7
H index
3
i10 index
139
Citations
Sebastien Lleo : Citation Profile
Neoma Business School | RESEARCH PRODUCTION: 16 Articles 13 Papers 2 Books 36 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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17 years (2008 - 2025). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Sebastien Lleo. | Is cited by:
| Cites to:
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Main data
Where Sebastien Lleo has published?
| Journals with more than one article published | # docs |
|---|---|
| Quantitative Finance | 7 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 6 |
Recent works citing Sebastien Lleo (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Evaluation of Deep Reinforcement Learning Algorithms for Portfolio Optimisation. (2023). Lu, Chung I. In: Papers. RePEc:arx:papers:2307.07694. Full description at Econpapers || Download paper |
| 2024 | Optimal Investment with Costly Expert Opinions. (2024). Zhang, Yufei ; Merkel, Alexander ; Knochenhauer, Christoph. In: Papers. RePEc:arx:papers:2409.11569. Full description at Econpapers || Download paper |
| 2025 | Causal Portfolio Optimization: Principles and Sensitivity-Based Solutions. (2025). Dominguez, Alejandro Rodriguez. In: Papers. RePEc:arx:papers:2504.05743. Full description at Econpapers || Download paper |
| 2025 | Dynamic Factor Models with Forward-Looking Views. (2025). Abdelhakmi, Anas. In: Papers. RePEc:arx:papers:2509.11528. Full description at Econpapers || Download paper |
| 2024 | Risk-sensitive benchmarked portfolio optimization under non-linear market dynamics. (2024). Shankar, Ravi ; Goel, Mayank. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:481:y:2024:i:c:s0096300324003874. Full description at Econpapers || Download paper |
| 2025 | The FED model: Is it still with us?. (2025). McMillan, David G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000889. Full description at Econpapers || Download paper |
| 2024 | Across-time risk-aware strategies for outperforming a benchmark. (2024). Li, Yuying ; van Staden, Pieter M ; Forsyth, Peter A. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:2:p:776-800. Full description at Econpapers || Download paper |
| 2024 | Investment–consumption optimization with transaction cost and learning about return predictability. (2024). Siu, Tak Kuen ; Wang, Ning. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:3:p:877-891. Full description at Econpapers || Download paper |
| 2024 | How good are banks’ forecasts?. (2024). Memmel, Christoph ; Heckmann-Draisbach, Lotta. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004071. Full description at Econpapers || Download paper |
| 2024 | When to Hedge Downside Risk?. (2024). Giannikos, Christos ; Suen, Tin Shan ; Guirguis, Hany ; Kakolyris, Andreas. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:2:p:42-:d:1341077. Full description at Econpapers || Download paper |
| 2025 | Dual dominance: how Harry Markowitz and William Ziemba impacted portfolio management. (2025). MacLean, Leonard C ; Lleo, Sbastien. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06281-1. Full description at Econpapers || Download paper |
| 2024 | Duality in optimal consumption–investment problems with alternative data. (2024). Chen, Kexin ; Wong, Hoi Ying. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:3:d:10.1007_s00780-024-00535-3. Full description at Econpapers || Download paper |
Sebastien Lleo has edited the books:
| Year | Title | Type | Cited |
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Works by Sebastien Lleo:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2010 | Jump-Diffusion Risk-Sensitive Asset Management In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2010 | Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2010 | Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2010 | Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach.(2010) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | chapter | |
| 2012 | Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Risk-sensitive investment in a finite-factor model In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2025 | Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Risk‐sensitive benchmarked asset management with expert forecasts In: Mathematical Finance. [Full Text][Citation analysis] | article | 7 |
| 2024 | On the separation of estimation and control in risk-sensitive investment problems under incomplete observation In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 2 |
| 2015 | Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
| 2014 | Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world.(2014) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2020 | Debiased expert forecasts in continuous-time asset allocation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 13 |
| 2021 | Using a mean changing stochastic processes exit-entry model for stock market long-short prediction In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 0 |
| 2018 | A tale of two indexes: predicting equity market downturns in China In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 0 |
| 2017 | A tale of two indexes: predicting equity market downturns in China.(2017) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2014 | Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 6 |
| 2017 | Does the bond‐stock earnings yield differential model predict equity market corrections better than high P/E models?.(2017) In: Financial Markets, Institutions & Instruments. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2014 | How to lose money in derivatives: examples from hedge funds and bank trading departments In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
| 2015 | How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments.(2015) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | chapter | |
| 2015 | The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 6 |
| 2015 | The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?.(2015) In: IJFS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2013 | Taming animal spirits: risk management with behavioural factors In: Annals of Finance. [Full Text][Citation analysis] | article | 1 |
| 2024 | Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data In: Annals of Operations Research. [Full Text][Citation analysis] | article | 1 |
| 2019 | Can Warren Buffett forecast equity market corrections? In: The European Journal of Finance. [Full Text][Citation analysis] | article | 2 |
| 2012 | Stock market crashes in 2007--2009: were we able to predict them? In: Quantitative Finance. [Full Text][Citation analysis] | article | 8 |
| 2024 | Stock market crashes in 2007–2009: were we able to predict them?.(2024) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | chapter | |
| 2013 | STOCK MARKET CRASHES IN 2007–2009: WERE WE ABLE TO PREDICT THEM?.(2013) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | chapter | |
| 2018 | Financial and Macroeconomic Connectedness In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2018 | Combining standard and behavioral portfolio theories: a practical and intuitive approach In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
| 2018 | Asymptotic Theory of Transaction Costs In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Gods and Robots: Myths, Machines, and Ancient Dreams of Technology In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2020 | Stochastic Disorder Problems In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2008 | Risk-sensitive benchmarked asset management In: Quantitative Finance. [Full Text][Citation analysis] | article | 26 |
| 2017 | Stock Market Crashes:Predictable and Unpredictable and What to do About Them In: World Scientific Books. [Full Text][Citation analysis] | book | 2 |
| 2014 | Risk-Sensitive Investment Management In: World Scientific Books. [Full Text][Citation analysis] | book | 14 |
| 2020 | Stock Market Crashes in 2006–2009: Were We Able to Predict Them? In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2020 | A Stopping Rule Model for Exiting Bubble-like Markets with Applications In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2017 | A Stopping Rule Model for Exiting Bubble-like Markets with Applications.(2017) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
| 2017 | Introduction In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2017 | Discovery of the Bond–Stock Earnings Yield Differential Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2017 | Prediction of the 2007–2009 Stock Market Crashes in the US, China and Iceland In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2017 | The High Price–Earnings Stock Market Danger Approach of Campbell and Shiller versus the BSEYD Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2017 | Other Prediction Models for the Big Crashes Averaging −25% In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2017 | Effect of Fed Meetings and Small-Cap Dominance In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2017 | Using Zweig’s Monetary and Momentum Models in the Modern Era In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2017 | Analysis and Possible Prediction of Declines in the −5% to −15% Range In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2017 | A Simple Procedure to Incorporate Predictive Models in Stochastic Investment Models In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2017 | Other Bubble-testing Methodologies and Historical Bubbles In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2017 | Mathematics of the Changepoint Detection Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2011 | Fractional Kelly Strategies for Benchmarked Asset Management In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 8 |
| 2013 | Jump-Diffusion Risk-Sensitive Benchmarked Asset Management In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
| 2013 | Fractional Kelly Strategies in Continuous Time: Recent Developments In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 4 |
| 2014 | The Merton Problem In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2014 | Risk-Sensitive Asset Management In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 5 |
| 2014 | Managing Against a Benchmark In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
| 2014 | Asset and Liability Management In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 2 |
| 2014 | Investment Constraints In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
| 2014 | Infinite Horizon Problems In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2014 | Jumps in Asset Prices In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2014 | General Jump-Diffusion Setting In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2014 | Fund Separation and Fractional Kelly Strategies In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
| 2014 | Managing Against a Benchmark: Jump-Diffusion Case In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
| 2014 | Asset and Liability Management: Jump-Diffusion Case In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2014 | Factor and Securities Models In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2014 | Case Studies In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2014 | Numerical Methods In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2014 | Factor Estimation: Filtering and Black-Litterman In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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