Bertrand Bruno Maillet : Citation Profile


Are you Bertrand Bruno Maillet?

EMLYON Business School (90% share)
Université de la Réunion (10% share)

9

H index

9

i10 index

219

Citations

RESEARCH PRODUCTION:

25

Articles

84

Papers

RESEARCH ACTIVITY:

   19 years (1997 - 2016). See details.
   Cites by year: 11
   Journals where Bertrand Bruno Maillet has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 19 (7.98 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma1896
   Updated: 2020-08-01    RAS profile: 2019-02-17    
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Relations with other researchers


Works with:

Jannin, Gregory (7)

Danielsson, Jon (5)

Prigent, Jean-Luc (4)

Caporin, Massimiliano (3)

Tokpavi, Sessi (2)

Lisi, Francesco (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bertrand Bruno Maillet.

Is cited by:

Caporin, Massimiliano (11)

Prigent, Jean-Luc (8)

Kerstens, Kristiaan (7)

Moreno, Manuel (5)

Sentana, Enrique (5)

Mencia, Javier (5)

Perote, Javier (4)

Wong, Wing-Keung (4)

Schulmeister, Stephan (4)

Schlogl, Erik (4)

Racicot, François-Éric (4)

Cites to:

Cao, Charles (12)

Bollerslev, Tim (12)

Chen, Zhiwu (12)

Hurlin, Christophe (11)

Prigent, Jean-Luc (11)

Andersen, Torben (10)

Kerstens, Kristiaan (9)

Wolf, Michael (8)

Caporin, Massimiliano (8)

Ledoit, Olivier (8)

Danielsson, Jon (7)

Main data


Where Bertrand Bruno Maillet has published?


Journals with more than one article published# docs
Revue conomique7
Quantitative Finance2
The European Journal of Finance2
Review of International Economics2
Revue d'conomie Financire2

Working Papers Series with more than one paper published# docs
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL39
Post-Print / HAL17
Documents de travail du Centre d'Economie de la Sorbonne / Universit Panthon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne10
Working Papers / Department of Economics, University of Venice "Ca' Foscari"3
LEO Working Papers / DR LEO / Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans3
Working Papers / HAL2

Recent works citing Bertrand Bruno Maillet (2018 and 2017)


YearTitle of citing document
2018Trading Performance Analysis: A Comparisons Between the Original MA Crossover and Modified MA Crossover Strategy. (2018). Chuen, Yean Soh ; Hamzah, Ahmad Husni ; Yaacob, Mohd Hasimi ; Tapa, Afiruddin. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2018:p:933-941.

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2019A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2019). Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier ; Donnat, Philippe . In: Papers. RePEc:arx:papers:1703.00485.

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2017A Novel Approach to Quantification of Model Risk for Practitioners. (2017). Vazquez, Carlos ; Perez-Velasco, Pedro Pablo ; Krajcovicova, Zuzana . In: Papers. RePEc:arx:papers:1705.05572.

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2018Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Papers. RePEc:arx:papers:1810.09112.

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2019Non-Parametric Robust Model Risk Measurement with Path-Dependent Loss Functions. (2019). Feng, YU. In: Papers. RePEc:arx:papers:1903.00590.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2017Model Uncertainty Effect on Asset Prices. (2017). Tian, Weidong ; Jiang, Junya. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:205-233.

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2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES. (2018). Veiga, Helena ; Ruiz, Esther ; Gonalves, Joo Henrique . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:388-419.

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2019Bank Risk Dynamics and Distance to Default. (2019). Nagel, Stefan ; Purnanandam, Amiyatosh. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13715.

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2017An SVM-like approach for expectile regression. (2017). Steinwart, Ingo ; Farooq, Muhammad. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:109:y:2017:i:c:p:159-181.

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2017Robust minimum variance portfolio optimization modelling under scenario uncertainty. (2017). Xidonas, Panos ; Samitas, Aristeidis ; Soulis, John ; Hassapis, Christis. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:60-71.

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2019Hedge fund return higher moments over the business cycle. (2019). Racicot, François-Éric ; Theoret, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:73-97.

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2019Screening rules and portfolio performance. (2019). Nieto, Belen ; Navarro, Lluis ; Leon, Angel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:642-662.

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2019A brief survey on the choice of parameters for: “Kernel density estimation for time series data”. (2019). Oneill, Robert ; Semeyutin, Artur. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304376.

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2020Nonparametric assessment of hedge fund performance. (2020). Garcia, René ; Ardison, Kym ; Almeida, Caio. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:349-378.

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2018Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77.

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2017Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. (2017). Nguyen, Duc Khuong ; Berger, Theo ; Hernandez, Jose Arreola. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:3:p:1121-1131.

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2017Robust multiobjective portfolio optimization: A minimax regret approach. (2017). Xidonas, Panos ; Zopounidis, Constantin ; Hassapis, Christis ; Mavrotas, George. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:299-305.

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2017Asset allocation with correlation: A composite trade-off. (2017). Conlon, Thomas ; cotter, john ; Salvador, Enrique ; Carroll, Rachael . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1164-1180.

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2018Estimation of the global minimum variance portfolio in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Schmid, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:371-390.

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2018Risk management of time varying floors for dynamic portfolio insurance. (2018). Prigent, Jean-Luc ; Prigent, J.-L., ; ben Ameur, H. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:363-381.

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2018Long-run wavelet-based correlation for financial time series. (2018). cotter, john ; Genay, Ramazan ; Conlon, Thomas. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:676-696.

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2019Optimal strategies under Omega ratio. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767.

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2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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2018“On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33.

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2018lCARE - localizing conditional autoregressive expectiles. (2018). Xu, Xiu ; Hardle, Wolfgang Karl ; Mihoci, Andrija . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:198-220.

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2018The influence of terrorism risk on stock market integration: Evidence from eight OECD countries. (2018). Narayan, Seema ; LE, Thai-Ha ; Sriananthakumar, S ; Le, T.-H., . In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:247-259.

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2020Hedge fund strategies: A non-parametric analysis. (2020). Canepa, Alessandra ; Skinner, Frank S ; De, Maria. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919301802.

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2017Risk aversion vs. the Omega ratio: Consistency results. (2017). Balder, Sven ; Schweizer, Nikolaus. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:78-84.

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2018Risk-adjusted performance of portfolio insurance and investors’ preferences. (2018). Tawil, Dima. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:10-18.

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2019Hedging parameter risk. (2019). Schmelzle, Martin ; Rosch, Daniel ; Claussen, Arndt . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:111-121.

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2019Model risk of expected shortfall. (2019). Zhang, Ning ; Lazar, Emese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:74-93.

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2017One-sided performance measures under Gram-Charlier distributions. (2017). Moreno, Manuel ; Leon, Angel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:74:y:2017:i:c:p:38-50.

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2019Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints. (2019). Lu, Xin ; Xue, Fengxin ; Liu, Qiong. In: Operations Research Perspectives. RePEc:eee:oprepe:v:6:y:2019:i:c:s2214716018301404.

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2017The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios. (2017). Domino, Krzysztof . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:467:y:2017:i:c:p:267-276.

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2018Long-term stock market volatility and the influence of terrorist attacks in Europe. (2018). Gurdgiev, Constantin ; Corbet, Shaen ; Meegan, Andrew. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:118-131.

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2018Multi-moment risk, hedging strategies, & the business cycle. (2018). Racicot, François-Éric ; Theoret, Raymond . In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:637-675.

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2018Technology adoption and risk exposure among smallholder farmers: Panel data evidence from Tanzania and Uganda. (2018). Mukasa, Adamon N. In: World Development. RePEc:eee:wdevel:v:105:y:2018:i:c:p:299-309.

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2017Mutual Funds Performance Assessment Techniques: Comparative Analysis. (2017). Olkova, Anna E. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:170307:p:85-95.

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2017Stochastic Dominance and Omega Ratio: Measures to Examine Market Efficiency, Arbitrage Opportunity, and Anomaly. (2017). Wong, Wing-Keung ; Guo, Xu ; Jiang, Xuejun. In: Economies. RePEc:gam:jecomi:v:5:y:2017:i:4:p:38-:d:115667.

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2018Credit Rating and Pricing: Poles Apart. (2018). Blochlinger, Andreas. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:27-:d:148621.

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804.

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2018Unequal Returns: Using the Atkinson Index to Measure Financial Risk. (2018). Fischer, Thomas ; Lundtofte, Frederik . In: Working Papers. RePEc:hhs:lunewp:2018_025.

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2019A general closed form option pricing formula. (2019). Necula, Ciprian ; Farkas, Walter ; Drimus, Gabriel . In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:1:d:10.1007_s11147-018-9144-z.

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2019Bank Risk Dynamics and Distance to Default. (2019). Purnanandam, Amiyatosh ; Nagel, Stefan. In: NBER Working Papers. RePEc:nbr:nberwo:25807.

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2019Farinelli and Tibiletti ratio and stochastic dominance. (2019). Wong, Wing-Keung ; Niu, Cuizhen ; Guo, XU. In: Risk Management. RePEc:pal:risman:v:21:y:2019:i:3:d:10.1057_s41283-019-00050-2.

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2017Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis. (2017). Wong, Wing-Keung ; HOANG, Thi Hong Van ; EL KHAMLICHI, ABDELBARI ; van Hoang, Thi Hong. In: MPRA Paper. RePEc:pra:mprapa:76282.

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2017Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?. (2017). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2017-07.

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2017Harmful Diversification: Evidence from Alternative Investments. (2017). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2017-09.

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2018Risk-based strategies: the social responsibility of investment universes does matter. (2018). Lapointe, Vincent ; BERTRAND, Philippe. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2081-4.

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2018Dynamic portfolio insurance strategies: risk management under Johnson distributions. (2018). Naguez, Naceur . In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2121-8.

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2018On the robustness of portfolio allocation under copula misspecification. (2018). Prigent, Jean-Luc ; ben Saida, Abdallah. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2137-0.

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2017Multivariate approximations to portfolio return distribution. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Ñíguez Grau, Trino. In: Computational and Mathematical Organization Theory. RePEc:spr:comaot:v:23:y:2017:i:3:d:10.1007_s10588-016-9231-3.

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2018Asset allocation strategies based on penalized quantile regression. (2018). Caporin, Massimiliano ; Paterlini, Sandra ; Bonaccolto, Giovanni. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:1:d:10.1007_s10287-017-0288-3.

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2018Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature. (2018). Zhang, Yuanyuan ; Guo, Sini ; Li, Xiang. In: Fuzzy Optimization and Decision Making. RePEc:spr:fuzodm:v:17:y:2018:i:2:d:10.1007_s10700-017-9266-z.

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2020Global minimum variance portfolios under uncertainty: a robust optimization approach. (2020). Godinho, Pedro ; Dias, Joana Matos ; Caador, Sandra . In: Journal of Global Optimization. RePEc:spr:jglopt:v:76:y:2020:i:2:d:10.1007_s10898-019-00859-x.

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2019Nonparametric Assessment of Hedge Fund Performance. (2019). Garcia, René ; Ardison, Kim ; Almeida, Caio. In: TSE Working Papers. RePEc:tse:wpaper:123176.

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2019Time-Series Momentum: A Monte-Carlo Approach. (2019). Struck, Clemens C ; Cheng, Enoch. In: Working Papers. RePEc:ucn:wpaper:201906.

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2019Hedge Fund Strategies: A non-Parametric Analysis.. (2019). Canepa, Alessandra ; Skinner, Frank S ; De, Maria. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:201902.

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2019Theory and Application of Model Risk Quantification. (2019). Feng, YU. In: PhD Thesis. RePEc:uts:finphd:3-2019.

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2018Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Research Paper Series. RePEc:uts:rpaper:395.

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2020MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY. (2020). Steblovskaya, Victoria ; Biedova, Olga. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500119.

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2020UPSIDE BETA RATIO: A PERFORMANCE MEASURE FOR POTENTIAL-SEEKING INVESTORS. (2020). Selvaraju, N ; Mondal, Dipankar. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500144.

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2019Drawdown measures: Are they all the same?. (2019). Schwehm, Christian ; Moller, Philipp M ; Korn, Olaf. In: CFR Working Papers. RePEc:zbw:cfrwps:1904.

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Works by Bertrand Bruno Maillet:


YearTitleTypeCited
2014A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES In: Journal of Economic Surveys.
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2014A Survey on the Four Families of Performance Measures.(2014) In: Post-Print.
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2005The Impact of the 9/11 Events on the American and French Stock Markets In: Review of International Economics.
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2005The Impact of the 9/11 Events on the American and French Stock Markets.(2005) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013An Economic Evaluation of Model Risk in Long-term Asset Allocations In: Review of International Economics.
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2013An Economic Evaluation of Model Risk in Long-term Asset Allocations..(2013) In: Post-Print.
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2013An Economic Evaluation of Model Risk in Long-term Asset Allocations.(2013) In: Post-Print.
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2013An Economic Evaluation of Model Risk in Long-term Asset Allocations.(2013) In: Working Papers.
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2013An Economic Evaluation of Model Risk In Long-term Asset Allocations.(2013) In: LEO Working Papers / DR LEO.
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2010Un MEDAF à plusieurs moments réalisés In: Brussels Economic Review.
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2010Un MEDAF à plusieurs moments réalisés.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Un MEDAF à plusieurs moments réalisés.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2015A DARE for VaR In: Finance.
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2015A DARE for VaR.(2015) In: Post-Print.
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2010Lapproche dare pour une mesure de risque diversifiée In: Revue économique.
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2010Lapproche DARE pour une mesure de risque diversifiée.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Lapproche DARE pour une mesure de risque diversifiée.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Lapproche DARE pour une mesure de risque diversifiée.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2011Une analyse temps-fréquences des cycles financiers In: Revue économique.
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2011Une analyse temps-fréquence des cycles financiers.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Une analyse temps-fréquences des cycles financiers.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Une analyse temps-fréquences des cycles financiers.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Prévoir sans persistance In: Revue économique.
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2012Prévoir sans persistance.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Prévoir sans persistance.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Prévoir sans persistance.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Prévoir sans persistance.(2012) In: Post-Print.
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2012Prévoir sans persistance.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Une évaluation économique du risque de modèle pour les investisseurs de long terme In: Revue économique.
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2012Une évaluation économique du risque de modèle pour les investisseurs de long terme.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Une évaluation économique du risque de modèle pour les investisseurs de long-terme.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Une évaluation économique du risque de modèle pour les investisseurs de long-terme.(2012) In: Post-Print.
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2012Une évaluation économique du risque de modèle pour les investisseurs de long-terme.(2012) In: LEO Working Papers / DR LEO.
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2016Dâun indice de détection dâanomalies à lâusage des investisseurs In: Revue économique.
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2015La macroéconomie-en-risque In: Revue économique.
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2015La macroéconomie-en-risque.(2015) In: Post-Print.
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2015La macroéconomie-en-risque.(2015) In: Post-Print.
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2016Du risque des mesures de risque systémique In: Revue économique.
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2015Du risque des mesures de risque systémique.(2015) In: Post-Print.
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2004Caractérisation des crises financières à laide de modèles hybrides (HMC-MLP) In: Revue d'économie politique.
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2004Caractérisation de crises financières à laide de modèles hybrides (HMC-MLP).(2004) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach In: EconomiX Working Papers.
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2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies In: Journal of Economic Dynamics and Control.
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2014A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2014) In: Working Papers.
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2014A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2014) In: Working Papers.
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2013A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2013) In: LEO Working Papers / DR LEO.
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2008Do misalignments predict aggregated stock-market volatility? In: Economics Letters.
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2008Do misalignments predict aggregated stock-market volatility?.(2008) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2015Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach In: European Journal of Operational Research.
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2015Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach.(2015) In: Post-Print.
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2015Global Minimum Variance Portfolio Optimisation Under some Model Risk: A Robust Regression-based Approach.(2015) In: Post-Print.
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2014Risk models-at-risk In: Journal of Banking & Finance.
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2013Risk models–at–risk.(2013) In: LSE Research Online Documents on Economics.
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2014Risk models-at-risk.(2014) In: Post-Print.
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2014Risk model-at-risk.(2014) In: Post-Print.
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2014Risk Model-at-Risk.(2014) In: Post-Print.
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2001The approximate option pricing model: performances and dynamic properties In: Journal of Multinational Financial Management.
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2001The Approximate Option Pricing Model: Performances and Dynamic Properties.(2001) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2002How 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 In: LSE Research Online Documents on Economics.
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2002How 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.(2002) In: FMG Discussion Papers.
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2002Skewness and kurtosis implied by option prices: a second comment In: LSE Research Online Documents on Economics.
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2002Skewness and Kurtosis Implied by Option Prices: A Second Comment.(2002) In: FMG Discussion Papers.
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2002Revisited multi-moment approximate option pricing models: a general comparison (Part 1) In: LSE Research Online Documents on Economics.
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2002Revisited Multi-moment Approximate Option In: FMG Discussion Papers.
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1998Flexible Least Squares Betas: The French Market Case In: Caisse des Depots et Consignations - Cahiers de recherche.
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2006Understanding and reducing variability of SOM neighbourhood structure In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2005Technical Analysis Profitability when Exchange Rates are Pegged: A Note In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2005Technical analysis profitability when exchange rates are pegged: A note.(2005) In: The European Journal of Finance.
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2004A Note on Skewness and Kurtosis Adjusted Option Pricing Models under the Martingale Restriction In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2004A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction.(2004) In: Quantitative Finance.
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2004La volatilité des marchés augmente-elle ? In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2004La volatilité des marchés augmente-t-elle ?.(2004) In: Revue d'Économie Financière.
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2002Quelle a été lampleur de la crise financière de Septembre 2001 ? Une mise en perspective In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2000Further Insights on the Puzzle of Technical Analysis Profitability In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2000Further insights on the puzzle of technical analysis profitability.(2000) In: The European Journal of Finance.
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1998Variabilité du risque systématique : une étude du bêta sur le marché français des actions In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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1998Une étude empirique de la performance de lanalyse technique sur le marché des changes In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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1997Mesure de temps, information et distribution des rendements intra-journaliers In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2006Multi-moment Asset Allocation and Pricing Models In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2006Introduction to Multi-moment Asset Allocation and Pricing Models In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2006Theoretical Foundations of Higher Moments when Pricing Assets In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2006Hedge Funds Portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2006The 4-CAPM: in between Asset Pricing and Asset Allocation In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2005Completing Hedge Fund Missing Net Asset Values using Kohonen Maps and Constrained Randomization In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2003Classifying Hedge Funds using Kohonen Map In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2002The 3-CAPM: Theoretical Foundations and a Comparison of Asset Pricing Models in an Unified Framework In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Rose des vents, éventails et explosions détoiles sur le marché français In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Une 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.). In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Efficient Frontier for Robust Higher-order Moment Portfolio Selection In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Efficient frontier for robust higher-order moment portfolio selection.(2008) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2009Dun multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ? In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009Dun multiple conditionnel en assurance de portefeuille: CAViaR pour les gestionnaires?.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2009A Risk Management Approach for Portfolio Insurance Strategies In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009A Risk Management Approach for Portfolio Insurance Strategies.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2009High Watermarks of Market Risks In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009High Watermarks of Market Risks.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2011Detrending Persistent Predictors In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Detrending Persistent Predictors.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2011The Riskiness of Risk Models In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011The Riskiness of Risk Models.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Tijd voor revisie van Life-Cycle Fondsen In: Post-Print.
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2013Learning by Failing: A Simple VaR Buffer In: Post-Print.
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2013Learning by Failing: A Simple Buffer for VaR In: Post-Print.
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2002Quelle était la gravité de la crise boursière de Septembre 2001 ? Construction d’un indice de crise et mise en perspective des dernières turbulences In: Revue d'Économie Financière.
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2009A Non-Linear Approach for Completing Missing Values in Temporal Databases In: European Journal of Economic and Social Systems.
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2003An index of market shocks based on multiscale analysis In: Quantitative Finance.
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2010Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes In: Working Papers.
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2013Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure In: Working Papers.
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2015On the (Ab)Use of Omega? In: Working Papers.
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