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 1 4 1 2 4 10
A tale of two indexes: predicting equity market downturns in China 0 0 0 32 0 1 1 48
Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? 0 1 1 46 1 3 6 121
Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem 0 0 0 0 1 1 1 1
How to lose money in derivatives: examples from hedge funds and bank trading departments 0 1 1 23 2 6 8 68
Jump-Diffusion Risk-Sensitive Asset Management 0 0 0 17 2 2 2 60
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model 0 0 0 20 0 0 1 82
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model 0 0 0 10 0 1 1 55
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach 0 0 1 8 1 1 2 46
Risk-sensitive investment in a finite-factor model 0 0 0 6 2 3 3 28
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 0 10 6 6 9 65
The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis 0 0 0 13 5 5 5 50
Using a mean changing stochastic processes exit-entry model for stock market long-short prediction 0 1 2 6 1 2 5 14
Total Working Papers 0 3 6 195 22 33 48 648

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 1 5 0 1 3 26
Combining standard and behavioral portfolio theories: a practical and intuitive approach 0 0 3 30 1 2 9 72
Debiased expert forecasts in continuous-time asset allocation 0 0 0 3 0 1 1 36
Does the bond‐stock earnings yield differential model predict equity market corrections better than high P/E models? 0 0 1 1 2 3 5 5
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 1 1 2 4
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation 0 0 0 0 0 1 3 7
Risk-sensitive benchmarked asset management 0 0 2 33 1 3 7 101
Risk‐sensitive benchmarked asset management with expert forecasts 0 0 0 5 1 3 5 21
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 0 16 0 3 5 78
Stochastic Disorder Problems 0 0 0 2 0 1 1 9
Stock market crashes in 2007--2009: were we able to predict them? 0 0 0 15 2 4 5 71
Taming animal spirits: risk management with behavioural factors 0 0 0 18 0 3 5 86
The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis? 0 0 0 15 1 2 4 64
Total Journal Articles 0 0 8 161 9 28 55 642

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 36 2 2 8 163
Stock Market Crashes:Predictable and Unpredictable and What to do About Them 0 1 5 97 2 6 55 380
Total Books 0 1 7 133 4 8 63 543

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 2 5 31
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 0 2 17 0 1 5 56
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 0 0 3 1 1 1 9
Analysis and Possible Prediction of Declines in the −5% to −15% Range 0 0 2 8 3 4 7 37
Asset and Liability Management 0 0 0 30 1 2 3 70
Asset and Liability Management: Jump-Diffusion Case 0 0 0 13 1 1 1 41
Case Studies 0 0 0 1 1 1 1 21
Discovery of the Bond–Stock Earnings Yield Differential Model 2 2 2 57 2 4 8 161
Effect of Fed Meetings and Small-Cap Dominance 0 0 0 7 1 2 2 31
Factor Estimation: Filtering and Black-Litterman 0 0 0 27 0 1 3 94
Factor and Securities Models 0 0 0 2 0 0 0 14
Fractional Kelly Strategies for Benchmarked Asset Management 1 1 5 37 5 10 25 115
Fractional Kelly Strategies in Continuous Time: Recent Developments 0 2 4 17 13 18 22 52
Fund Separation and Fractional Kelly Strategies 0 0 0 10 0 0 0 27
General Jump-Diffusion Setting 0 0 1 5 1 1 2 31
How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments 0 0 1 24 2 2 5 60
Infinite Horizon Problems 0 0 0 3 1 1 3 33
Introduction 0 0 0 31 0 0 3 64
Investment Constraints 0 0 0 9 3 3 5 93
Jump-Diffusion Risk-Sensitive Benchmarked Asset Management 0 0 0 5 2 2 3 23
Jumps in Asset Prices 0 0 0 13 1 1 2 75
Managing Against a Benchmark 0 0 0 0 0 2 8 29
Managing Against a Benchmark: Jump-Diffusion Case 0 0 0 0 2 2 2 21
Mathematics of the Changepoint Detection Model 0 1 2 33 1 3 7 87
Numerical Methods 0 0 0 1 1 2 2 50
Other Bubble-testing Methodologies and Historical Bubbles 0 0 1 12 0 1 3 27
Other Prediction Models for the Big Crashes Averaging −25% 0 0 4 11 1 3 7 36
Prediction of the 2007–2009 Stock Market Crashes in the US, China and Iceland 0 0 0 26 0 0 2 69
Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach 0 0 1 2 2 2 4 5
Risk-Sensitive Asset Management 0 0 2 29 0 1 5 95
STOCK MARKET CRASHES IN 2007–2009: WERE WE ABLE TO PREDICT THEM? 0 0 0 6 0 1 1 38
Stock Market Crashes in 2006–2009: Were We Able to Predict Them? 0 0 0 3 1 9 10 20
Stock market crashes in 2007–2009: were we able to predict them? 0 0 0 1 1 2 2 3
The High Price–Earnings Stock Market Danger Approach of Campbell and Shiller versus the BSEYD Model 0 0 0 16 0 1 2 75
The Merton Problem 0 0 2 29 0 0 3 87
Using Zweig’s Monetary and Momentum Models in the Modern Era 0 0 1 17 1 1 2 60
Total Chapters 3 6 30 513 49 87 166 1,840

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Statistics updated 2026-01-09