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 0 32 0 0 5 52
A tale of two indexes: predicting equity market downturns in China 0 0 1 4 3 3 8 14
Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? 0 0 1 46 2 3 11 127
Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem 0 0 0 0 2 4 5 5
How to lose money in derivatives: examples from hedge funds and bank trading departments 0 0 1 23 4 5 14 75
Jump-Diffusion Risk-Sensitive Asset Management 0 0 0 17 1 2 4 62
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model 0 0 0 20 0 2 5 86
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model 0 0 1 11 4 4 10 64
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach 0 0 1 8 1 3 8 52
Risk-sensitive investment in a finite-factor model 0 0 0 6 2 2 7 32
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 0 10 7 13 30 86
The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis 0 0 0 13 4 6 13 58
Using a mean changing stochastic processes exit-entry model for stock market long-short prediction 0 0 2 6 2 4 11 20
Total Working Papers 0 0 7 196 32 51 131 733

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 2 2 2 21
Can Warren Buffett forecast equity market corrections? 1 2 3 7 6 8 12 35
Combining standard and behavioral portfolio theories: a practical and intuitive approach 0 0 1 30 1 1 5 73
Debiased expert forecasts in continuous-time asset allocation 0 0 1 4 2 3 8 43
Does the bond‐stock earnings yield differential model predict equity market corrections better than high P/E models? 0 1 2 2 4 12 20 20
Financial and Macroeconomic Connectedness 0 0 0 3 1 1 2 17
Gods and Robots: Myths, Machines, and Ancient Dreams of Technology 0 0 0 10 1 2 2 30
Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data 0 0 0 1 1 4 9 12
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation 0 0 0 0 3 4 9 15
Risk-sensitive benchmarked asset management 0 0 1 33 3 4 13 108
Risk‐sensitive benchmarked asset management with expert forecasts 0 0 0 5 1 2 7 25
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 0 16 2 6 11 86
Stochastic Disorder Problems 0 0 0 2 2 3 5 13
Stock market crashes in 2007--2009: were we able to predict them? 0 0 0 15 2 3 10 76
Taming animal spirits: risk management with behavioural factors 0 0 0 18 2 2 8 89
The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis? 0 0 0 15 5 7 15 75
Total Journal Articles 1 3 8 165 38 64 138 738

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Risk-Sensitive Investment Management 0 0 1 36 6 7 14 171
Stock Market Crashes:Predictable and Unpredictable and What to do About Them 1 1 2 98 6 7 22 390
Total Books 1 1 3 134 12 14 36 561

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 0 8 1 1 4 33
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 0 0 3 5 5 8 16
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 0 1 18 0 1 4 58
Analysis and Possible Prediction of Declines in the −5% to −15% Range 0 0 1 8 1 2 8 40
Asset and Liability Management 0 0 0 30 1 1 5 72
Asset and Liability Management: Jump-Diffusion Case 0 0 0 13 0 1 5 45
Case Studies 0 0 0 1 1 1 3 23
Discovery of the Bond–Stock Earnings Yield Differential Model 0 1 3 58 2 4 9 165
Effect of Fed Meetings and Small-Cap Dominance 0 0 0 7 0 0 4 33
Factor Estimation: Filtering and Black-Litterman 0 0 0 27 2 2 6 98
Factor and Securities Models 0 0 0 2 0 0 3 17
Fractional Kelly Strategies for Benchmarked Asset Management 0 0 3 37 1 4 29 124
Fractional Kelly Strategies in Continuous Time: Recent Developments 1 1 6 19 9 16 43 74
Fund Separation and Fractional Kelly Strategies 0 0 0 10 2 2 3 30
General Jump-Diffusion Setting 0 0 1 5 1 2 5 34
How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments 0 0 0 24 2 5 11 67
Infinite Horizon Problems 0 0 0 3 1 1 5 36
Introduction 0 0 0 31 1 3 5 69
Investment Constraints 0 0 0 9 2 7 13 102
Jump-Diffusion Risk-Sensitive Benchmarked Asset Management 0 0 0 5 4 5 8 29
Jumps in Asset Prices 0 0 0 13 1 2 4 78
Managing Against a Benchmark 0 0 0 0 1 2 9 33
Managing Against a Benchmark: Jump-Diffusion Case 0 0 0 0 4 6 10 29
Mathematics of the Changepoint Detection Model 0 0 1 33 4 4 10 91
Numerical Methods 0 0 0 1 0 0 2 50
Other Bubble-testing Methodologies and Historical Bubbles 0 0 0 12 2 2 4 30
Other Prediction Models for the Big Crashes Averaging −25% 0 0 1 11 1 4 12 44
Prediction of the 2007–2009 Stock Market Crashes in the US, China and Iceland 0 0 0 26 1 2 3 71
Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach 0 0 1 2 1 1 4 6
Risk-Sensitive Asset Management 0 0 1 29 4 4 6 99
STOCK MARKET CRASHES IN 2007–2009: WERE WE ABLE TO PREDICT THEM? 0 0 0 6 3 7 11 48
Stock Market Crashes in 2006–2009: Were We Able to Predict Them? 0 0 0 3 0 0 12 22
Stock market crashes in 2007–2009: were we able to predict them? 0 0 0 1 1 2 5 6
The High Price–Earnings Stock Market Danger Approach of Campbell and Shiller versus the BSEYD Model 0 0 0 16 2 3 5 78
The Merton Problem 0 0 2 29 2 4 7 91
Using Zweig’s Monetary and Momentum Models in the Modern Era 0 0 0 17 3 3 7 66
Total Chapters 1 2 21 517 66 109 292 2,007

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Statistics updated 2026-05-06