Details about Bertrand Bruno Maillet

Access statistics for papers by Bertrand Bruno Maillet.

Last updated 2019-02-17. Update your information in the RePEc Author Service.

Short-id: pma1896

Working Papers

2015

1. Du risque des mesures de risque systémique
   Post-Print, HAL
   See also Journal Article Du risque des mesures de risque systémique, Revue économique, Presses de Sciences-Po (2016) (2016)
2. Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach
   Post-Print, HAL View citations (24)
   See also Journal Article Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach, European Journal of Operational Research, Elsevier (2015) View citations (34) (2015)
3. La macroéconomie-en-risque
   Post-Print, HAL
   Also in Post-Print, HAL (2015) View citations (1)
   See also Journal Article La macroéconomie-en-risque, Revue économique, Presses de Sciences-Po (2015) (2015)
4. On the (Ab)Use of Omega?
   Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (7)

2014

5. A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies
   Working Papers, HAL View citations (21)
   Also in LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2013)
   Working Papers, Department of Research, Ipag Business School (2014) View citations (24)
   See also Journal Article A dynamic autoregressive expectile for time-invariant portfolio protection strategies, Journal of Economic Dynamics and Control, Elsevier (2014) View citations (21) (2014)
6. A Survey on the Four Families of Performance Measures
   Post-Print, HAL View citations (24)
   See also Journal Article A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES, Journal of Economic Surveys, Wiley Blackwell (2014) View citations (40) (2014)
7. Risk Model-at-Risk
   Post-Print, HAL
   Also in Post-Print, HAL (2014) View citations (26)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014) View citations (7)
   See also Journal Article Risk models-at-risk, Journal of Banking & Finance, Elsevier (2014) View citations (33) (2014)

2013

8. An Economic Evaluation of Model Risk In Long-term Asset Allocations
   LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans View citations (1)
   Also in Post-Print, HAL (2013) View citations (1)
   Working Papers, HAL (2013) View citations (1)
   See also Journal Article An Economic Evaluation of Model Risk in Long-term Asset Allocations, Review of International Economics, Wiley Blackwell (2013) View citations (1) (2013)
9. Learning by Failing: A Simple Buffer for VaR
   Post-Print, HAL View citations (3)
10. Learning by Failing: A Simple VaR Buffer
    Post-Print, HAL View citations (3)
11. Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach
    EconomiX Working Papers, University of Paris Nanterre, EconomiX
12. Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (6)
13. Tijd voor revisie van Life-Cycle Fondsen
    Post-Print, HAL

2012

14. Prévoir sans persistance
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
15. Prévoir sans persistance
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Post-Print, HAL (2012)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012)
    See also Journal Article Prévoir sans persistance, Revue économique, Presses de Sciences-Po (2012) (2012)
16. Une evaluation economique du risque de modele pour les investisseurs de long terme. (An Economic Evaluation of the Model Risk for Long-Term Investors. With English summary.)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
17. Une évaluation économique du risque de modèle pour les investisseurs de long terme
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Post-Print, HAL (2012)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012)
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2012)
    See also Journal Article Une évaluation économique du risque de modèle pour les investisseurs de long terme, Revue économique, Presses de Sciences-Po (2012) (2012)

2011

18. Detrending Persistent Predictors
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011)
19. The Riskiness of Risk Models
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (1)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011)
20. Une analyse temps-fréquence des cycles financiers
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2011) View citations (3)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011)
    See also Journal Article Une analyse temps-fréquences des cycles financiers, Revue économique, Presses de Sciences-Po (2011) (2011)

2010

21. Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
22. L'approche DARE pour une mesure de risque diversifiée
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010)
    See also Journal Article L'approche dare pour une mesure de risque diversifiée, Revue économique, Presses de Sciences-Po (2010) (2010)
23. Un MEDAF à plusieurs moments réalisés
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (2)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) View citations (2)
    See also Journal Article Un MEDAF à plusieurs moments réalisés, Brussels Economic Review, ULB -- Universite Libre de Bruxelles (2010) View citations (2) (2010)

2009

24. A Risk Management Approach for Portfolio Insurance Strategies
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (8)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) View citations (6)
25. D'un multiple conditionnel en assurance de portefeuille: CAViaR pour les gestionnaires ?
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009) View citations (2)
26. High Watermarks of Market Risks
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009) View citations (1)

2008

27. Do misalignments predict aggregated stock-market volatility?
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    See also Journal Article Do misalignments predict aggregated stock-market volatility?, Economics Letters, Elsevier (2008) (2008)
28. Efficient Frontier for Robust Higher-order Moment Portfolio Selection
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (2)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008) View citations (2)
29. Rose des vents, éventails et explosions d'étoiles sur le marché français
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL

2006

30. Hedge Funds Portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (15)
31. Introduction to Multi-moment Asset Allocation and Pricing Models
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (11)
32. Multi-moment Asset Allocation and Pricing Models
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (56)
33. The 4-CAPM: in between Asset Pricing and Asset Allocation
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
34. Theoretical Foundations of Higher Moments when Pricing Assets
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
35. Understanding and reducing variability of SOM neighbourhood structure
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL

2005

36. Completing Hedge Fund Missing Net Asset Values using Kohonen Maps and Constrained Randomization
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
37. Technical Analysis Profitability when Exchange Rates are Pegged: A Note
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    See also Journal Article Technical analysis profitability when exchange rates are pegged: A note, The European Journal of Finance, Taylor & Francis Journals (2005) (2005)
38. The Impact of the 9/11 Events on the American and French Stock Markets
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (11)
    See also Journal Article The Impact of the 9/11 Events on the American and French Stock Markets, Review of International Economics, Wiley Blackwell (2005) View citations (20) (2005)

2004

39. A Note on Skewness and Kurtosis Adjusted Option Pricing Models under the Martingale Restriction
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (18)
    See also Journal Article A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction, Quantitative Finance, Taylor & Francis Journals (2004) View citations (18) (2004)
40. Caractérisation de crises financières à l'aide de modèles hybrides (HMC-MLP)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    See also Journal Article Caractérisation des crises financières à l'aide de modèles hybrides (HMC-MLP), Revue d'économie politique, Dalloz (2004) (2004)
41. La volatilité des marchés augmente-elle ?
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    See also Journal Article La volatilité des marchés augmente-t-elle ?, Revue d'Économie Financière, Programme National Persée (2004) (2004)

2003

42. Classifying Hedge Funds using Kohonen Map
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (4)

2002

43. How Deep was the September 2001 Stock Market Crisis? Putting Recent Events on the American and French Markets into Perspective with an Index of Market Shocks
    FMG Discussion Papers, Financial Markets Group View citations (1)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) View citations (1)
44. Quelle a été l'ampleur de la crise financière de Septembre 2001 ? Une mise en perspective
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
45. Revisited Multi-moment Approximate Option
    FMG Discussion Papers, Financial Markets Group
46. Revisited multi-moment approximate option pricing models: a general comparison (Part 1)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (7)
47. Skewness and Kurtosis Implied by Option Prices: A Second Comment
    FMG Discussion Papers, Financial Markets Group View citations (5)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) View citations (3)
48. The 3-CAPM: Theoretical Foundations and a Comparison of Asset Pricing Models in an Unified Framework
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (7)

2001

49. The Approximate Option Pricing Model: Performances and Dynamic Properties
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (10)
    See also Journal Article The approximate option pricing model: performances and dynamic properties, Journal of Multinational Financial Management, Elsevier (2001) View citations (10) (2001)

2000

50. Further Insights on the Puzzle of Technical Analysis Profitability
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (10)
    See also Journal Article Further insights on the puzzle of technical analysis profitability, The European Journal of Finance, Taylor & Francis Journals (2000) View citations (14) (2000)

1998

51. Flexible Least Squares Betas: The French Market Case
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche View citations (5)
52. Une étude empirique de la performance de l'analyse technique sur le marché des changes
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
53. Variabilité du risque systématique: une étude du bêta sur le marché français des actions
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL

1997

54. Mesure de temps, information et distribution des rendements intra-journaliers
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)

Journal Articles

2016

1. Du risque des mesures de risque systémique
   Revue économique, 2016, 67, (2), 263-278
   See also Working Paper Du risque des mesures de risque systémique, Post-Print (2015) (2015)
2. D’un indice de détection d’anomalies à l’usage des investisseurs
   Revue économique, 2016, 67, (5), 1037-1056

2015

3. A DARE for VaR
   Finance, 2015, 36, (1), 7-38 View citations (4)
4. Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach
   European Journal of Operational Research, 2015, 244, (1), 289-299 View citations (34)
   See also Working Paper Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach, Post-Print (2015) View citations (24) (2015)
5. La macroéconomie-en-risque
   Revue économique, 2015, 66, (4), 769-782
   See also Working Paper La macroéconomie-en-risque, Post-Print (2015) (2015)

2014

6. A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES
   Journal of Economic Surveys, 2014, 28, (5), 917-942 View citations (40)
   See also Working Paper A Survey on the Four Families of Performance Measures, Post-Print (2014) View citations (24) (2014)
7. A dynamic autoregressive expectile for time-invariant portfolio protection strategies
   Journal of Economic Dynamics and Control, 2014, 46, (C), 1-29 View citations (21)
   See also Working Paper A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies, Working Papers (2014) View citations (21) (2014)
8. Risk models-at-risk
   Journal of Banking & Finance, 2014, 44, (C), 72-92 View citations (33)
   See also Working Paper Risk Model-at-Risk, Post-Print (2014) (2014)

2013

9. An Economic Evaluation of Model Risk in Long-term Asset Allocations
   Review of International Economics, 2013, 21, (3), 475-491 View citations (1)
   See also Working Paper An Economic Evaluation of Model Risk In Long-term Asset Allocations, LEO Working Papers / DR LEO (2013) View citations (1) (2013)

2012

10. Prévoir sans persistance
    Revue économique, 2012, 63, (3), 581-590
    See also Working Paper Prévoir sans persistance, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2012) (2012)
11. Une évaluation économique du risque de modèle pour les investisseurs de long terme
    Revue économique, 2012, 63, (3), 591-600
    See also Working Paper Une évaluation économique du risque de modèle pour les investisseurs de long terme, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2012) (2012)

2011

12. Une analyse temps-fréquences des cycles financiers
    Revue économique, 2011, 62, (3), 441-450
    See also Working Paper Une analyse temps-fréquence des cycles financiers, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2011) (2011)

2010

13. L'approche dare pour une mesure de risque diversifiée
    Revue économique, 2010, 61, (3), 635-643
    See also Working Paper L'approche DARE pour une mesure de risque diversifiée, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2010) (2010)
14. Un MEDAF à plusieurs moments réalisés
    Brussels Economic Review, 2010, 53, (3/4), 457-480 View citations (2)
    See also Working Paper Un MEDAF à plusieurs moments réalisés, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2010) View citations (2) (2010)

2009

15. A Non-Linear Approach for Completing Missing Values in Temporal Databases
    European Journal of Economic and Social Systems, 2009, 22, (1), 99-117

2008

16. Do misalignments predict aggregated stock-market volatility?
    Economics Letters, 2008, 100, (2), 317-320
    See also Working Paper Do misalignments predict aggregated stock-market volatility?, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2008) (2008)

2005

17. Technical analysis profitability when exchange rates are pegged: A note
    The European Journal of Finance, 2005, 11, (6), 463-470
    See also Working Paper Technical Analysis Profitability when Exchange Rates are Pegged: A Note, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2005) (2005)
18. The Impact of the 9/11 Events on the American and French Stock Markets
    Review of International Economics, 2005, 13, (3), 597-611 View citations (20)
    See also Working Paper The Impact of the 9/11 Events on the American and French Stock Markets, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2005) View citations (11) (2005)

2004

19. A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction
    Quantitative Finance, 2004, 4, (5), 479-488 View citations (18)
    See also Working Paper A Note on Skewness and Kurtosis Adjusted Option Pricing Models under the Martingale Restriction, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2004) View citations (18) (2004)
20. Caractérisation des crises financières à l'aide de modèles hybrides (HMC-MLP)
    Revue d'économie politique, 2004, 114, (4), 489-506
    See also Working Paper Caractérisation de crises financières à l'aide de modèles hybrides (HMC-MLP), Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2004) (2004)
21. La volatilité des marchés augmente-t-elle ?
    Revue d'Économie Financière, 2004, 74, (1), 17-44
    See also Working Paper La volatilité des marchés augmente-elle ?, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2004) (2004)

2003

22. An index of market shocks based on multiscale analysis
    Quantitative Finance, 2003, 3, (2), 88-97 View citations (12)

2002

23. Quelle était la gravité de la crise boursière de Septembre 2001 ? Construction d’un indice de crise et mise en perspective des dernières turbulences
    Revue d'Économie Financière, 2002, 67, (3), 269-276

2001

24. The approximate option pricing model: performances and dynamic properties
    Journal of Multinational Financial Management, 2001, 11, (4-5), 427-443 View citations (10)
    See also Working Paper The Approximate Option Pricing Model: Performances and Dynamic Properties, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2001) View citations (10) (2001)

2000

25. Further insights on the puzzle of technical analysis profitability
    The European Journal of Finance, 2000, 6, (2), 196-224 View citations (14)
    See also Working Paper Further Insights on the Puzzle of Technical Analysis Profitability, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2000) View citations (10) (2000)