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 0 2 5 11
A tale of two indexes: predicting equity market downturns in China 0 0 0 32 0 4 5 52
Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? 0 0 1 46 0 4 8 124
Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem 0 0 0 0 1 2 2 2
How to lose money in derivatives: examples from hedge funds and bank trading departments 0 0 1 23 0 4 9 70
Jump-Diffusion Risk-Sensitive Asset Management 0 0 0 17 0 2 2 60
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model 0 0 0 20 1 3 4 85
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model 0 1 1 11 0 5 6 60
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach 0 0 1 8 1 5 6 50
Risk-sensitive investment in a finite-factor model 0 0 0 6 0 4 5 30
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 0 10 1 15 18 74
The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis 0 0 0 13 0 7 7 52
Using a mean changing stochastic processes exit-entry model for stock market long-short prediction 0 0 2 6 1 4 8 17
Total Working Papers 0 1 7 196 5 61 85 687

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 4 27
Combining standard and behavioral portfolio theories: a practical and intuitive approach 0 0 3 30 0 1 7 72
Debiased expert forecasts in continuous-time asset allocation 0 1 1 4 1 5 6 41
Does the bond‐stock earnings yield differential model predict equity market corrections better than high P/E models? 0 0 1 1 2 7 10 10
Financial and Macroeconomic Connectedness 0 0 0 3 0 1 1 16
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 0 1 1 6 6 9
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation 0 0 0 0 1 5 6 12
Risk-sensitive benchmarked asset management 0 0 2 33 0 4 10 104
Risk‐sensitive benchmarked asset management with expert forecasts 0 0 0 5 0 3 6 23
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world 0 0 0 16 2 4 8 82
Stochastic Disorder Problems 0 0 0 2 0 1 2 10
Stock market crashes in 2007--2009: were we able to predict them? 0 0 0 15 1 5 8 74
Taming animal spirits: risk management with behavioural factors 0 0 0 18 0 1 6 87
The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis? 0 0 0 15 0 5 8 68
Total Journal Articles 0 1 8 162 8 49 88 682

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 4 9 165
Stock Market Crashes:Predictable and Unpredictable and What to do About Them 0 0 4 97 1 6 32 384
Total Books 0 0 5 133 2 10 41 549

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 2 3 32
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 0 0 3 0 3 3 11
A Stopping Rule Model for Exiting Bubble-like Markets with Applications 0 1 2 18 0 1 5 57
Analysis and Possible Prediction of Declines in the −5% to −15% Range 0 0 2 8 1 5 9 39
Asset and Liability Management 0 0 0 30 0 2 4 71
Asset and Liability Management: Jump-Diffusion Case 0 0 0 13 1 5 5 45
Case Studies 0 0 0 1 0 2 2 22
Discovery of the Bond–Stock Earnings Yield Differential Model 0 2 2 57 1 3 8 162
Effect of Fed Meetings and Small-Cap Dominance 0 0 0 7 0 3 4 33
Factor Estimation: Filtering and Black-Litterman 0 0 0 27 0 2 4 96
Factor and Securities Models 0 0 0 2 0 3 3 17
Fractional Kelly Strategies for Benchmarked Asset Management 0 1 3 37 3 13 30 123
Fractional Kelly Strategies in Continuous Time: Recent Developments 0 1 5 18 1 20 29 59
Fund Separation and Fractional Kelly Strategies 0 0 0 10 0 1 1 28
General Jump-Diffusion Setting 0 0 1 5 0 2 3 32
How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments 0 0 0 24 2 6 8 64
Infinite Horizon Problems 0 0 0 3 0 3 4 35
Introduction 0 0 0 31 1 3 5 67
Investment Constraints 0 0 0 9 1 6 8 96
Jump-Diffusion Risk-Sensitive Benchmarked Asset Management 0 0 0 5 1 4 5 25
Jumps in Asset Prices 0 0 0 13 0 2 3 76
Managing Against a Benchmark 0 0 0 0 0 2 9 31
Managing Against a Benchmark: Jump-Diffusion Case 0 0 0 0 1 5 5 24
Mathematics of the Changepoint Detection Model 0 0 1 33 0 1 6 87
Numerical Methods 0 0 0 1 0 1 2 50
Other Bubble-testing Methodologies and Historical Bubbles 0 0 0 12 0 1 2 28
Other Prediction Models for the Big Crashes Averaging −25% 0 0 4 11 1 6 12 41
Prediction of the 2007–2009 Stock Market Crashes in the US, China and Iceland 0 0 0 26 0 0 1 69
Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach 0 0 1 2 0 2 3 5
Risk-Sensitive Asset Management 0 0 1 29 0 0 4 95
STOCK MARKET CRASHES IN 2007–2009: WERE WE ABLE TO PREDICT THEM? 0 0 0 6 3 6 7 44
Stock Market Crashes in 2006–2009: Were We Able to Predict Them? 0 0 0 3 0 3 12 22
Stock market crashes in 2007–2009: were we able to predict them? 0 0 0 1 0 2 3 4
The High Price–Earnings Stock Market Danger Approach of Campbell and Shiller versus the BSEYD Model 0 0 0 16 0 0 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 0 4 5 63
Total Chapters 0 5 25 515 17 124 222 1,915

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Statistics updated 2026-03-04