Sebastien Lleo

NEOMA Business School

Reims

France

SCHOLARLY PAPERS

25

DOWNLOADS
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6,649

SSRN CITATIONS
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Top 24,752

in Total Papers Citations

24

CROSSREF CITATIONS

15

Scholarly Papers (25)

1.

Can Warren Buffett Forecast Equity Market Corrections?

Number of pages: 39 Posted: 14 Jul 2015 Last Revised: 14 Jul 2017
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,165 (22,202)
Citation 3

Abstract:

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stock market crashes, equity markets, market value-to-GNP ratio, equity market, GNP, GDP, likelihood ratio test, Monte Carlo

2.

How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments

Number of pages: 58 Posted: 07 May 2014
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 642 (50,840)
Citation 4

Abstract:

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hedge fund trading disasters, over betting, Long Term Capital Management, Amarath and Société Genéralé

3.

Stock Market Crashes in 2007-2009: Were We Able to Predict Them?

Number of pages: 63 Posted: 12 Jul 2011 Last Revised: 18 Mar 2012
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 546 (62,501)
Citation 2

Abstract:

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stock market, crashes, efficient capital markets, China, Iceland

4.

Taming Animal Spirits: Risk Management with Behavioural Factors

Number of pages: 23 Posted: 12 Apr 2012
Mark Davis, Sebastien Lleo and Grzegorz Andruszkiewicz
Imperial College London, NEOMA Business School and Imperial College London
Downloads 490 (71,482)
Citation 1

Abstract:

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collateralized loans, animal spirits, confidence indices, market-consistent valuation, numeraire portfolio, structural credit risk models

5.

Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better than High P/E Models?

Number of pages: 112 Posted: 22 Jul 2013 Last Revised: 05 May 2015
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 467 (75,836)
Citation 3

Abstract:

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stock market corrections, bond-stock earnings yield model, FED model, price earnings ratio, Campbell and Shiller model

6.

Some Historical Perspectives on the Bond-Stock Yield Model for Crash Prediction Around the World

Number of pages: 57 Posted: 17 Mar 2014
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 405 (89,655)
Citation 3

Abstract:

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stock market crashes, BSEYD and Fed models, long term investing

7.

Finance And Mathematics: Merger Or Acquisitions?

Number of pages: 38 Posted: 01 Oct 2014 Last Revised: 21 Sep 2015
Sebastien Lleo and Jessica Li
NEOMA Business School and Neoma Business School
Downloads 389 (93,860)
Citation 1

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mathematical finance, financial economics, history of economics, history of mathematics, embedding, derivatives pricing, financial crisis, Barnesian performativity

8.

Black-Litterman in Continuous Time: The Case for Filtering

Quantitative Finance Letters, Forthcoming
Number of pages: 11 Posted: 09 May 2013 Last Revised: 04 Jul 2013
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Downloads 333 (111,962)
Citation 3

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Black-Litterman, Kalman filter, stochastic control, risk-sensitive control, asset management, parameter estimation, expert opinion

9.

A Tale of Two Indexes: Predicting Equity Market Downturns in China

Number of pages: 71 Posted: 05 Dec 2015 Last Revised: 18 Dec 2020
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 327 (114,216)

Abstract:

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stock market corrections and crashes, Shanghai Stock Exchange, Shenzhen Stock Exchange, Bond-Stock Earnings Yield Differential (BSEYD), Price-to-Earnings ratio, Cyclically-Adjusted Price Earnings ratio (CAPE).

10.

Debiased Expert Forecasts in Continuous Time Asset Allocation

Number of pages: 43 Posted: 22 Sep 2015 Last Revised: 23 Dec 2019
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Downloads 308 (121,724)
Citation 1

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Behavioral Finance; Black-Litterman; Expert Opinions; Kalman Filter; Portfolio Selection; Stochastic Control

11.

A Simple Procedure to Incorporate Predictive Models in a Continuous Time Asset Allocation

Quantitative Finance Letters, Forthcoming
Number of pages: 12 Posted: 13 Feb 2016
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Downloads 277 (136,115)

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Black-Litterman, Kalman filter, stochastic control, risk-sensitive control, asset management, expert opinion, equity market crashes, BSEYD, CAPE

12.

How to Lose Money in the Financial Markets: Examples from the Recent Financial Crisis

Number of pages: 27 Posted: 10 Aug 2014
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 224 (167,835)
Citation 3

Abstract:

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hedge fund trading disasters, over betting, rogue traders, 2007-2009 financial crisis, subprimes

13.

Decisions, Stocks, and Time Diversification

Number of pages: 21 Posted: 09 Nov 2012 Last Revised: 22 Jul 2013
Dennis W. McLeavey and Sebastien Lleo
CFA Institute and NEOMA Business School
Downloads 199 (187,534)

Abstract:

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asset management, time diversification, decision theory, decision quality

14.

Is Real Estate a Good Way to Diversify in Times of Financial Crisis?

Number of pages: 13 Posted: 22 Aug 2011 Last Revised: 26 Nov 2012
Reims Management School (RMS), Reims Management School (RMS) and NEOMA Business School
Downloads 159 (227,931)

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real estate, equity market, regime switching models, hidden Markov chains, Copulas

15.

The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?

Number of pages: 35 Posted: 08 Jul 2015
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 140 (252,983)
Citation 2

Abstract:

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Swiss franc, euro peg, black swans, currency trading losses, swiss exports, quantitative easing, negative interest rates

16.

Jump-Diffusion Asset-Liability Management via Risk-Sensitive Control

Number of pages: 29 Posted: 13 Nov 2013
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Downloads 139 (254,463)
Citation 3

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Asset and Liability Management, Risk-Sensitive Asset Management, Risk-Sensitive Control, Classical Solutions, Viscosity Solutions, Jump Diffusion Processes, Fund Separation Theorems

17.

Animal Spirits and Value at Risk Estimation

Number of pages: 25 Posted: 18 Apr 2014
Grzegorz Andruszkiewicz, Mark Davis and Sebastien Lleo
Imperial College London, Imperial College London and NEOMA Business School
Downloads 101 (320,193)
Citation 1

Abstract:

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animal spirits, behavioural finance, value at risk, hidden Markov models, estimation

18.

Risk-Sensitive Investment in a Market with Animal Spirits

Number of pages: 24 Posted: 05 Aug 2014
Grzegorz Andruszkiewicz, Mark Davis and Sebastien Lleo
Imperial College London, Imperial College London and NEOMA Business School
Downloads 99 (324,334)

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jump-diffusion processes, Markov chains, piecewise deterministic process, risk-sensitive control, animal spirits, fund separation result, Kelly strategies.

19.

Exploring Breaks in the Distribution of Stock Returns: Empirical Evidence from Apple Inc.

Number of pages: 54 Posted: 16 Nov 2020
Sebastien Lleo, William T. Ziemba and Jessica Li
NEOMA Business School, University of British Columbia (UBC) - Sauder School of Business and Neoma Business School
Downloads 98 (326,518)
Citation 1

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changepoint methods, regime switching models, machine learning, factor models, empirical asset pricing, event studies

20.

Debiased Expert Opinions in Continuous Time Asset Allocation: Supplementary Material

Number of pages: 9 Posted: 21 May 2018 Last Revised: 24 May 2018
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Downloads 42 (503,221)

Abstract:

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Behavioral Finance, Black-Litterman, Expert Opinions, Kalman Filter, Portfolio Selection, Stochastic Control

21.

Behavioral Benchmarked Investment Management with Expert Forecasts

Number of pages: 55 Posted: 18 Feb 2021
Sebastien Lleo and Mark Davis
NEOMA Business School and Imperial College London
Downloads 36 (531,868)

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active management, benchmark, expert opinions, Kalman filter, Kelly criterion, risk-sensitive stochastic control

22.

Technical Appendix for 'Exploring Breaks in the Distribution of Stock Returns: Empirical Evidence from Apple Inc.'

Number of pages: 46 Posted: 11 Dec 2020
Sebastien Lleo, William T. Ziemba and Jessica Li
NEOMA Business School, University of British Columbia (UBC) - Sauder School of Business and Neoma Business School
Downloads 34 (542,249)

Abstract:

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changepoint methods, regime switching models, machine learning, factor models, empirical asset pricing, event studies

23.

Using a Mean Changing Stochastic Processes Exit-Entry Model for Stock Market Long-Short Prediction

Number of pages: 47 Posted: 08 Jul 2021
NEOMA Business School, Steklov Mathematical Institute and University of British Columbia (UBC) - Sauder School of Business
Downloads 27 (581,895)

Abstract:

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mean changing model, stochastic processes, Apple Computer stock, trend following strategies, bubble asset price exits, stock market crashes, errors in mean estimates, portfolio optimization, Covid-19 2020 era

24.

Does the Bond‐Stock Earnings Yield Differential Model Predict Equity Market Corrections Better than High P/E Models?

Financial Markets, Institutions & Instruments, Vol. 26, Issue 2, pp. 61-123, 2017
Number of pages: 63 Posted: 13 Apr 2017
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 2 (766,489)
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Abstract:

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stock market crashes, bond‐stock earnings yield mode, Fed model, price‐earnings‐ratio

25.

A Simple Procedure for Merging Expert Opinions to Achieve Superior Portfolio Performance

Journal of Portfolio Management, Forthcoming
Posted: 18 Jul 2015 Last Revised: 19 Jul 2015
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School

Abstract:

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portfolio selection, expert opinion, behavioural finance, Black-Litterman, Kalman filter, benchmarked asset management, Asset and Liability Management, stochastic programming, stochastic control.