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 1 1 6 53
A tale of two indexes: predicting equity market downturns in China 0 0 1 4 0 3 8 14
Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? 0 0 1 46 1 4 12 128
Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem 0 0 0 0 0 3 5 5
How to lose money in derivatives: examples from hedge funds and bank trading departments 0 0 1 23 0 5 14 75
Jump-Diffusion Risk-Sensitive Asset Management 0 0 0 17 0 2 4 62
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model 0 0 0 20 1 2 5 87
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model 0 0 1 11 0 4 10 64
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach 0 0 1 8 0 2 8 52
Risk-sensitive investment in a finite-factor model 0 0 0 6 0 2 7 32
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 0 10 5 17 35 91
The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis 0 0 0 13 1 7 14 59
Using a mean changing stochastic processes exit-entry model for stock market long-short prediction 1 1 2 7 2 5 12 22
Total Working Papers 1 1 7 197 11 57 140 744

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 2 2 21
Can Warren Buffett forecast equity market corrections? 0 2 3 7 0 8 11 35
Combining standard and behavioral portfolio theories: a practical and intuitive approach 0 0 1 30 0 1 5 73
Debiased expert forecasts in continuous-time asset allocation 0 0 1 4 0 2 8 43
Does the bond‐stock earnings yield differential model predict equity market corrections better than high P/E models? 0 1 2 2 1 11 21 21
Financial and Macroeconomic Connectedness 0 0 0 3 0 1 2 17
Gods and Robots: Myths, Machines, and Ancient Dreams of Technology 0 0 0 10 0 2 2 30
Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data 0 0 0 1 1 4 10 13
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation 0 0 0 0 2 5 11 17
Risk-sensitive benchmarked asset management 0 0 1 33 0 4 13 108
Risk‐sensitive benchmarked asset management with expert forecasts 0 0 0 5 0 2 7 25
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 0 16 1 5 12 87
Stochastic Disorder Problems 0 0 0 2 0 3 5 13
Stock market crashes in 2007--2009: were we able to predict them? 0 0 0 15 0 2 10 76
Taming animal spirits: risk management with behavioural factors 0 0 0 18 1 3 9 90
The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis? 0 0 0 15 0 7 14 75
Total Journal Articles 0 3 8 165 6 62 142 744

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 36 1 7 15 172
Stock Market Crashes:Predictable and Unpredictable and What to do About Them 0 1 2 98 1 7 21 391
Total Books 0 1 3 134 2 14 36 563

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 1 4 33
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 0 1 18 0 1 4 58
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 0 0 3 0 5 8 16
Analysis and Possible Prediction of Declines in the −5% to −15% Range 0 0 0 8 0 1 7 40
Asset and Liability Management 0 0 0 30 1 2 6 73
Asset and Liability Management: Jump-Diffusion Case 0 0 0 13 1 1 6 46
Case Studies 0 0 0 1 3 4 6 26
Discovery of the Bond–Stock Earnings Yield Differential Model 0 1 3 58 0 3 9 165
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 1 3 7 99
Factor and Securities Models 0 0 0 2 1 1 4 18
Fractional Kelly Strategies for Benchmarked Asset Management 0 0 3 37 5 6 33 129
Fractional Kelly Strategies in Continuous Time: Recent Developments 3 4 9 22 6 21 49 80
Fund Separation and Fractional Kelly Strategies 0 0 0 10 0 2 3 30
General Jump-Diffusion Setting 0 0 0 5 0 2 4 34
How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments 0 0 0 24 0 3 9 67
Infinite Horizon Problems 0 0 0 3 0 1 5 36
Introduction 0 0 0 31 0 2 5 69
Investment Constraints 0 0 0 9 1 7 14 103
Jump-Diffusion Risk-Sensitive Benchmarked Asset Management 0 0 0 5 0 4 8 29
Jumps in Asset Prices 0 0 0 13 0 2 4 78
Managing Against a Benchmark 0 0 0 0 0 2 7 33
Managing Against a Benchmark: Jump-Diffusion Case 0 0 0 0 0 5 10 29
Mathematics of the Changepoint Detection Model 0 0 1 33 1 5 11 92
Numerical Methods 0 0 0 1 0 0 2 50
Other Bubble-testing Methodologies and Historical Bubbles 0 0 0 12 0 2 4 30
Other Prediction Models for the Big Crashes Averaging −25% 0 0 1 11 0 3 12 44
Prediction of the 2007–2009 Stock Market Crashes in the US, China and Iceland 0 0 0 26 1 3 4 72
Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach 0 0 1 2 0 1 4 6
Risk-Sensitive Asset Management 0 0 1 29 0 4 6 99
STOCK MARKET CRASHES IN 2007–2009: WERE WE ABLE TO PREDICT THEM? 0 0 0 6 0 4 11 48
Stock Market Crashes in 2006–2009: Were We Able to Predict Them? 0 0 0 3 1 1 13 23
Stock market crashes in 2007–2009: were we able to predict them? 0 0 0 1 1 3 6 7
The High Price–Earnings Stock Market Danger Approach of Campbell and Shiller versus the BSEYD Model 0 0 0 16 0 3 5 78
The Merton Problem 0 0 2 29 1 5 7 92
Using Zweig’s Monetary and Momentum Models in the Modern Era 1 1 1 18 3 6 10 69
Total Chapters 4 6 23 521 27 119 311 2,034

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Statistics updated 2026-06-04