Nicolas Gaussel

Metori Capital Management

Chief Executive Officer

9 rue de la Paix

Paris, 75002

France

http://www.metori.com

Université Paris 1 Panthéon-Sorbonne

ISJPS

5, Place du Panthéon

Paris , 75005

France

  • Metori Capital Management

  • Université Paris 1 Panthéon-Sorbonne

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 16,652

SSRN RANKINGS

Top 16,652

in Total Papers Downloads

6,046

TOTAL CITATIONS
Rank 33,905

SSRN RANKINGS

Top 33,905

in Total Papers Citations

41

Scholarly Papers (14)

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1.

Regularization of Portfolio Allocation

Number of pages: 35 Posted: 21 Apr 2016
Benjamin Bruder, Nicolas Gaussel, Jean-Charles Richard and Thierry Roncalli
Lyxor Asset Management, Metori Capital Management, Eisler Capital and Amundi Asset Management
Downloads 1,708 (21,169)
Citation 15

Abstract:

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Portfolio optimization, active management, estimation error, shrinkage estimator, resampling methods, eigendecomposition, norm constraints, Lasso regression, ridge regression, information matrix, hedging portfolio, sparsity

2.

Risk-Return Analysis of Dynamic Investment Strategies

Number of pages: 29 Posted: 14 Jul 2014
Benjamin Bruder and Nicolas Gaussel
Lyxor Asset Management and Metori Capital Management
Downloads 1,683 (21,620)
Citation 17

Abstract:

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3.

ESG Risk Rating of Alternative Portfolios

Number of pages: 20 Posted: 05 Jan 2021 Last Revised: 07 Jan 2021
Nicolas Gaussel and Laurent Le Saint
Metori Capital Management and Metori Capital Management
Downloads 592 (92,826)
Citation 1

Abstract:

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ESG, SRI, Responsible Investment, Rating, Alternative

4.

Options on Funds: Bridging the Gap between Financial and Actuarial Pricing

Downloads 480 (120,254)

Options on Funds: Bridging the Gap between Financial and Actuarial Pricing

Number of pages: 31 Posted: 03 Aug 2004
Nicolas Gaussel and Marie-Pascale Leonardi
Metori Capital Management and Ecole Superieure des Sciences Economiques et Commerciales (ESSEC)
Downloads 418 (140,327)

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Options on Funds: Bridging the Gap between Financial and Actuarial Pricing

Number of pages: 27 Posted: 05 Jul 2010
Nicolas Gaussel and Marie-Pascale Leonardi
Metori Capital Management and Ecole Superieure des Sciences Economiques et Commerciales (ESSEC)
Downloads 62 (711,323)

Abstract:

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Option pricing, insurance

5.

Investing Dynamic Dependence Using Copulae

Number of pages: 31 Posted: 23 Sep 2008
Eric Bouyé, Mark Salmon and Nicolas Gaussel
World Bank, University of Cambridge - Faculty of Economics and Politics and Metori Capital Management
Downloads 343 (176,654)
Citation 7

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Finance, Financial Econumetrics, Copula, Time Series, Non Linear

6.

Black-Scholes: What’s Next?

Number of pages: 43 Posted: 05 Jul 2010
Nicolas Gaussel and Jerome Legras
Metori Capital Management and Lyxor Asset Management
Downloads 233 (263,018)

Abstract:

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Asset pricing, options

7.

Badly Arbitraged Markets and Negative Martingale Measures

Number of pages: 34 Posted: 31 Mar 2001
Fabrice Baudoin and Nicolas Gaussel
Université Paris VI Pierre et Marie Curie and Metori Capital Management
Downloads 210 (290,298)

Abstract:

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8.

Measuring the Alpha of a Convexity-creating Fund: A Two-factor Approach

Number of pages: 16 Posted: 27 Oct 2020
Mouhamadou Diouf, Nicolas Gaussel and Pierre Jaffard
affiliation not provided to SSRN, Metori Capital Management and Massachusetts Institute of Technology (MIT)
Downloads 172 (348,011)

Abstract:

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asset pricing, asset management, hedge fund, alpha, convexity

9.

Portfolio Optimization: How Jumps Modify the Standard Merton Message?

Number of pages: 39 Posted: 05 Jul 2010
Nicolas Gaussel and Grégoire Deyirmendjian
Metori Capital Management and affiliation not provided to SSRN
Downloads 163 (364,566)

Abstract:

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Asset management, jumps, portfolio allocation

10.

Conditioning Information for Well Behaved Tactical Assets Allocation Programs

Number of pages: 37 Posted: 05 Jul 2010
Nicolas Gaussel
Metori Capital Management
Downloads 131 (435,057)

Abstract:

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Tactical Asset Allocation, information

11.

Valuation of Mortgage Backed Securities: From Optimality to Reality

Number of pages: 29 Posted: 05 Jul 2010
Nicolas Gaussel and Julien Tamine
Metori Capital Management and University of Angers - Research Group in Quantitative Saving (GREQAM)
Downloads 130 (437,729)

Abstract:

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Mortgage valuation, Asset Backed Securities

12.

The Martingale Property of Prices When Arbitrage Opportunities Exist

Number of pages: 26 Posted: 05 Jul 2010
Nicolas Gaussel
Metori Capital Management
Downloads 74 (637,543)

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Arbitrage, martingale, asset pricing

13.

How Can Asset Allocation Benefit from a Complex Piece of Information?

Number of pages: 36 Posted: 05 Jul 2010
Fabrice Baudoin and Nicolas Gaussel
Université Paris VI Pierre et Marie Curie and Metori Capital Management
Downloads 71 (651,908)
Citation 1

Abstract:

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Asset Allocation, porfolio management

14.

Generation of Option-Like Investment Profiles in Open-Ended Funds

Number of pages: 17 Posted: 22 May 2020 Last Revised: 31 Oct 2020
Nicolas Gaussel and Benjamin Bruder
Metori Capital Management and Lyxor Asset Management
Downloads 56 (731,594)

Abstract:

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Open-ended fund, optimal portfolio, random horizon, time-invariant, turnpike theorem, option, portfolio theory