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 28 2 2 6 41
Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? 1 1 6 39 1 3 19 93
How to lose money in derivatives: examples from hedge funds and bank trading departments 0 0 1 16 2 2 6 38
Jump-Diffusion Risk-Sensitive Asset Management 0 0 0 15 0 2 3 54
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model 0 0 0 19 0 0 0 77
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model 0 0 0 9 0 2 2 49
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 0 0 4 0 1 4 21
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 1 7 1 5 9 45
The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis 0 0 0 13 1 3 10 36
Total Working Papers 1 1 8 157 7 20 59 497


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 1 1 2 15
Can Warren Buffett forecast equity market corrections? 0 0 0 0 1 3 6 8
Combining standard and behavioral portfolio theories: a practical and intuitive approach 0 2 4 10 2 5 9 30
Debiased expert forecasts in continuous-time asset allocation 1 1 2 2 2 7 18 18
Gods and Robots: Myths, Machines, and Ancient Dreams of Technology 0 0 0 3 1 3 8 16
Risk-sensitive benchmarked asset management 0 0 0 28 0 0 6 86
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 2 13 0 1 5 57
Stock market crashes in 2007--2009: were we able to predict them? 0 1 1 11 1 2 4 54
Taming animal spirits: risk management with behavioural factors 0 0 1 17 0 0 7 70
The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis? 0 0 1 14 0 1 12 51
Total Journal Articles 1 4 11 100 8 23 77 405


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Risk-Sensitive Investment Management 0 2 4 26 1 7 21 118
Stock Market Crashes:Predictable and Unpredictable and What to do About Them 0 2 7 33 3 12 21 75
Total Books 0 4 11 59 4 19 42 193


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 1 2 3 13
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 1 1 1 10 2 2 4 36
Analysis and Possible Prediction of Declines in the −5% to −15% Range 0 0 0 3 1 1 1 17
Asset and Liability Management 0 1 4 26 1 2 7 51
Asset and Liability Management: Jump-Diffusion Case 0 0 0 9 1 1 1 26
Case Studies 0 0 0 1 2 2 4 16
Discovery of the Bond–Stock Earnings Yield Differential Model 1 5 7 16 1 10 28 66
Effect of Fed Meetings and Small-Cap Dominance 0 0 2 4 0 2 5 17
Factor Estimation: Filtering and Black-Litterman 0 0 3 23 1 2 9 77
Factor and Securities Models 0 0 0 2 1 1 1 12
Fractional Kelly Strategies for Benchmarked Asset Management 0 2 3 5 1 8 11 18
Fund Separation and Fractional Kelly Strategies 0 0 1 6 1 2 3 19
General Jump-Diffusion Setting 0 1 1 3 1 2 5 20
How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments 0 0 0 1 3 3 8 13
Infinite Horizon Problems 0 0 0 1 1 2 4 24
Introduction 0 0 0 2 0 1 3 11
Investment Constraints 0 1 1 7 3 6 10 63
Jump-Diffusion Risk-Sensitive Benchmarked Asset Management 0 0 1 2 0 1 5 11
Jumps in Asset Prices 0 1 8 10 4 9 24 52
Managing Against a Benchmark 0 0 0 0 1 2 2 13
Managing Against a Benchmark: Jump-Diffusion Case 0 0 0 0 1 1 2 17
Mathematics of the Changepoint Detection Model 2 5 16 17 6 14 36 49
Numerical Methods 0 0 0 1 3 7 12 30
Other Bubble-testing Methodologies and Historical Bubbles 0 0 1 4 0 1 2 9
Other Prediction Models for the Big Crashes Averaging −25% 0 0 0 3 0 0 1 16
Prediction of the 2007–2009 Stock Market Crashes in the US, China and Iceland 0 0 2 14 0 1 7 41
Risk-Sensitive Asset Management 0 0 1 25 1 1 3 64
STOCK MARKET CRASHES IN 2007–2009: WERE WE ABLE TO PREDICT THEM? 0 0 0 4 0 0 2 22
The High Price–Earnings Stock Market Danger Approach of Campbell and Shiller versus the BSEYD Model 0 0 1 7 0 1 4 40
The Merton Problem 0 1 1 17 1 3 7 66
Using Zweig’s Monetary and Momentum Models in the Modern Era 0 0 1 4 0 0 4 15
Total Chapters 4 18 55 230 38 90 218 944


Statistics updated 2021-01-03