Details about Sebastien Lleo

Access statistics for papers by Sebastien Lleo.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: pll37

Working Papers

2025

1. Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem
   Papers, arXiv.org

2021

2. Using a mean changing stochastic processes exit-entry model for stock market long-short prediction
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library

2018

3. A tale of two indexes: predicting equity market downturns in China
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017)

2016

4. Risk-sensitive investment in a finite-factor model
   Papers, arXiv.org View citations (2)

2015

5. The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (6)
   See also Journal Article The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?, IJFS, MDPI (2015) View citations (6) (2015)

2014

6. Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models?
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (6)
7. How to lose money in derivatives: examples from hedge funds and bank trading departments
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (3)
   See also Chapter How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2015) View citations (1) (2015)
8. Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (4)
   See also Journal Article Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world, International Journal of Forecasting, Elsevier (2015) View citations (1) (2015)

2012

9. Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
   Papers, arXiv.org View citations (4)

2010

10. Jump-Diffusion Risk-Sensitive Asset Management
    Papers, arXiv.org View citations (9)
11. Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model
    Papers, arXiv.org View citations (2)
12. Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
    Papers, arXiv.org View citations (2)
    See also Chapter Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2010) (2010)

Journal Articles

2024

1. Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data
   Annals of Operations Research, 2024, 336, (1), 661-689
2. On the separation of estimation and control in risk-sensitive investment problems under incomplete observation
   European Journal of Operational Research, 2024, 316, (1), 200-214 View citations (2)

2021

3. Risk‐sensitive benchmarked asset management with expert forecasts
   Mathematical Finance, 2021, 31, (4), 1162-1189 View citations (7)

2020

4. Debiased expert forecasts in continuous-time asset allocation
   Journal of Banking & Finance, 2020, 113, (C) View citations (13)
5. Stochastic Disorder Problems
   Quantitative Finance, 2020, 20, (7), 1057-1058

2019

6. Can Warren Buffett forecast equity market corrections?
   The European Journal of Finance, 2019, 25, (4), 369-393 View citations (2)
7. Gods and Robots: Myths, Machines, and Ancient Dreams of Technology
   Quantitative Finance, 2019, 19, (4), 545-546 View citations (1)

2018

8. Asymptotic Theory of Transaction Costs
   Quantitative Finance, 2018, 18, (8), 1261-1262
9. Combining standard and behavioral portfolio theories: a practical and intuitive approach
   Quantitative Finance, 2018, 18, (5), 707-717 View citations (3)
10. Financial and Macroeconomic Connectedness
    Quantitative Finance, 2018, 18, (12), 1967-1968

2017

11. Does the bond‐stock earnings yield differential model predict equity market corrections better than high P/E models?
    Financial Markets, Institutions & Instruments, 2017, 26, (2), 61-123

2015

12. Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
    International Journal of Forecasting, 2015, 31, (2), 399-425 View citations (1)
    See also Working Paper Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world, LSE Research Online Documents on Economics (2014) View citations (4) (2014)
13. The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?
    IJFS, 2015, 3, (3), 1-30 View citations (6)
    See also Working Paper The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis, LSE Research Online Documents on Economics (2015) View citations (6) (2015)

2013

14. Taming animal spirits: risk management with behavioural factors
    Annals of Finance, 2013, 9, (2), 145-166 View citations (2)

2012

15. Stock market crashes in 2007--2009: were we able to predict them?
    Quantitative Finance, 2012, 12, (8), 1161-1187 View citations (12)
    See also Chapter Stock market crashes in 2007–2009: were we able to predict them?, World Scientific Book Chapters, 2024, 303-329 (2024) (2024)

2008

16. Risk-sensitive benchmarked asset management
    Quantitative Finance, 2008, 8, (4), 415-426 View citations (29)

Books

2017

1. Stock Market Crashes:Predictable and Unpredictable and What to do About Them
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (2)

2014

2. Risk-Sensitive Investment Management
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (14)

Edited books

2024

1. Selected Works of William T Ziemba:A Memorial Volume
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

Chapters

2024

1. Stock market crashes in 2007–2009: were we able to predict them?
   Chapter 18 in Selected Works of William T Ziemba A Memorial Volume, 2024, pp 303-329
   Also in Chapter 13 in Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, 2013, pp 457-499 (2013)
   See also Journal Article Stock market crashes in 2007--2009: were we able to predict them?, Taylor & Francis Journals (2012) View citations (12) (2012)

2020

2. A Stopping Rule Model for Exiting Bubble-like Markets with Applications
   Chapter 24 in HANDBOOK OF APPLIED INVESTMENT RESEARCH, 2020, pp 635-659
   Also in Chapter 9 in STOCK MARKET CRASHES Predictable and Unpredictable and What To Do About Them, 2017, pp 209-233 (2017)
3. Stock Market Crashes in 2006–2009: Were We Able to Predict Them?
   Chapter 15 in HANDBOOK OF APPLIED INVESTMENT RESEARCH, 2020, pp 323-353

2017

4. A Simple Procedure to Incorporate Predictive Models in Stochastic Investment Models
   Chapter 10 in STOCK MARKET CRASHES Predictable and Unpredictable and What To Do About Them, 2017, pp 235-245
5. Analysis and Possible Prediction of Declines in the −5% to −15% Range
   Chapter 8 in STOCK MARKET CRASHES Predictable and Unpredictable and What To Do About Them, 2017, pp 185-208
6. Discovery of the Bond–Stock Earnings Yield Differential Model
   Chapter 2 in STOCK MARKET CRASHES Predictable and Unpredictable and What To Do About Them, 2017, pp 11-24
7. Effect of Fed Meetings and Small-Cap Dominance
   Chapter 6 in STOCK MARKET CRASHES Predictable and Unpredictable and What To Do About Them, 2017, pp 147-168
8. Introduction
   Chapter 1 in STOCK MARKET CRASHES Predictable and Unpredictable and What To Do About Them, 2017, pp 1-10
9. Mathematics of the Changepoint Detection Model
   Chapter 12 in STOCK MARKET CRASHES Predictable and Unpredictable and What To Do About Them, 2017, pp 259-272
10. Other Bubble-testing Methodologies and Historical Bubbles
    Chapter 11 in STOCK MARKET CRASHES Predictable and Unpredictable and What To Do About Them, 2017, pp 247-257
11. Other Prediction Models for the Big Crashes Averaging −25%
    Chapter 5 in STOCK MARKET CRASHES Predictable and Unpredictable and What To Do About Them, 2017, pp 133-145
12. Prediction of the 2007–2009 Stock Market Crashes in the US, China and Iceland
    Chapter 3 in STOCK MARKET CRASHES Predictable and Unpredictable and What To Do About Them, 2017, pp 25-53
13. The High Price–Earnings Stock Market Danger Approach of Campbell and Shiller versus the BSEYD Model
    Chapter 4 in STOCK MARKET CRASHES Predictable and Unpredictable and What To Do About Them, 2017, pp 55-132
14. Using Zweig’s Monetary and Momentum Models in the Modern Era
    Chapter 7 in STOCK MARKET CRASHES Predictable and Unpredictable and What To Do About Them, 2017, pp 169-183

2015

15. How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments
    Chapter 22 in THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, 2015, pp 689-750 View citations (1)
    See also Working Paper How to lose money in derivatives: examples from hedge funds and bank trading departments, London School of Economics and Political Science, LSE Library (2014) View citations (3) (2014)

2014

16. Asset and Liability Management
    Chapter 4 in RISK-SENSITIVE INVESTMENT MANAGEMENT, 2014, pp 57-87 View citations (2)
17. Asset and Liability Management: Jump-Diffusion Case
    Chapter 11 in RISK-SENSITIVE INVESTMENT MANAGEMENT, 2014, pp 261-304
18. Case Studies
    Chapter 13 in RISK-SENSITIVE INVESTMENT MANAGEMENT, 2014, pp 317-347
19. Factor Estimation: Filtering and Black-Litterman
    Chapter 15 in RISK-SENSITIVE INVESTMENT MANAGEMENT, 2014, pp 367-383
20. Factor and Securities Models
    Chapter 12 in RISK-SENSITIVE INVESTMENT MANAGEMENT, 2014, pp 307-315
21. Fund Separation and Fractional Kelly Strategies
    Chapter 9 in RISK-SENSITIVE INVESTMENT MANAGEMENT, 2014, pp 207-226 View citations (1)
22. General Jump-Diffusion Setting
    Chapter 8 in RISK-SENSITIVE INVESTMENT MANAGEMENT, 2014, pp 169-205
23. Infinite Horizon Problems
    Chapter 6 in RISK-SENSITIVE INVESTMENT MANAGEMENT, 2014, pp 109-128
24. Investment Constraints
    Chapter 5 in RISK-SENSITIVE INVESTMENT MANAGEMENT, 2014, pp 89-107 View citations (1)
25. Jumps in Asset Prices
    Chapter 7 in RISK-SENSITIVE INVESTMENT MANAGEMENT, 2014, pp 131-168
26. Managing Against a Benchmark
    Chapter 3 in RISK-SENSITIVE INVESTMENT MANAGEMENT, 2014, pp 41-56 View citations (1)
27. Managing Against a Benchmark: Jump-Diffusion Case
    Chapter 10 in RISK-SENSITIVE INVESTMENT MANAGEMENT, 2014, pp 227-260 View citations (1)
28. Numerical Methods
    Chapter 14 in RISK-SENSITIVE INVESTMENT MANAGEMENT, 2014, pp 349-365
29. Risk-Sensitive Asset Management
    Chapter 2 in RISK-SENSITIVE INVESTMENT MANAGEMENT, 2014, pp 17-40 View citations (7)
30. The Merton Problem
    Chapter 1 in RISK-SENSITIVE INVESTMENT MANAGEMENT, 2014, pp 3-15

2013

31. Fractional Kelly Strategies in Continuous Time: Recent Developments
    Chapter 37 in HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II, 2013, pp 753-787 View citations (4)
32. Jump-Diffusion Risk-Sensitive Benchmarked Asset Management
    Chapter 5 in Stochastic Programming Applications in Finance, Energy, Planning and Logistics, 2013, pp 97-127 View citations (1)

2011

33. Fractional Kelly Strategies for Benchmarked Asset Management
    Chapter 27 in THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, 2011, pp 385-407 View citations (8)

2010

34. Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach
    Chapter 1 in Recent Advances In Financial Engineering 2009, 2010, pp 1-41
    See also Working Paper Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach, arXiv.org (2010) View citations (2) (2010)