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 29 0 1 1 44
Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? 1 1 1 41 1 2 10 107
How to lose money in derivatives: examples from hedge funds and bank trading departments 0 4 4 21 0 10 10 55
Jump-Diffusion Risk-Sensitive Asset Management 0 1 1 16 0 1 1 57
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model 0 0 0 19 0 0 0 78
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model 0 0 0 9 0 0 0 50
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach 0 0 0 7 0 0 0 43
Risk-sensitive investment in a finite-factor model 0 2 2 6 0 2 2 25
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 1 9 0 1 2 50
The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis 0 0 0 13 0 0 1 44
Total Working Papers 1 8 9 170 1 17 27 553

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 2 0 0 1 17
Can Warren Buffett forecast equity market corrections? 0 0 1 3 0 0 2 19
Combining standard and behavioral portfolio theories: a practical and intuitive approach 1 1 5 18 1 2 8 47
Debiased expert forecasts in continuous-time asset allocation 0 0 0 2 0 1 6 31
Gods and Robots: Myths, Machines, and Ancient Dreams of Technology 0 0 2 8 0 0 4 26
Risk-sensitive benchmarked asset management 0 1 1 29 0 1 3 90
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 1 16 0 0 8 71
Stock market crashes in 2007--2009: were we able to predict them? 0 1 3 15 0 2 5 61
Taming animal spirits: risk management with behavioural factors 0 0 0 18 0 0 2 75
The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis? 0 0 0 14 0 1 5 59
Total Journal Articles 1 3 13 125 1 7 44 496

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 2 32 0 2 10 142
Stock Market Crashes:Predictable and Unpredictable and What to do About Them 0 4 15 60 2 16 70 187
Total Books 0 4 17 92 2 18 80 329

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 3 0 0 1 16
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 1 3 13 0 1 3 40
Analysis and Possible Prediction of Declines in the −5% to −15% Range 0 1 3 6 0 1 4 24
Asset and Liability Management 0 0 2 29 0 1 9 64
Asset and Liability Management: Jump-Diffusion Case 0 2 3 12 1 3 7 37
Case Studies 0 0 0 1 0 1 1 20
Discovery of the Bond–Stock Earnings Yield Differential Model 0 2 6 35 0 3 12 127
Effect of Fed Meetings and Small-Cap Dominance 0 1 2 7 0 1 4 23
Factor Estimation: Filtering and Black-Litterman 1 2 2 27 1 2 7 88
Factor and Securities Models 0 0 0 2 0 1 1 14
Fractional Kelly Strategies for Benchmarked Asset Management 0 2 6 17 2 5 15 52
Fund Separation and Fractional Kelly Strategies 0 0 0 7 0 0 1 24
General Jump-Diffusion Setting 0 0 0 4 0 0 0 24
How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments 1 16 16 19 2 28 29 47
Infinite Horizon Problems 0 0 1 2 0 0 1 25
Introduction 0 3 10 16 1 5 16 32
Investment Constraints 0 0 0 7 1 4 9 83
Jump-Diffusion Risk-Sensitive Benchmarked Asset Management 0 1 1 3 0 1 3 15
Jumps in Asset Prices 0 0 1 13 0 0 3 73
Managing Against a Benchmark 0 0 0 0 1 1 3 18
Managing Against a Benchmark: Jump-Diffusion Case 0 0 0 0 0 0 0 19
Mathematics of the Changepoint Detection Model 0 1 5 26 0 1 8 66
Numerical Methods 0 0 0 1 0 0 2 48
Other Bubble-testing Methodologies and Historical Bubbles 0 1 3 7 0 1 3 14
Other Prediction Models for the Big Crashes Averaging −25% 0 0 1 6 1 2 3 23
Prediction of the 2007–2009 Stock Market Crashes in the US, China and Iceland 0 1 4 19 0 1 7 56
Risk-Sensitive Asset Management 0 0 1 27 0 0 9 84
STOCK MARKET CRASHES IN 2007–2009: WERE WE ABLE TO PREDICT THEM? 0 0 0 4 0 0 7 33
The High Price–Earnings Stock Market Danger Approach of Campbell and Shiller versus the BSEYD Model 0 1 3 13 0 2 12 64
The Merton Problem 0 1 3 21 0 2 5 74
Using Zweig’s Monetary and Momentum Models in the Modern Era 1 1 4 11 1 2 11 41
Total Chapters 3 37 80 358 11 69 196 1,368

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Statistics updated 2022-11-05