Access Statistics for Sebastien Lleo

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A tale of two indexes: predicting equity market downturns in China 0 0 2 3 0 0 5 6
A tale of two indexes: predicting equity market downturns in China 0 0 0 32 0 0 0 47
Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? 0 0 1 45 1 1 2 116
How to lose money in derivatives: examples from hedge funds and bank trading departments 0 0 1 22 0 1 3 61
Jump-Diffusion Risk-Sensitive Asset Management 0 0 1 17 0 0 1 58
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model 0 0 0 20 0 0 0 81
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model 0 0 0 10 0 0 1 54
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach 0 0 0 7 0 0 0 44
Risk-sensitive investment in a finite-factor model 0 0 0 6 0 0 0 25
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 1 10 0 0 4 56
The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis 0 0 0 13 0 0 1 45
Using a mean changing stochastic processes exit-entry model for stock market long-short prediction 0 0 2 4 0 0 3 9
Total Working Papers 0 0 8 189 1 2 20 602

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Asymptotic Theory of Transaction Costs 0 0 0 4 0 0 0 19
Can Warren Buffett forecast equity market corrections? 0 0 0 4 0 0 2 23
Combining standard and behavioral portfolio theories: a practical and intuitive approach 0 0 3 27 1 2 7 65
Debiased expert forecasts in continuous-time asset allocation 0 0 1 3 0 0 3 35
Financial and Macroeconomic Connectedness 0 0 0 3 0 0 0 15
Gods and Robots: Myths, Machines, and Ancient Dreams of Technology 0 0 0 10 0 0 0 28
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation 0 0 0 0 1 3 6 6
Risk-sensitive benchmarked asset management 0 0 0 31 0 0 1 94
Risk‐sensitive benchmarked asset management with expert forecasts 0 0 2 5 0 1 5 17
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 0 16 0 1 1 74
Stochastic Disorder Problems 0 0 0 2 0 0 0 8
Stock market crashes in 2007--2009: were we able to predict them? 0 0 0 15 0 0 2 66
Taming animal spirits: risk management with behavioural factors 0 0 0 18 0 1 3 81
The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis? 0 0 0 15 0 0 0 60
Total Journal Articles 0 0 6 153 2 8 30 591

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Risk-Sensitive Investment Management 0 1 1 35 0 3 6 156
Stock Market Crashes:Predictable and Unpredictable and What to do About Them 1 2 10 93 17 40 94 352
Total Books 1 3 11 128 17 43 100 508

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Simple Procedure to Incorporate Predictive Models in Stochastic Investment Models 0 0 1 8 2 3 6 29
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 1 1 2 16 1 2 7 52
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 0 0 3 0 0 0 8
Analysis and Possible Prediction of Declines in the −5% to −15% Range 0 0 0 6 0 2 3 30
Asset and Liability Management 0 0 0 30 0 0 0 67
Asset and Liability Management: Jump-Diffusion Case 0 0 0 13 0 0 0 40
Case Studies 0 0 0 1 0 0 0 20
Discovery of the Bond–Stock Earnings Yield Differential Model 0 0 8 55 1 1 9 154
Effect of Fed Meetings and Small-Cap Dominance 0 0 0 7 0 0 1 29
Factor Estimation: Filtering and Black-Litterman 0 0 0 27 1 1 1 92
Factor and Securities Models 0 0 0 2 0 0 0 14
Fractional Kelly Strategies for Benchmarked Asset Management 0 2 8 34 0 3 17 93
Fractional Kelly Strategies in Continuous Time: Recent Developments 0 0 5 13 0 0 12 30
Fund Separation and Fractional Kelly Strategies 0 0 2 10 0 0 2 27
General Jump-Diffusion Setting 0 0 0 4 0 0 1 29
How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments 0 1 3 24 0 1 3 56
Infinite Horizon Problems 0 0 0 3 1 1 2 31
Introduction 0 0 5 31 1 1 9 62
Investment Constraints 0 0 1 9 0 0 4 88
Jump-Diffusion Risk-Sensitive Benchmarked Asset Management 0 0 0 5 0 0 3 20
Jumps in Asset Prices 0 0 0 13 0 0 0 73
Managing Against a Benchmark 0 0 0 0 0 4 4 22
Managing Against a Benchmark: Jump-Diffusion Case 0 0 0 0 0 0 0 19
Mathematics of the Changepoint Detection Model 1 1 3 32 1 1 7 81
Numerical Methods 0 0 0 1 0 0 0 48
Other Bubble-testing Methodologies and Historical Bubbles 1 1 1 12 1 3 4 26
Other Prediction Models for the Big Crashes Averaging −25% 0 0 1 7 0 0 1 29
Prediction of the 2007–2009 Stock Market Crashes in the US, China and Iceland 0 0 4 26 1 1 5 68
Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach 0 0 1 1 1 1 2 2
Risk-Sensitive Asset Management 0 1 1 28 0 1 4 91
STOCK MARKET CRASHES IN 2007–2009: WERE WE ABLE TO PREDICT THEM? 0 0 1 6 0 0 1 37
Stock Market Crashes in 2006–2009: Were We Able to Predict Them? 0 0 0 3 0 0 0 10
The High Price–Earnings Stock Market Danger Approach of Campbell and Shiller versus the BSEYD Model 0 0 3 16 0 0 3 73
The Merton Problem 0 0 3 27 0 0 4 84
Using Zweig’s Monetary and Momentum Models in the Modern Era 0 0 0 16 0 0 3 58
Total Chapters 3 7 53 489 11 26 118 1,692

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Statistics updated 2025-03-03