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 0 47
A tale of two indexes: predicting equity market downturns in China 0 0 2 3 0 0 4 6
Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? 0 0 0 45 0 0 1 116
Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem 0 0 0 0 0 0 0 0
How to lose money in derivatives: examples from hedge funds and bank trading departments 0 0 1 22 0 0 2 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 1 1 1 82
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model 0 0 0 10 0 0 0 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 3 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 1 1 2 5 1 1 3 10
Total Working Papers 1 1 7 190 2 2 16 604

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 1 1 2 24
Combining standard and behavioral portfolio theories: a practical and intuitive approach 0 2 4 29 0 3 8 68
Debiased expert forecasts in continuous-time asset allocation 0 0 0 3 0 0 1 35
Does the bond‐stock earnings yield differential model predict equity market corrections better than high P/E models? 0 0 0 0 0 0 0 0
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
Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data 0 0 1 1 0 0 2 3
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation 0 0 0 0 0 0 5 6
Risk-sensitive benchmarked asset management 0 1 1 32 0 1 1 95
Risk‐sensitive benchmarked asset management with expert forecasts 0 0 2 5 0 1 4 18
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 0 16 0 1 2 75
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 0 2 81
The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis? 0 0 0 15 1 1 1 61
Total Journal Articles 0 3 8 157 2 8 30 602

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 35 0 1 7 157
Stock Market Crashes:Predictable and Unpredictable and What to do About Them 0 3 12 96 2 18 100 370
Total Books 0 3 13 131 2 19 107 527

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 0 0 6 29
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 0 0 3 0 0 0 8
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 1 2 17 0 2 7 54
Analysis and Possible Prediction of Declines in the −5% to −15% Range 1 2 2 8 1 3 6 33
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 7 55 0 2 10 156
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 0 0 1 92
Factor and Securities Models 0 0 0 2 0 0 0 14
Fractional Kelly Strategies for Benchmarked Asset Management 0 0 4 34 1 3 11 96
Fractional Kelly Strategies in Continuous Time: Recent Developments 0 0 1 13 0 1 6 31
Fund Separation and Fractional Kelly Strategies 0 0 0 10 0 0 0 27
General Jump-Diffusion Setting 1 1 1 5 1 1 1 30
How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments 0 0 2 24 2 2 4 58
Infinite Horizon Problems 0 0 0 3 0 0 2 31
Introduction 0 0 4 31 0 2 10 64
Investment Constraints 0 0 1 9 0 1 3 89
Jump-Diffusion Risk-Sensitive Benchmarked Asset Management 0 0 0 5 0 1 4 21
Jumps in Asset Prices 0 0 0 13 0 1 1 74
Managing Against a Benchmark 0 0 0 0 2 4 8 26
Managing Against a Benchmark: Jump-Diffusion Case 0 0 0 0 0 0 0 19
Mathematics of the Changepoint Detection Model 0 0 3 32 0 0 6 81
Numerical Methods 0 0 0 1 0 0 0 48
Other Bubble-testing Methodologies and Historical Bubbles 0 0 1 12 0 0 3 26
Other Prediction Models for the Big Crashes Averaging −25% 0 3 3 10 0 3 3 32
Prediction of the 2007–2009 Stock Market Crashes in the US, China and Iceland 0 0 3 26 0 0 4 68
Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach 0 0 0 1 0 0 1 2
Risk-Sensitive Asset Management 0 0 1 28 0 2 3 93
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
Stock market crashes in 2007–2009: were we able to predict them? 0 0 1 1 0 0 1 1
The High Price–Earnings Stock Market Danger Approach of Campbell and Shiller versus the BSEYD Model 0 0 1 16 0 0 1 73
The Merton Problem 0 0 3 27 1 1 4 85
Using Zweig’s Monetary and Momentum Models in the Modern Era 0 1 1 17 0 1 4 59
Total Chapters 2 8 43 498 8 30 112 1,723

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Statistics updated 2025-06-06