Nicolas Gaussel

Metori Capital Management

Chief Executive Officer

9 rue de la Paix

Paris, 75002

France

http://www.metori.com

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 18,057

SSRN RANKINGS

Top 18,057

in Total Papers Downloads

2,872

SSRN CITATIONS
Rank 28,088

SSRN RANKINGS

Top 28,088

in Total Papers Citations

3

CROSSREF CITATIONS

24

Scholarly Papers (12)

1.

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 791 (32,819)
Citation 13

Abstract:

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2.

Regularization of Portfolio Allocation

Number of pages: 35 Posted: 21 Apr 2016
Lyxor Asset Management, Metori Capital Management, Eisler Capital and Amundi Asset Management
Downloads 772 (33,943)
Citation 12

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

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

EFA 2004 Maastricht Meetings Paper No. 2030
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 383 (81,952)

Abstract:

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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 32 (502,146)

Abstract:

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Option pricing, insurance

4.

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 238 (138,359)
Citation 6

Abstract:

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

5.

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 171 (187,806)

Abstract:

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Asset pricing, options

6.

Badly Arbitraged Markets and Negative Martingale Measures

EFMA 2001 Lugano Meetings
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 170 (189,807)

Abstract:

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7.

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 104 (276,716)

Abstract:

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Asset management, jumps, portfolio allocation

8.

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 84 (317,303)

Abstract:

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Mortgage valuation, Asset Backed Securities

9.

Conditioning Information for Well Behaved Tactical Assets Allocation Programs

Number of pages: 37 Posted: 05 Jul 2010
Nicolas Gaussel
Metori Capital Management
Downloads 50 (415,171)

Abstract:

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Tactical Asset Allocation, information

10.

The Martingale Property of Prices When Arbitrage Opportunities Exist

Number of pages: 26 Posted: 05 Jul 2010
Nicolas Gaussel
Metori Capital Management
Downloads 40 (454,002)

Abstract:

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Arbitrage, martingale, asset pricing

11.

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 37 (466,697)
Citation 1

Abstract:

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Asset Allocation, porfolio management

12.

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

Posted: 22 May 2020
Nicolas Gaussel and Benjamin Bruder
Metori Capital Management and Lyxor Asset Management

Abstract:

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