Sébastien Lleo

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
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation European Journal of Operational Research	2024-08-13	Paper
Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data Annals of Operations Research	2024-06-04	Paper
Risk‐sensitive benchmarked asset management with expert forecasts Mathematical Finance	2023-09-28	Paper
Stochastic Disorder Problems Quantitative Finance	2020-12-07	Paper
Book review Quantitative Finance	2020-12-07	Paper
Stock market crashes. Predictable and unpredictable and what to do about them World Scientific Series in Finance	2019-04-16	Paper
Risk-sensitive investment in a finite-factor model Stochastics	2017-04-11	Paper
Jump-diffusion asset-liability management via risk-sensitive control OR Spectrum	2015-08-03	Paper
Risk-sensitive investment management Advanced Series on Statistical Science & Applied Probability	2014-11-13	Paper
Taming animal spirits: risk management with behavioural factors Annals of Finance	2014-11-12	Paper
scientific article; zbMATH DE number 6296770 (Why is no real title available?)	2014-05-19	Paper
Stock market crashes in 2007–2009: were we able to predict them? Quantitative Finance	2014-01-24	Paper
Jump-diffusion risk-sensitive asset management. II: Jump-diffusion factor model SIAM Journal on Control and Optimization	2013-07-17	Paper
Jump-diffusion risk-sensitive asset management I: Diffusion factor model SIAM Journal on Financial Mathematics	2011-02-10	Paper
Risk-sensitive benchmarked asset management Quantitative Finance	2008-08-07	Paper

Research outcomes over time

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