Ludovic Cales

Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne

48 Boulevard Jourdan

Paris, 75014 75014

France

University of Lausanne - Institute of Banking and Finance (IBF)

CH-1015 Lausanne

Switzerland

SCHOLARLY PAPERS

4

DOWNLOADS
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789

CITATIONS

1

Scholarly Papers (4)

1.

Long-Term Portfolio Management with a Structural Macroeconomic Model

Swiss Finance Institute Research Paper No. 13-45
Number of pages: 54 Posted: 15 Sep 2013
Ludovic Cales, Eric Jondeau and Michael Rockinger
Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 432 (42,145)

Abstract:

Long-Term Asset Management, Dynamic Allocation, Pension Fund, DSGE Model

2.

Portfolio Symmetry and Momentum

University Ca' Foscari of Venice, Dept. of Economics Research Paper No. 05/WP/2009
Number of pages: 23 Posted: 01 Mar 2009 Last Revised: 25 Apr 2012
Monica Billio, Ludovic Cales and Dominique Guegan
Ca Foscari University of Venice - Dipartimento di Economia, Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne and Ecole Normale Superieure de Cachan
Downloads 100 (203,053)
Citation 1

Abstract:

Graph Theory, Momentum, Dynamic Portfolio, Quantum Probability, Spectral Analysis

3.

A Cross-Sectional Performance Measure for Portfolio Management

CES Working Paper No. 2010-70
Number of pages: 32 Posted: 09 May 2012
Monica Billio, Ludovic Cales and Dominique Guegan
Ca Foscari University of Venice - Dipartimento di Economia, Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne and Universite Paris 1 Pantheon-Sorbonne
Downloads 69 (244,693)

Abstract:

Performance Measure, Portfolio Management, Relative-Value Strategy, Large Portfolios, Absolute Return Strategy, Multivariate Statistics, Generalized Hyperbolic Distribution

4.

Cross-Sectional Analysis Through Rank-Based Dynamic Portfolios

CES Working Paper No. 2012-36
Number of pages: 28 Posted: 04 Jun 2012
Monica Billio, Ludovic Cales and Dominique Guegan
Ca Foscari University of Venice - Dipartimento di Economia, Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne and Universite Paris 1 Pantheon-Sorbonne
Downloads 53 (274,493)

Abstract:

finance, continuous time random walk, cross-section analysis, rank-based models, momentum