Maxime Bonelli

HEC Paris - Finance Department

France

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 22,615

SSRN RANKINGS

Top 22,615

in Total Papers Downloads

2,076

CITATIONS

5

Scholarly Papers (6)

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
HEC Paris - Finance Department, HEC, Capital Fund Management and Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 912 (24,579)
Citation 5

Abstract:

Loading...

trading costs, asset pricing anomalies, asset management, arbitrage

2.

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 384 (75,801)

Abstract:

Loading...

Passive investment, ETF, tracking error, tracking difference

3.

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 260 (116,598)

Abstract:

Loading...

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

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 245 (123,980)

Abstract:

Loading...

Mixture of Distribution, stochastic volatility, GARCH, trading volume

5.

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 152 (192,208)

Abstract:

Loading...

portfolio optimization, drawdown constraint, prospect theory, dynamic programming

6.

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 123 (227,393)
Citation 1

Abstract:

Loading...

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