Guillaume Coqueret

EMLYON Business School

23 Avenue Guy de Collongue

Ecully, 69132

France

SCHOLARLY PAPERS

13

DOWNLOADS

2,695

SSRN CITATIONS

12

CROSSREF CITATIONS

1

Ideas:
“  I'm currently working on: - out-of-sample fit of linear models (=> not that simple!) - empirical (factor-based) asset pricing - ESG-driven portfolio construction ---  ”

Scholarly Papers (13)

1.

Perspectives in ESG equity investing

Number of pages: 81 Posted: 13 Nov 2020 Last Revised: 10 Mar 2021
Guillaume Coqueret
EMLYON Business School
Downloads 1,000 (26,424)

Abstract:

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ESG investing, sustainable finance, climate change risk, corporate social responsibility

2.

Stock Returns and the Cross-Section of Characteristics: A Tree-Based Approach

Number of pages: 17 Posted: 18 May 2018
Guillaume Coqueret and Tony Guida
EMLYON Business School and Université de Savoie - Finance and Banking
Downloads 444 (77,368)
Citation 2

Abstract:

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Regression trees, Cross-section of stock returns, Firm characteristics, Portfolio choice

3.

Predictive Regressions: A Machine Learning Perspective

Number of pages: 46 Posted: 10 Nov 2020 Last Revised: 11 Nov 2020
Guillaume Coqueret and Romain Deguest
EMLYON Business School and IESEG School of Management
Downloads 240 (151,541)

Abstract:

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Asset Pricing, Predictive Regression, Machine Learning, Estimator Efficiency

4.

Training Trees on Tails with Applications to Portfolio Choice

Number of pages: 34 Posted: 20 Jun 2019 Last Revised: 24 Feb 2020
Guillaume Coqueret and Tony Guida
EMLYON Business School and Université de Savoie - Finance and Banking
Downloads 234 (155,255)

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Decision trees; Filtering training set; Factor investing; Portfolio choice; Feature selection

5.

Characteristics-Based Portfolio Choice with Leverage Constraints

Journal of Banking and Finance, Forthcoming, University of St. Gallen, School of Finance Research Paper No. 2016/06
Number of pages: 46 Posted: 23 Feb 2016 Last Revised: 20 Oct 2020
Manuel Ammann, Guillaume Coqueret and Jan-Philip Schade
University of St. Gallen - School of Finance, EMLYON Business School and University of St. Gallen - School of Finance
Downloads 192 (186,899)
Citation 6

Abstract:

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Portfolio choice, leverage constraint, characteristics-based investing

6.

Persistence in Factor-Based Supervised Learning Models

Number of pages: 33 Posted: 29 Jun 2020
Guillaume Coqueret
EMLYON Business School
Downloads 180 (197,987)

Abstract:

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Factor investing, Machine learning, Asset Pricing, Autocorrelation

7.

The Economic Value of Firm-Specific News Sentiment

Number of pages: 42 Posted: 06 Oct 2018 Last Revised: 01 May 2019
Guillaume Coqueret
EMLYON Business School
Downloads 167 (211,195)

Abstract:

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News Sentiment, Predictability, p-hacking, Portfolio Sorts, Market Timing

8.

Dirichlet Policies for Reinforced Factor Portfolios

Number of pages: 37 Posted: 12 Nov 2020 Last Revised: 13 Nov 2020
Eric André and Guillaume Coqueret
EMLYON Business School and EMLYON Business School
Downloads 137 (248,597)

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Reinforcement Learning, Factor Investing, Equally-weighted Portfolio, Asset Pricing

9.

Procedural Rationality, Asset Heterogeneity and Market Selection

Number of pages: 47 Posted: 16 Apr 2017 Last Revised: 23 Sep 2018
Guillaume Coqueret and Bertrand Tavin
EMLYON Business School and emlyon business school
Downloads 43 (483,319)

Abstract:

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10.

An Investigation of Model Risk in a Market with Jumps and Stochastic Volatility

European Journal of Operational Research, Volume 253, Issue 3, September 2016, Pages 648-658
Number of pages: 41 Posted: 02 Aug 2014 Last Revised: 04 Dec 2016
Guillaume Coqueret and Bertrand Tavin
EMLYON Business School and emlyon business school
Downloads 32 (535,606)
Citation 4

Abstract:

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Risk Management, Model Risk, Robustness and Sensitivity Analysis, Variance Swap, Forward-start option

11.

A Note on Implied Correlation for Bivariate Contracts

Economics Bulletin, 2020, Vol. 40, Issue 2, pp. 1388-1396
Number of pages: 10 Posted: 15 Mar 2021
Guillaume Coqueret and Bertrand Tavin
EMLYON Business School and emlyon business school
Downloads 14 (650,216)

Abstract:

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Bivariate Contracts, Implied Correlation, Risk Management

12.

Combining Economic and Search-Request Variables to Predict Local Airline Market Shares: A Comparison of Forecasting Methods

Number of pages: 30 Posted: 20 Jul 2020
Paul Chiambaretto and Guillaume Coqueret
Montpellier Business School and EMLYON Business School
Downloads 12 (664,902)

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Airline traffic prediction, machine learning, tree-based methods, search engine requests, frugal forecasting

13.

Ensemble Learning Applied to Quant Equity: Gradient Boosting in a Multi-Factor Framework

Big Data and Machine Learning in Quantitative Investment, Wiley finance series. 2018
Posted: 16 Aug 2018
Tony Guida and Guillaume Coqueret
Université de Savoie - Finance and Banking and EMLYON Business School

Abstract:

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Machine learning, Factor Investing, Stock selection, Portfolio construction, Quantitative investment

Other Papers (1)

Total Downloads: 4
1.

Empirical Properties of a Heterogeneous Agent Model in Large Dimensions

29th Australasian Finance and Banking Conference 2016
Number of pages: 28 Posted: 02 May 2016 Last Revised: 29 May 2018
Guillaume Coqueret
EMLYON Business School
Downloads 4

Abstract:

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Heterogeneous Agents, ABS, Trend-following, Portfolio choice