Sebastien Lleo

NEOMA Business School

Reims

France

SCHOLARLY PAPERS

21

DOWNLOADS
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5,918

SSRN CITATIONS
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SSRN RANKINGS

Top 33,199

in Total Papers Citations

3

CROSSREF CITATIONS

15

Scholarly Papers (21)

1.

Can Warren Buffett Forecast Equity Market Corrections?

Number of pages: 39 Posted: 14 Jul 2015 Last Revised: 14 Jul 2017
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,114 (18,618)
Citation 2

Abstract:

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stock market crashes, equity markets, market value-to-GNP ratio, equity market, GNP, GDP, likelihood ratio test, Monte Carlo

2.

Stock Market Crashes in 2007-2009: Were We Able to Predict Them?

Number of pages: 63 Posted: 12 Jul 2011 Last Revised: 18 Mar 2012
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 517 (53,546)

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stock market, crashes, efficient capital markets, China, Iceland

3.

Taming Animal Spirits: Risk Management with Behavioural Factors

Number of pages: 23 Posted: 12 Apr 2012
Mark Davis, Sebastien Lleo and Grzegorz Andruszkiewicz
Imperial College London, NEOMA Business School and Imperial College London
Downloads 479 (58,996)
Citation 1

Abstract:

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collateralized loans, animal spirits, confidence indices, market-consistent valuation, numeraire portfolio, structural credit risk models

4.

How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments

Number of pages: 58 Posted: 07 May 2014
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 466 (61,014)
Citation 2

Abstract:

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hedge fund trading disasters, over betting, Long Term Capital Management, Amarath and Société Genéralé

5.

Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better than High P/E Models?

Number of pages: 112 Posted: 22 Jul 2013 Last Revised: 05 May 2015
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 439 (65,606)
Citation 2

Abstract:

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stock market corrections, bond-stock earnings yield model, FED model, price earnings ratio, Campbell and Shiller model

6.

Finance And Mathematics: Merger Or Acquisitions?

Number of pages: 38 Posted: 01 Oct 2014 Last Revised: 21 Sep 2015
Sebastien Lleo and Jessica Li
NEOMA Business School and Neoma Business School
Downloads 366 (81,335)
Citation 1

Abstract:

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mathematical finance, financial economics, history of economics, history of mathematics, embedding, derivatives pricing, financial crisis, Barnesian performativity

7.

Some Historical Perspectives on the Bond-Stock Yield Model for Crash Prediction Around the World

Number of pages: 57 Posted: 17 Mar 2014
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 360 (82,896)

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stock market crashes, BSEYD and Fed models, long term investing

8.

Black-Litterman in Continuous Time: The Case for Filtering

Quantitative Finance Letters, Forthcoming
Number of pages: 11 Posted: 09 May 2013 Last Revised: 04 Jul 2013
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Downloads 323 (93,705)

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Black-Litterman, Kalman filter, stochastic control, risk-sensitive control, asset management, parameter estimation, expert opinion

9.

A Tale of Two Indexes: Predicting Equity Market Downturns in China

Number of pages: 88 Posted: 05 Dec 2015 Last Revised: 15 Jun 2019
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 297 (102,722)

Abstract:

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stock market crashes, Shenzhen Stock Exchange, Shanghai Stock Exchange, Bond-Stock Earnings Yield Differential (BSEYD), price-earnings-ratio, Cyclically-Adjusted Price Earnings ratio (CAPE)

10.

Debiased Expert Forecasts in Continuous Time Asset Allocation

Number of pages: 62 Posted: 22 Sep 2015 Last Revised: 31 Jul 2019
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Downloads 269 (114,104)

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Behavioral Finance; Black-Litterman; Expert Opinions; Kalman Filter; Portfolio Selection; Stochastic Control

11.

A Simple Procedure to Incorporate Predictive Models in a Continuous Time Asset Allocation

Quantitative Finance Letters, Forthcoming
Number of pages: 12 Posted: 13 Feb 2016
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Downloads 263 (116,846)

Abstract:

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Black-Litterman, Kalman filter, stochastic control, risk-sensitive control, asset management, expert opinion, equity market crashes, BSEYD, CAPE

12.

How to Lose Money in the Financial Markets: Examples from the Recent Financial Crisis

Number of pages: 27 Posted: 10 Aug 2014
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 197 (155,180)
Citation 1

Abstract:

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hedge fund trading disasters, over betting, rogue traders, 2007-2009 financial crisis, subprimes

13.

Decisions, Stocks, and Time Diversification

Number of pages: 21 Posted: 09 Nov 2012 Last Revised: 22 Jul 2013
Dennis W. McLeavey and Sebastien Lleo
CFA Institute and NEOMA Business School
Downloads 192 (158,943)

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asset management, time diversification, decision theory, decision quality

14.

Is Real Estate a Good Way to Diversify in Times of Financial Crisis?

Number of pages: 13 Posted: 22 Aug 2011 Last Revised: 26 Nov 2012
Reims Management School (RMS), Reims Management School (RMS) and NEOMA Business School
Downloads 145 (202,511)

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real estate, equity market, regime switching models, hidden Markov chains, Copulas

15.

Jump-Diffusion Asset-Liability Management via Risk-Sensitive Control

Number of pages: 29 Posted: 13 Nov 2013
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Downloads 132 (218,486)
Citation 1

Abstract:

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Asset and Liability Management, Risk-Sensitive Asset Management, Risk-Sensitive Control, Classical Solutions, Viscosity Solutions, Jump Diffusion Processes, Fund Separation Theorems

16.

The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?

Number of pages: 35 Posted: 08 Jul 2015
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 131 (219,757)

Abstract:

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Swiss franc, euro peg, black swans, currency trading losses, swiss exports, quantitative easing, negative interest rates

17.

Risk-Sensitive Investment in a Market with Animal Spirits

Number of pages: 24 Posted: 05 Aug 2014
Grzegorz Andruszkiewicz, Mark Davis and Sebastien Lleo
Imperial College London, Imperial College London and NEOMA Business School
Downloads 96 (274,382)

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jump-diffusion processes, Markov chains, piecewise deterministic process, risk-sensitive control, animal spirits, fund separation result, Kelly strategies.

18.

Animal Spirits and Value at Risk Estimation

Number of pages: 25 Posted: 18 Apr 2014
Grzegorz Andruszkiewicz, Mark Davis and Sebastien Lleo
Imperial College London, Imperial College London and NEOMA Business School
Downloads 95 (276,256)
Citation 1

Abstract:

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animal spirits, behavioural finance, value at risk, hidden Markov models, estimation

19.

Debiased Expert Opinions in Continuous Time Asset Allocation: Supplementary Material

Number of pages: 9 Posted: 21 May 2018 Last Revised: 24 May 2018
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Downloads 35 (448,270)

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Behavioral Finance, Black-Litterman, Expert Opinions, Kalman Filter, Portfolio Selection, Stochastic Control

20.

Does the Bond‐Stock Earnings Yield Differential Model Predict Equity Market Corrections Better than High P/E Models?

Financial Markets, Institutions & Instruments, Vol. 26, Issue 2, pp. 61-123, 2017
Number of pages: 63 Posted: 13 Apr 2017
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 2 (644,425)
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stock market crashes, bond‐stock earnings yield mode, Fed model, price‐earnings‐ratio

21.

A Simple Procedure for Merging Expert Opinions to Achieve Superior Portfolio Performance

Journal of Portfolio Management, Forthcoming
Posted: 18 Jul 2015 Last Revised: 19 Jul 2015
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School

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portfolio selection, expert opinion, behavioural finance, Black-Litterman, Kalman filter, benchmarked asset management, Asset and Liability Management, stochastic programming, stochastic control.