Nicolas Gaussel

Metori Capital Management

Chief Executive Officer

9 rue de la Paix

Paris, 75002

France

http://www.metori.com

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 16,974

SSRN RANKINGS

Top 16,974

in Total Papers Downloads

3,690

SSRN CITATIONS
Rank 29,031

SSRN RANKINGS

Top 29,031

in Total Papers Citations

4

CROSSREF CITATIONS

27

Scholarly Papers (14)

1.

Regularization of Portfolio Allocation

Number of pages: 35 Posted: 21 Apr 2016
Lyxor Asset Management, Metori Capital Management, Eisler Capital and Amundi Asset Management
Downloads 999 (28,105)
Citation 15

Abstract:

Loading...

Portfolio optimization, active management, estimation error, shrinkage estimator, resampling methods, eigendecomposition, norm constraints, Lasso regression, ridge regression, information matrix, hedging portfolio, sparsity

2.

Risk-Return Analysis of Dynamic Investment Strategies

Number of pages: 29 Posted: 14 Jul 2014
Benjamin Bruder and Nicolas Gaussel
Lyxor Asset Management and Metori Capital Management
Downloads 987 (28,586)
Citation 16

Abstract:

Loading...

Options on Funds: Bridging the Gap between Financial and Actuarial Pricing

Number of pages: 31 Posted: 03 Aug 2004
Nicolas Gaussel and Marie-Pascale Leonardi
Metori Capital Management and Ecole Superieure des Sciences Economiques et Commerciales (ESSEC)
Downloads 387 (94,811)

Abstract:

Loading...

Options on Funds: Bridging the Gap between Financial and Actuarial Pricing

Number of pages: 27 Posted: 05 Jul 2010
Nicolas Gaussel and Marie-Pascale Leonardi
Metori Capital Management and Ecole Superieure des Sciences Economiques et Commerciales (ESSEC)
Downloads 32 (573,152)

Abstract:

Loading...

Option pricing, insurance

4.

ESG Risk Rating of Alternative Portfolios

Number of pages: 20 Posted: 05 Jan 2021 Last Revised: 07 Jan 2021
Nicolas Gaussel and Laurent Le Saint
Metori Capital Management and Metori Capital Management
Downloads 254 (150,281)
Citation 1

Abstract:

Loading...

ESG, SRI, Responsible Investment, Rating, Alternative

5.

Investing Dynamic Dependence Using Copulae

Number of pages: 31 Posted: 23 Sep 2008
Eric Bouyé, Mark Salmon and Nicolas Gaussel
World Bank, University of Cambridge - Faculty of Economics and Politics and Metori Capital Management
Downloads 243 (156,918)
Citation 6

Abstract:

Loading...

Finance, Financial Econumetrics, Copula, Time Series, Non Linear

6.

Badly Arbitraged Markets and Negative Martingale Measures

Number of pages: 34 Posted: 31 Mar 2001
Fabrice Baudoin and Nicolas Gaussel
Université Paris VI Pierre et Marie Curie and Metori Capital Management
Downloads 181 (206,331)

Abstract:

Loading...

7.

Black-Scholes: What’s Next?

Number of pages: 43 Posted: 05 Jul 2010
Nicolas Gaussel and Jerome Legras
Metori Capital Management and Lyxor Asset Management
Downloads 178 (209,342)

Abstract:

Loading...

Asset pricing, options

8.

Portfolio Optimization: How Jumps Modify the Standard Merton Message?

Number of pages: 39 Posted: 05 Jul 2010
Nicolas Gaussel and Grégoire Deyirmendjian
Metori Capital Management and affiliation not provided to SSRN
Downloads 107 (311,342)

Abstract:

Loading...

Asset management, jumps, portfolio allocation

9.

Valuation of Mortgage Backed Securities: From Optimality to Reality

Number of pages: 29 Posted: 05 Jul 2010
Nicolas Gaussel and Julien Tamine
Metori Capital Management and University of Angers - Research Group in Quantitative Saving (GREQAM)
Downloads 89 (350,716)

Abstract:

Loading...

Mortgage valuation, Asset Backed Securities

10.

Measuring the Alpha of a Convexity-creating Fund: A Two-factor Approach

Number of pages: 16 Posted: 27 Oct 2020
Mouhamadou Diouf, Nicolas Gaussel and Pierre Jaffard
affiliation not provided to SSRN, Metori Capital Management and Massachusetts Institute of Technology (MIT)
Downloads 81 (371,273)

Abstract:

Loading...

asset pricing, asset management, hedge fund, alpha, convexity

11.

Conditioning Information for Well Behaved Tactical Assets Allocation Programs

Number of pages: 37 Posted: 05 Jul 2010
Nicolas Gaussel
Metori Capital Management
Downloads 53 (462,183)

Abstract:

Loading...

Tactical Asset Allocation, information

12.

The Martingale Property of Prices When Arbitrage Opportunities Exist

Number of pages: 26 Posted: 05 Jul 2010
Nicolas Gaussel
Metori Capital Management
Downloads 42 (508,742)

Abstract:

Loading...

Arbitrage, martingale, asset pricing

13.

How Can Asset Allocation Benefit from a Complex Piece of Information?

Number of pages: 36 Posted: 05 Jul 2010
Fabrice Baudoin and Nicolas Gaussel
Université Paris VI Pierre et Marie Curie and Metori Capital Management
Downloads 41 (513,415)
Citation 1

Abstract:

Loading...

Asset Allocation, porfolio management

14.

Generation of Option-Like Investment Profiles in Open-Ended Funds

Number of pages: 17 Posted: 22 May 2020 Last Revised: 31 Oct 2020
Nicolas Gaussel and Benjamin Bruder
Metori Capital Management and Lyxor Asset Management
Downloads 16 (664,292)

Abstract:

Loading...

Open-ended fund, optimal portfolio, random horizon, time-invariant, turnpike theorem, option, portfolio theory