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 3 0 0 2 6
A tale of two indexes: predicting equity market downturns in China 0 0 0 32 0 0 0 47
Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? 0 0 0 45 1 1 2 117
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 0 17 0 0 0 58
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model 0 0 0 20 0 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 0 10 0 0 2 56
The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis 0 0 0 13 0 0 0 45
Using a mean changing stochastic processes exit-entry model for stock market long-short prediction 0 1 1 5 0 2 3 11
Total Working Papers 0 1 3 190 1 4 12 606

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 0 1 2 24
Combining standard and behavioral portfolio theories: a practical and intuitive approach 0 0 4 29 0 0 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 1 1 1 1
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 1 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 0 1 32 0 0 1 95
Risk‐sensitive benchmarked asset management with expert forecasts 0 0 2 5 0 0 4 18
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 0 16 0 0 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 1 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 0 1 1 61
Total Journal Articles 0 0 8 157 1 3 29 603

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 8 158
Stock Market Crashes:Predictable and Unpredictable and What to do About Them 0 0 10 96 2 4 95 372
Total Books 0 0 11 131 2 5 103 530

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 5 29
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 0 2 17 0 1 6 55
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 0 0 3 0 0 0 8
Analysis and Possible Prediction of Declines in the −5% to −15% Range 0 1 2 8 0 1 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 4 55 0 0 7 156
Effect of Fed Meetings and Small-Cap Dominance 0 0 0 7 0 0 0 29
Factor Estimation: Filtering and Black-Litterman 0 0 0 27 1 1 2 93
Factor and Securities Models 0 0 0 2 0 0 0 14
Fractional Kelly Strategies for Benchmarked Asset Management 1 1 5 35 2 3 12 98
Fractional Kelly Strategies in Continuous Time: Recent Developments 0 0 0 13 0 1 2 32
Fund Separation and Fractional Kelly Strategies 0 0 0 10 0 0 0 27
General Jump-Diffusion Setting 0 1 1 5 0 1 1 30
How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments 0 0 2 24 0 2 4 58
Infinite Horizon Problems 0 0 0 3 1 1 3 32
Introduction 0 0 4 31 0 0 8 64
Investment Constraints 0 0 1 9 1 1 4 90
Jump-Diffusion Risk-Sensitive Benchmarked Asset Management 0 0 0 5 0 0 1 21
Jumps in Asset Prices 0 0 0 13 0 0 1 74
Managing Against a Benchmark 0 0 0 0 0 3 9 27
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 1 2 6 83
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 0 3 10 0 0 3 32
Prediction of the 2007–2009 Stock Market Crashes in the US, China and Iceland 0 0 2 26 0 0 3 68
Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach 0 0 0 1 0 0 1 2
Risk-Sensitive Asset Management 1 1 2 29 1 1 4 94
STOCK MARKET CRASHES IN 2007–2009: WERE WE ABLE TO PREDICT THEM? 0 0 0 6 0 0 0 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 1 1 4 28 1 2 5 86
Using Zweig’s Monetary and Momentum Models in the Modern Era 0 0 1 17 0 0 3 59
Total Chapters 3 5 40 501 8 20 101 1,735

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Statistics updated 2025-08-05