économique, Programme National Persée (1997) View citations (1) (1997)

1996

62. Properties of Unit Root Tests for Models with Trend and Cycles
    G.R.E.Q.A.M., Universite Aix-Marseille III
63. Properties of the ADF Unit Root Test for Models with Trends and Cycles
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (1)

Journal Articles

2022

1. Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion
   Annals of Operations Research, 2022, 313, (2), 691-712 View citations (1)

2021

2. Dummy Players and the Quota in Weighted Voting Games
   Group Decision and Negotiation, 2021, 30, (1), 43-61
   See also Working Paper Dummy Players and the Quota in Weighted Voting Games, Post-Print (2021) (2021)

2020

3. Un nouveau paradigme de la dynamique des rendements immobiliers parisiens
   Revue économique, 2020, 71, (4), 751-765

2019

4. Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR
   Annals of Operations Research, 2019, 281, (1), 423-453 View citations (6)
   See also Working Paper Computation of the Corrected Cornish-Fisher Expansion using the Response Surface Methodology: Application to V aR and CV aR, THEMA Working Papers (2017) View citations (1) (2017)
5. Mixed-asset portfolio allocation under mean-reverting asset returns
   Annals of Operations Research, 2019, 281, (1), 65-98 View citations (2)
   See also Working Paper Mixed-asset portfolio allocation under mean-reverting asset returns, Post-Print (2018) (2018)

2018

6. Ex-ante real estate Value at Risk calculation method
   Annals of Operations Research, 2018, 262, (2), 257-285 View citations (2)
   See also Working Paper Ex-ante real estate Value at Risk calculation method, ERES (2015) (2015)

2017

7. Market heterogeneity, investment risk and portfolio allocation
   International Journal of Housing Markets and Analysis, 2017, 10, (5), 641-661

2016

8. Real estate investment: Market volatility and optimal holding period under risk aversion
   Economic Modelling, 2016, 58, (C), 543-555
   See also Working Paper Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion, THEMA Working Papers (2015) (2015)

2015

9. Cornish-Fisher Expansion for Commercial Real Estate Value at Risk
   The Journal of Real Estate Finance and Economics, 2015, 50, (4), 439-464 View citations (7)
   See also Working Paper Cornish-Fisher Expansion for Commercial Real Estate Value at Risk, THEMA Working Papers (2014) View citations (1) (2014)
10. The impact of lease structures on the optimal holding period for a commercial real estate portfolio
    Journal of Property Investment & Finance, 2015, 33, (2), 121-139 View citations (3)
    See also Working Paper The Impact of Lease Structures on the Optimal Holding Period for a Commercial Real Estate Portfolio, Post-Print (2015) View citations (2) (2015)

2013

11. Combining Monte Carlo simulations and options to manage the risk of real estate portfolios
    Journal of Property Investment & Finance, 2013, 31, (4), 360-389 View citations (8)
    See also Working Paper Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios, ESSEC Working Papers (2012) View citations (6) (2012)
12. On the likelihood of dummy players in weighted majority games
    Social Choice and Welfare, 2013, 41, (2), 263-279 View citations (6)
    See also Working Paper On the likelihood of dummy players in weighted majority games, Post-Print (2012) View citations (1) (2012)

2011

13. A Comparison Between the Methods of Apportionment Using Power Indices: the Case of the US Presidential Elections
    Annals of Economics and Statistics, 2011, (101-102), 87-106 View citations (2)
    See also Working Paper A comparison between the methods of apportionment using power indices: the case of the U.S. presidential elections, THEMA Working Papers (2011) View citations (5) (2011)
14. A repeat sales index robust to small datasets
    Journal of Property Investment & Finance, 2011, 29, (1), 35-48
    See also Working Paper A Repeat Sales Index Robust to Small Datasets, Post-Print (2009) (2009)

2009

15. La loi LRU a-t-elle modifié les distributions de pouvoir au sein des universités françaises ?
    Revue économique, 2009, 60, (6), 1469-1481 View citations (1)
    See also Working Paper La loi LRU a-t-elle modifié les distributions de pouvoir au sein des universités françaises ?, THEMA Working Papers (2009) View citations (1) (2009)
16. Optimal Time to Sell in Real Estate Portfolio Management
    The Journal of Real Estate Finance and Economics, 2009, 38, (1), 59-87 View citations (6)
    See also Working Paper Optimal Time to Sell in Real Estate Portfolio Management, Post-Print (2009) View citations (9) (2009)
17. What discount rate should bankruptcy judges use? Estimates from Canadian reorganization data
    International Review of Law and Economics, 2009, 29, (1), 67-72 View citations (1)
    See also Working Paper What Discount Rate Should Bankruptcy Judges Use? Estimate from Canadian Reorganization Data, Post-Print (2009) View citations (1) (2009)

2008

18. Is It Possible to Construct Derivatives for the Paris Residential Market?
    The Journal of Real Estate Finance and Economics, 2008, 37, (3), 233-264 View citations (5)
    See also Working Paper Is it possible to construct derivatives for the Paris residential market?, THEMA Working Papers (2007) (2007)
19. Loi relative aux libertés et responsabilités des universités (loi LRU), élection du président et conseil d'administration: une analyse en termes de pouvoir
    Revue d'économie politique, 2008, 118, (3), 299-315 View citations (1)
    See also Working Paper Loi relative aux libertés et responsabilités des universités (loi LRU), élection du président et conseil d'administration: une analyse en termes de pouvoir, Post-Print (2008) View citations (1) (2008)
20. Un nouvel indice de risque immobilier pour le marché résidentiel parisien
    Revue économique, 2008, 59, (1), 99-118 View citations (3)

2007

21. APCA Factor Repeat Sales Index for Apartment Prices in Paris
    Journal of Real Estate Research, 2007, 29, (2), 137-158 View citations (7)
22. Critères pour une meilleure répartition des sièges au sein des structures intercommunales. Une application au cas du Val-d'Oise
    Revue économique, 2007, 58, (2), 399-425 View citations (2)
23. La rénovation de la Goutte d'Or est-elle un succès ? Un diagnostic à l'aide d'indices de prix immobilier
    Économie et Prévision, 2007, 180, (4), 107-126 View citations (3)
    Also in Economie & Prévision, 2007, n° 180-181, (4), 107-126 (2007) View citations (2)
    See also Working Paper La Rénovation de la Goutte d’Or est elle un succès ? Un Diagnostic à l’Aide d’Indices de Prix Immobilier, THEMA Working Papers (2004) View citations (1) (2004)
24. Optimal holding period for a real estate portfolio
    Journal of Property Investment & Finance, 2007, 25, (6), 603-625 View citations (2)
    See also Working Paper Optimal Holding Period for a Real Estate Portfolio, ESSEC Working Papers (2007) View citations (8) (2007)

1997

25. Tests de racines unitaires multiples et saisonnalité
    Revue Économique, 1997, 48, (3), 673-683 View citations (1)
    See also Working Paper Tests de racines unitaires multiples et saisonnalité, THEMA Working Papers (1997) View citations (1) (1997)

1996

26. Unit roots tests and SARIMA models
    Economics Letters, 1996, 50, (2), 147-154 View citations (1)

Chapters

2021

1. Dummy Players and the Quota in Weighted Voting Games: Some Further Results
   Springer
   See also Working Paper Dummy players and the quota in weighted voting games: Some further results, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2020) (2020)