Guillaume Coqueret

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Machine Learning for Factor Investing	2023-09-04	Paper
Supervised portfolios Quantitative Finance	2023-06-20	Paper
Machine Learning in Finance: From Theory to Practice Quantitative Finance	2021-12-01	Paper
Machine learning for factor investing. R version	2021-01-27	Paper
Stock-specific sentiment and return predictability Quantitative Finance	2020-12-07	Paper
Training trees on tails with applications to portfolio choice Annals of Operations Research	2020-04-22	Paper
Procedural rationality, asset heterogeneity and market selection Journal of Mathematical Economics	2019-06-26	Paper
Empirical properties of a heterogeneous agent model in large dimensions Journal of Economic Dynamics and Control	2018-08-09	Paper
An investigation of model risk in a market with jumps and stochastic volatility European Journal of Operational Research	2016-10-07	Paper
On the supremum of the spectrally negative stable process with drift Statistics & Probability Letters	2015-12-23	Paper
Diversified minimum-variance portfolios Annals of Finance	2015-06-26	Paper
Second order risk aggregation with the Bernstein copula Insurance Mathematics & Economics	2015-01-28	Paper
Lookback option prices under a spectrally negative tempered-stable model International Journal of Theoretical and Applied Finance	2013-07-24	Paper
Approximation of probabilistic Laplace transforms and their inverses Communications in Applied Mathematics and Computational Science	2013-01-25	Paper

Research outcomes over time

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