Emmanuel Jurczenko

Glion Institute of Higher Education

Director of Graduate Studies, Professor of Finance

Route de Glion 111

Montreux, 1823

Switzerland

SCHOLARLY PAPERS

8

DOWNLOADS
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in Total Papers Downloads

5,261

SSRN CITATIONS
Rank 27,201

SSRN RANKINGS

Top 27,201

in Total Papers Citations

19

CROSSREF CITATIONS

15

Scholarly Papers (8)

1.

Generalized Risk-Based Investing

Number of pages: 43 Posted: 24 Jan 2013 Last Revised: 20 Apr 2013
Emmanuel Jurczenko, Thierry Michel and Jerome Teiletche
Glion Institute of Higher Education, Lombard Odier & Cie and Unigestion
Downloads 2,806 (5,505)
Citation 8

Abstract:

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Risk-Based Investing, Minimum Variance, Risk Parity, Maximum Diversification, Equal-Weight, Low-Vol Anomaly

2.

Multi-Moment Approximate Option Pricing Models: A General Comparison (Part 1)

Number of pages: 57 Posted: 24 Feb 2002
Emmanuel Jurczenko, Bertrand B. Maillet and Bogdan Negrea
Glion Institute of Higher Education, EMLyon Business School (Paris Campus) and National Center for Scientific Research (CNRS)
Downloads 899 (32,260)
Citation 8

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Option Pricing Models, Stochastic Volatility, Skewness, Kurtosis

Moment Component Analysis: An Illustration with International Stock Markets

Swiss Finance Institute Research Paper No. 10-43 (Revised version)
Number of pages: 57 Posted: 21 Oct 2010 Last Revised: 25 Mar 2015
Eric Jondeau, Emmanuel Jurczenko and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Glion Institute of Higher Education and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 717 (43,334)
Citation 3

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PCA, Skewness, Kurtosis, Portfolio analysis, Tensor, Random Matrix Theory

Moment Component Analysis: An Illustration With International Stock Markets

Number of pages: 57 Posted: 21 May 2018
Eric Jondeau, Emmanuel Jurczenko and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Glion Institute of Higher Education and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 34 (555,615)
Citation 9

Abstract:

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PCA, Skewness, Kurtosis, Portfolio Analysis, Tensor, Random Matrix Theory

4.

Macro Factor-Mimicking Portfolios

Number of pages: 37 Posted: 02 May 2019 Last Revised: 21 Jan 2021
Emmanuel Jurczenko and Jerome Teiletche
Glion Institute of Higher Education and Unigestion
Downloads 715 (44,199)

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factor investing, mimicking portfolios, portfolio optimization, macro risk management, machine learning

An Implicit Martingale Restriction in a Closed-Form Higher Order Moments Option Pricing Formula Based on Multipoint Padé Approximants

Number of pages: 20 Posted: 04 Mar 2007
ESC Rennes School of Business, Deakin University - School of Accounting, Economics & Finance, Glion Institute of Higher Education and EMLyon Business School (Paris Campus)
Downloads 37 (538,986)
Citation 1

Abstract:

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Option Pricing Models, Martingale Restriction, Padé Approximants.

An Implicit Martingale Restriction in a Closed-Form Higher Order Moments Option Pricing Formula Based on Multipoint Padé Approximants

Number of pages: 20 Posted: 22 May 2018
ESC Rennes School of Business, Deakin University - School of Accounting, Economics & Finance, Glion Institute of Higher Education and EMLyon Business School (Paris Campus)
Downloads 25 (612,651)

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Option Pricing Models, Martingale Restriction, Padé Approximants

6.

Multi-Moment Approximate Option Pricing Models: A General Comparison (Part 1)

Number of pages: 57 Posted: 22 May 2018
Emmanuel Jurczenko, Bertrand B. Maillet and Bogdan Negrea
Glion Institute of Higher Education, EMLyon Business School (Paris Campus) and National Center for Scientific Research (CNRS)
Downloads 28 (576,080)
Citation 5

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Option Pricing Models, Stochastic Volatility, Skewness, Kurtosis

7.

Active Risk-Based Investing

Posted: 22 May 2019
Emmanuel Jurczenko and Jerome Teiletche
Glion Institute of Higher Education and Unigestion

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Risk-based investing, risk parity, Black-Litterman, risk budgeting, tactical asset allocation

8.

Efficient Frontier for Robust Higher-Order Moment Portfolio Selection

Posted: 25 Oct 2008 Last Revised: 03 Mar 2019
Emmanuel Jurczenko, Bertrand B. Maillet and Paul M. Merlin
Glion Institute of Higher Education, EMLyon Business School (Paris Campus) and CES/CNRS - University of Paris-1 (Panthéon-Sorbonne)

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Efficient Frontier, Portfolio Selection, Robust Higher L-moments, Shortage Function, Goal Attainment Application

Other Papers (1)

Total Downloads: 879
1.

Hedge Funds Portfolio Selection with Higher-Order Moments: A Non-Parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier

Number of pages: 29 Posted: 02 Mar 2005
Emmanuel Jurczenko, Bertrand B. Maillet and Paul Merlin
Glion Institute of Higher Education, EMLyon Business School (Paris Campus) and TEAM/CNRS and SAMOS /MATISSE
Downloads 879

Abstract:

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Shortage Function, Efficient Frontier, Skewness, Kurtosis