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Details about Bertrand Bruno Maillet

Homepage:http://www.bertrand-maillet.net/
Workplace:EMLYON Business School, (more information at EDIRC)
Centre d'Économie et de Management de l'Océan Indien (CEMOI) (Center for the Economics and the Management of the Indian Ocean), Faculté de Droit et de Sciences Économiques et Politiques (Faculty of Law, Economics and Politics), Université de la Réunion (University of Reunion), (more information at EDIRC)

Access statistics for papers by Bertrand Bruno Maillet.

Last updated 2017-05-04. Update your information in the RePEc Author Service.

Short-id: pma1896


Jump to Journal Articles

Working Papers

2015

  1. A DARE for VaR
    Post-Print, HAL
    See also Journal Article in Finance (2015)
  2. Du risque des mesures de risque systémique
    Post-Print, HAL
    See also Journal Article in Revue économique (2016)
  3. Global Minimum Variance Portfolio Optimisation Under some Model Risk: A Robust Regression-based Approach
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2015)

    See also Journal Article in European Journal of Operational Research (2015)
  4. La macroéconomie-en-risque
    Post-Print, HAL
    Also in Post-Print, HAL (2015) View citations (1)

    See also Journal Article in Revue économique (2015)
  5. On the (Ab)Use of Omega?
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)

2014

  1. A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies
    Working Papers, HAL Downloads View citations (9)
    Also in Working Papers, Department of Research, Ipag Business School (2014) Downloads View citations (12)
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2013) Downloads

    See also Journal Article in Journal of Economic Dynamics and Control (2014)
  2. A Survey on the Four Families of Performance Measures
    Post-Print, HAL
    See also Journal Article in Journal of Economic Surveys (2014)
  3. Risk Model-at-Risk
    Post-Print, HAL
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2013) Downloads
    Post-Print, HAL (2014) View citations (1)
    Post-Print, HAL (2014)

    See also Journal Article in Journal of Banking & Finance (2014)

2013

  1. 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 Downloads
    Also in Working Papers, HAL (2013) Downloads
    Post-Print, HAL (2013)
    Post-Print, HAL (2013)

    See also Journal Article in Review of International Economics (2013)
  2. Learning by Failing: A Simple Buffer for VaR
    Post-Print, HAL
  3. Learning by Failing: A Simple VaR Buffer
    Post-Print, HAL
  4. Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads
  5. Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  6. Tijd voor revisie van Life-Cycle Fondsen
    Post-Print, HAL

2012

  1. Prevoir sans persistance. (Forecasting without Persistence. With English summary.)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
  2. 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) Downloads
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012) Downloads

    See also Journal Article in Revue économique (2012)
  3. 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
  4. 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 Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012) Downloads
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2012) Downloads
    Post-Print, HAL (2012)

    See also Journal Article in Revue économique (2012)

2011

  1. Detrending Persistent Predictors
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2011) Downloads
  2. The Riskiness of Risk Models
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2011) Downloads View citations (2)
  3. 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) Downloads View citations (2)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) Downloads

    See also Journal Article in Revue économique (2011)

2010

  1. Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  2. L'approche DARE pour une mesure de risque diversifiée
    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 (2010) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads

    See also Journal Article in Revue économique (2010)
  3. Un MEDAF à plusieurs moments réalisés
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads

    See also Journal Article in Brussels Economic Review (2010)

2009

  1. 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 Downloads View citations (4)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) Downloads View citations (3)
  2. D'un multiple conditionnel en assurance de portefeuille: CAViaR pour les gestionnaires ?
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009) Downloads View citations (1)
  3. High Watermarks of Market Risks
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (1)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) Downloads

2008

  1. Do misalignments predict aggregated stock-market volatility?
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    See also Journal Article in Economics Letters (2008)
  2. Efficient Frontier for Robust Higher-order Moment Portfolio Selection
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads 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) Downloads View citations (1)
  3. Rose des vents, éventails et explosions d'étoiles sur le marché français
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL

2006

  1. 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 (1)
  2. Introduction to Multi-moment Asset Allocation and Pricing Models
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (3)
  3. Multi-moment Asset Allocation and Pricing Models
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (17)
  4. The 4-CAPM: in between Asset Pricing and Asset Allocation
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
  5. Theoretical Foundations of Higher Moments when Pricing Assets
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
  6. Understanding and reducing variability of SOM neighbourhood structure
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL

2005

  1. Completing Hedge Fund Missing Net Asset Values using Kohonen Maps and Constrained Randomization
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
  2. Technical Analysis Profitability when Exchange Rates are Pegged: A Note
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    See also Journal Article in The European Journal of Finance (2005)
  3. 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 (2)
    See also Journal Article in Review of International Economics (2005)

2004

  1. 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 (3)
    See also Journal Article in Quantitative Finance (2004)
  2. Caractérisation de crises financières à l'aide de modèles hybrides (HMC-MLP)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    See also Journal Article in Revue d'économie politique (2004)
  3. La volatilité des marchés augmente-elle ?
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    See also Journal Article in Revue d'Économie Financière (2004)

2003

  1. Classifying Hedge Funds using Kohonen Map
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (3)

2002

  1. 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 Downloads View citations (1)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) Downloads
  2. 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
  3. Revisited Multi-moment Approximate Option
    FMG Discussion Papers, Financial Markets Group Downloads
  4. 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 Downloads View citations (7)
  5. Skewness and Kurtosis Implied by Option Prices: A Second Comment
    FMG Discussion Papers, Financial Markets Group Downloads View citations (5)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) Downloads View citations (1)
  6. 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 (6)

2001

  1. The Approximate Option Pricing Model: Performances and Dynamic Properties
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (4)
    See also Journal Article in Journal of Multinational Financial Management (2001)

2000

  1. Further Insights on the Puzzle of Technical Analysis Profitability
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
    See also Journal Article in The European Journal of Finance (2000)

1998

  1. Flexible Least Squares Betas: The French Market Case
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche View citations (3)
  2. 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
  3. 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

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

Journal Articles

2016

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

2015

  1. A DARE for VaR
    Finance, 2015, Vol.36, (1), 7-38 Downloads
    See also Working Paper (2015)
  2. Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach
    European Journal of Operational Research, 2015, 244, (1), 289-299 Downloads View citations (6)
    See also Working Paper (2015)
  3. La macroéconomie-en-risque
    Revue économique, 2015, 66, (4), 769-782 Downloads
    See also Working Paper (2015)

2014

  1. A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES
    Journal of Economic Surveys, 2014, 28, (5), 917-942 Downloads View citations (17)
    See also Working Paper (2014)
  2. A dynamic autoregressive expectile for time-invariant portfolio protection strategies
    Journal of Economic Dynamics and Control, 2014, 46, (C), 1-29 Downloads View citations (9)
    See also Working Paper (2014)
  3. Risk models-at-risk
    Journal of Banking & Finance, 2014, 44, (C), 72-92 Downloads View citations (9)
    See also Working Paper (2014)

2013

  1. An Economic Evaluation of Model Risk in Long-term Asset Allocations
    Review of International Economics, 2013, 21, (3), 475-491 Downloads
    See also Working Paper (2013)

2012

  1. Prévoir sans persistance
    Revue économique, 2012, 63, (3), 581-590 Downloads
    See also Working Paper (2012)
  2. Une évaluation économique du risque de modèle pour les investisseurs de long terme
    Revue économique, 2012, 63, (3), 591-600 Downloads
    See also Working Paper (2012)

2011

  1. Une analyse temps-fréquences des cycles financiers
    Revue économique, 2011, 62, (3), 441-450 Downloads
    See also Working Paper (2011)

2010

  1. L'approche dare pour une mesure de risque diversifiée
    Revue économique, 2010, 61, (3), 635-643 Downloads
    See also Working Paper (2010)
  2. Un MEDAF à plusieurs moments réalisés
    Brussels Economic Review, 2010, 53, (3/4), 457-480 Downloads
    See also Working Paper (2010)

2009

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

2008

  1. Do misalignments predict aggregated stock-market volatility?
    Economics Letters, 2008, 100, (2), 317-320 Downloads
    See also Working Paper (2008)

2005

  1. Technical analysis profitability when exchange rates are pegged: A note
    The European Journal of Finance, 2005, 11, (6), 463-470 Downloads
    See also Working Paper (2005)
  2. The Impact of the 9/11 Events on the American and French Stock Markets
    Review of International Economics, 2005, 13, (3), 597-611 Downloads View citations (9)
    See also Working Paper (2005)

2004

  1. A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction
    Quantitative Finance, 2004, 4, (5), 479-488 Downloads View citations (7)
    See also Working Paper (2004)
  2. Caractérisation des crises financières à l'aide de modèles hybrides (HMC-MLP)
    Revue d'économie politique, 2004, 114, (4), 489-506 Downloads
    See also Working Paper (2004)
  3. La volatilité des marchés augmente-t-elle ?
    Revue d'Économie Financière, 2004, 74, (1), 17-44 Downloads
    See also Working Paper (2004)

2003

  1. An index of market shocks based on multiscale analysis
    Quantitative Finance, 2003, 3, (2), 88-97 Downloads View citations (10)

2002

  1. 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 Downloads

2001

  1. The approximate option pricing model: performances and dynamic properties
    Journal of Multinational Financial Management, 2001, 11, (4-5), 427-443 Downloads View citations (9)
    See also Working Paper (2001)

2000

  1. Further insights on the puzzle of technical analysis profitability
    The European Journal of Finance, 2000, 6, (2), 196-224 Downloads View citations (9)
    See also Working Paper (2000)
 
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