Maxime Bonelli

HEC Paris - Finance Department

France

  • HEC Paris - Finance Department

SCHOLARLY PAPERS

9

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3,374

SSRN CITATIONS
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4

CROSSREF CITATIONS

12

Scholarly Papers (9)

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1.

The Capacity of Trading Strategies

HEC Paris Research Paper No. FIN-2015-1089
Number of pages: 50 Posted: 27 Mar 2015 Last Revised: 05 Feb 2019
Maxime Bonelli, Augustin Landier, Guillaume Simon and David Thesmar
HEC Paris - Finance Department, HEC, Capital Fund Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,169 (22,682)
Citation 9

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trading costs, asset pricing anomalies, asset management, arbitrage

2.

Causal Effects of Closing Businesses in a Pandemic

Number of pages: 51 Posted: 13 May 2020 Last Revised: 09 Apr 2021
Jean-Noel Barrot, Jean-Noel Barrot, Maxime Bonelli, Basile Grassi and Julien Sauvagnat
HEC ParisHEC Paris, HEC Paris - Finance Department, Bocconi University - Department of Economics and Bocconi University
Downloads 652 (51,101)
Citation 7

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COVID-19, pandemic, business closures, non-essential businesses

3.

Exchange Traded Funds: Toward a Tailored Selection Approach

Number of pages: 15 Posted: 31 Oct 2014 Last Revised: 28 Apr 2015
Maxime Bonelli
HEC Paris - Finance Department
Downloads 431 (85,407)

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Passive investment, ETF, tracking error, tracking difference

4.

Stock Market Volatility Dynamics: A Volume Filtered-GARCH Model

Number of pages: 59 Posted: 07 Mar 2016 Last Revised: 08 Jun 2016
Maxime Bonelli
HEC Paris - Finance Department
Downloads 311 (123,274)

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Mixture of Distribution, stochastic volatility, GARCH, trading volume

5.

An Alternative Model of Expected Returns and its Implications for Return Predictability

Number of pages: 68 Posted: 25 May 2014 Last Revised: 29 Oct 2016
Maxime Bonelli and Daniel Mantilla-Garcia
HEC Paris - Finance Department and Universidad de Los Andes - School of Management
Downloads 280 (137,673)

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return predictability, economic constraints, dividend-price ratio, Kalman filter, Bayesian analysis

6.

Portfolio Management with Drawdown Constraint: An Analysis of Optimal Investment

Number of pages: 61 Posted: 29 Apr 2017
Maxime Bonelli and Mireille Bossy
HEC Paris - Finance Department and Institut National de Recherche en Informatique et Automatique (INRIA)
Downloads 193 (197,101)

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portfolio optimization, drawdown constraint, prospect theory, dynamic programming

7.

Labor Mobility and Capital Misallocation in the Mutual Fund Industry

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 63 Posted: 22 Nov 2019 Last Revised: 06 Jul 2021
Maxime Bonelli
HEC Paris - Finance Department
Downloads 179 (210,699)

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Mutual Funds, Capital Misallocation, Labor Mobility, Non-Competes

8.

Should a Skeptical Portfolio Insurer Use an Optimal or a Risk-Based Allocation?

Number of pages: 23 Posted: 03 Jun 2014 Last Revised: 30 Apr 2015
Maxime Bonelli and Daniel Mantilla-Garcia
HEC Paris - Finance Department and Universidad de Los Andes - School of Management
Downloads 139 (259,955)
Citation 1

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return predictability, risk-based strategies, asset allocation, portfolio insurance, maximum drawdown

9.

Quality and Product Differentiation: Theory and Evidence from the Mutual Fund Industry

Number of pages: 60 Posted: 11 Oct 2021
Maxime Bonelli, Anastasia Buyalskaya and Tianhao Yao
HEC Paris - Finance Department, California Institute of Technology - Division of the Humanities and Social Sciences and HEC Paris
Downloads 20 (641,940)

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Market Structure, Product Differentiation, Ratings, Mutual Funds, Textual Analysis