Sébastien Lleo
NEOMA Business School
H-index: 15
Europe-France
Top articles of Sébastien Lleo
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation | European Journal of Operational Research | Sébastien Lleo Wolfgang J Runggaldier | 2024/2/1 |
Do Factor Models Explain Breaks in the Distribution of Equity Returns? | The Journal of Portfolio Management | Sébastien Lleo William T Ziemba Jessica Li | 2024/1/2 |
Changepoint Detection in the Cross-Section of Stock Returns | Available at SSRN 4404148 | Sebastien Lleo William T Ziemba Jessica Li | 2023/3/29 |
Range-Based Volatility Timing | The Journal of Portfolio Management | Thorsten Lehnert Sébastien Lleo William T Ziemba Jessica Li Jennifer Bender | 2023/12/6 |
Crash Prediction Using Fundamental Variables: Evidence from Mainland China | The Journal of Prediction Markets | Sébastien Lleo William T Ziemba | 2023/7/19 |
Online Appendix for | Pablo Cuba-Borda Sanjay R Singh | 2023/12 | |
Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data | Annals of Operations Research | Mark Davis Sébastien Lleo | 2022/12/26 |
Risk‐sensitive benchmarked asset management with expert forecasts | Mathematical Finance | Mark HA Davis Sébastien Lleo | 2021/10 |
Using a mean changing stochastic processes exit-entry model for stock market long-short prediction | Available at SSRN 3873496 | Sebastien Lleo Mikhail Zhitlukhin William T Ziemba | 2021/6/2 |
Stock Market Crashes in 2006–2009: Were We Able to Predict Them? | Sebastien Lleo William T Ziemba | 2020 | |
Exploring Breaks in the Distribution of Stock Returns: Empirical Evidence from Apple Inc. | Available at SSRN 3700419 | Sebastien Lleo William T Ziemba Jessica Li | 2020/9/27 |
A stopping rule model for exiting bubble-like markets with applications | William T Ziemba Sebastien Lleo Mikhail Zhitlukhin | 2020 | |
Stochastic Disorder Problems: by Albert N. Shiryaev, Springer (2019). E-Book. ISBN 978-3-030-01526-8. | Sébastien Lleo | 2020/7/2 | |
Infinite Powers: The Story of Calculus-The Language of the Universe: by Steven Strogatz, Houghton Mifflin Harcourt (2019). Hardback. ISBN 978-1328879981. | Sébastien Lleo | 2020/4/2 | |
Debiased expert forecasts in continuous-time asset allocation | Journal of Banking & Finance | Mark Davis Sébastien Lleo | 2020/4/1 |
Machine Learning: An Applied Mathematics Introduction: by Paul Wilmott, Panda Ohana Publishing,(2019). Paperback. ISBN 978-1916081604. | Sébastien Lleo | 2020/3/3 | |
Behavioral Benchmarked Investment Management with Expert Forecasts | Available at SSRN 3754205 | Sebastien Lleo Mark Davis | 2020/12/20 |
Co-Authors
