Hamza Bahaji

University of Paris 9 Dauphine, DRM-Finance

Associate Professor of Finance

Place du Maréchal de Lattre de Tassigny

Cedex 16

Paris, 75775

France

NATIXIS Asset Management

Head of Engineering and Quantitative Research

21 Quai d'Austerlitz

Paris, 75013

France

SCHOLARLY PAPERS

8

DOWNLOADS

776

SSRN CITATIONS

2

CROSSREF CITATIONS

7

Scholarly Papers (8)

Incentives from Stock Option Grants: A Behavioral Approach

Review of Accounting and Finance Vol. 10 No. 3, 2011
Number of pages: 31 Posted: 09 Jan 2011 Last Revised: 15 Jan 2012
Hamza Bahaji
University of Paris 9 Dauphine, DRM-Finance
Downloads 88 (300,939)
Citation 1

Abstract:

Loading...

Stock Options, Cumulative Prospect Theory, Incentives, Subjective Value

Employee Stock Options Incentive Effects: A CPT-Based Model

International Conference of the French Finance Association (AFFI), 11-13 May 2011, 8th AFE SAMAOS 2011
Number of pages: 12 Posted: 16 May 2011 Last Revised: 12 Jun 2012
Hamza Bahaji
University of Paris 9 Dauphine, DRM-Finance
Downloads 71 (342,665)

Abstract:

Loading...

Stock options, Cumulative Prospect Theory, Incentives, Subjective value

2.

Equity Portfolio Insurance Against a Benchmark: Setting, Replication and Optimality

Economic Modelling, Volume 40, June 2014, Pages 382–391.
Number of pages: 23 Posted: 13 Oct 2013 Last Revised: 28 Sep 2015
Hamza Bahaji
University of Paris 9 Dauphine, DRM-Finance
Downloads 154 (198,494)

Abstract:

Loading...

Portfolio insurance, Equity benchmark, Perpetual exchange options, Utility maximization

3.

How Rational Could VIX Investing Be?

Economic Modelling, Forthcoming
Number of pages: 25 Posted: 29 Sep 2015 Last Revised: 28 Mar 2016
Hamza Bahaji and Salah Aberkane
University of Paris 9 Dauphine, DRM-Finance and Bloomberg Financial Markets Ltd
Downloads 113 (252,562)

Abstract:

Loading...

VIX futures, ETNs, portfolio allocation, portfolio diversification, disappointment measure

4.

Are Employee Stock Option Exercise Decisions Better Explained Through the Prospect Theory?

Behavioural Finance Working Group/M&A Research Centre Conference, June 2012, International Conference of the French Finance Association (AFFI), May 2012
Number of pages: 41 Posted: 16 Jan 2012 Last Revised: 29 Dec 2013
Hamza Bahaji
University of Paris 9 Dauphine, DRM-Finance
Downloads 100 (274,964)

Abstract:

Loading...

stock options, exercise behavior, cumulative prospect theory, fair value, option valuation

5.

Expanding the Benchmarked Equity Portfolio Management Paradigm

Number of pages: 13 Posted: 10 Sep 2014
University of Paris 9 Dauphine, DRM-Finance, NATIXIS Asset Management and NATIXIS Asset Management
Downloads 92 (290,232)
Citation 1

Abstract:

Loading...

Portfolio insurance, Risk control, Equity benchmark, Stochastic dominance, Utility maximization.

6.

Monetary Policy and Risk-Based Asset Allocation

Number of pages: 23 Posted: 29 Mar 2016 Last Revised: 19 Apr 2016
Alexis Flageollet and Hamza Bahaji
NATIXIS Asset Management and University of Paris 9 Dauphine, DRM-Finance
Downloads 89 (296,301)

Abstract:

Loading...

Monetary policy, Hidden Markov Model, Co-movement, Minimum variance, Equal risk contribution

7.

Employee Stock Option-Implied Risk Attitude Under Rank-Dependent Expected Utility

Economic Modelling, Vol. 52, pp.144-154.
Number of pages: 30 Posted: 04 Oct 2014 Last Revised: 20 Dec 2015
Hamza Bahaji and Jean-Francois Casta
University of Paris 9 Dauphine, DRM-Finance and University Paris-Dauphine - DRM Finance
Downloads 42 (431,933)

Abstract:

Loading...

Stock options, Exercise behavior, Probability weighting, Employee sentiment

8.

Tying Allocation to Selection in the Core-Satellite Framework

Number of pages: 22 Posted: 27 Aug 2018 Last Revised: 10 Sep 2018
Hamza Bahaji
University of Paris 9 Dauphine, DRM-Finance
Downloads 27 (500,173)

Abstract:

Loading...