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 1 7 54
A tale of two indexes: predicting equity market downturns in China 0 0 0 4 0 1 8 16
Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? 0 0 1 46 0 1 11 129
Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem 0 0 0 0 1 1 6 6
How to lose money in derivatives: examples from hedge funds and bank trading departments 0 0 1 23 0 4 20 82
Jump-Diffusion Risk-Sensitive Asset Management 0 0 0 17 1 2 6 64
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model 0 0 0 20 0 1 6 88
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model 0 0 1 11 1 1 11 65
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach 0 0 0 8 0 0 7 52
Risk-sensitive investment in a finite-factor model 0 0 0 6 0 2 9 34
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 0 10 0 0 32 91
The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis 0 0 0 13 0 0 14 59
Using a mean changing stochastic processes exit-entry model for stock market long-short prediction 0 0 2 7 0 1 12 24
Total Working Papers 0 0 5 197 3 15 149 764

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 2 21
Can Warren Buffett forecast equity market corrections? 0 0 2 7 0 0 10 35
Combining standard and behavioral portfolio theories: a practical and intuitive approach 0 0 0 30 0 0 3 73
Debiased expert forecasts in continuous-time asset allocation 0 0 1 4 0 0 8 43
Does the bond‐stock earnings yield differential model predict equity market corrections better than high P/E models? 0 0 1 2 1 3 23 25
Financial and Macroeconomic Connectedness 0 0 0 3 0 1 3 18
Gods and Robots: Myths, Machines, and Ancient Dreams of Technology 0 0 0 10 0 0 2 30
Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data 0 1 1 2 0 4 14 17
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation 0 0 0 0 1 2 13 19
Risk-sensitive benchmarked asset management 0 0 0 33 0 1 11 109
Risk‐sensitive benchmarked asset management with expert forecasts 0 0 1 6 2 4 12 30
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 0 16 0 0 12 87
Stochastic Disorder Problems 0 0 0 2 1 2 7 15
Stock market crashes in 2007--2009: were we able to predict them? 0 0 0 15 0 1 10 77
Taming animal spirits: risk management with behavioural factors 0 0 0 18 0 1 8 91
The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis? 0 0 0 15 0 0 13 75
Total Journal Articles 0 1 6 167 5 19 151 765

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 37 0 2 14 175
Stock Market Crashes:Predictable and Unpredictable and What to do About Them 0 2 4 100 0 2 20 394
Total Books 0 3 5 137 0 4 34 569

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 0 0 4 33
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 0 0 3 0 0 9 17
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 0 1 18 0 0 3 58
Analysis and Possible Prediction of Declines in the −5% to −15% Range 0 1 1 9 0 1 8 41
Asset and Liability Management 0 0 1 31 1 1 7 75
Asset and Liability Management: Jump-Diffusion Case 0 0 0 13 0 0 6 46
Case Studies 0 0 0 1 0 0 6 26
Discovery of the Bond–Stock Earnings Yield Differential Model 0 1 4 59 1 5 13 170
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 0 0 6 99
Factor and Securities Models 0 0 0 2 0 2 6 20
Fractional Kelly Strategies for Benchmarked Asset Management 0 0 1 37 2 3 27 132
Fractional Kelly Strategies in Continuous Time: Recent Developments 1 1 8 23 4 8 56 90
Fund Separation and Fractional Kelly Strategies 0 0 0 10 0 0 3 30
General Jump-Diffusion Setting 0 0 0 5 0 0 4 34
How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments 0 0 0 24 0 1 12 70
Infinite Horizon Problems 0 0 0 3 0 0 4 36
Introduction 0 1 1 32 0 2 7 71
Investment Constraints 0 0 0 9 1 3 16 106
Jump-Diffusion Risk-Sensitive Benchmarked Asset Management 0 0 0 5 0 0 8 29
Jumps in Asset Prices 0 0 0 13 0 0 5 79
Managing Against a Benchmark 0 0 0 0 1 1 7 34
Managing Against a Benchmark: Jump-Diffusion Case 0 0 0 0 0 0 10 29
Mathematics of the Changepoint Detection Model 0 1 2 34 0 1 9 93
Numerical Methods 0 0 0 1 0 0 3 51
Other Bubble-testing Methodologies and Historical Bubbles 0 1 1 13 0 2 6 32
Other Prediction Models for the Big Crashes Averaging −25% 0 0 0 11 0 0 11 44
Prediction of the 2007–2009 Stock Market Crashes in the US, China and Iceland 0 1 1 27 0 1 4 73
Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach 0 0 0 2 0 0 3 6
Risk-Sensitive Asset Management 0 0 0 29 1 2 7 101
STOCK MARKET CRASHES IN 2007–2009: WERE WE ABLE TO PREDICT THEM? 0 1 1 7 0 2 13 50
Stock Market Crashes in 2006–2009: Were We Able to Predict Them? 0 0 0 3 0 1 13 24
Stock market crashes in 2007–2009: were we able to predict them? 0 1 1 2 0 3 9 10
The High Price–Earnings Stock Market Danger Approach of Campbell and Shiller versus the BSEYD Model 0 0 0 16 0 0 4 78
The Merton Problem 0 0 0 29 0 0 7 94
Using Zweig’s Monetary and Momentum Models in the Modern Era 0 0 1 18 0 2 12 71
Total Chapters 1 9 24 531 11 41 332 2,085

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Statistics updated 2026-10-11