Emmanuel Jurczenko

EDHEC Business School

Director of Graduate Finance Programmes

393 Promenades des Anglais

Nice, 06200

France

SCHOLARLY PAPERS

9

DOWNLOADS
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Top 13,541

in Total Papers Downloads

6,736

SSRN CITATIONS
Rank 28,576

SSRN RANKINGS

Top 28,576

in Total Papers Citations

23

CROSSREF CITATIONS

16

Scholarly Papers (9)

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
EDHEC Business School, TOBAM and World Bank
Downloads 3,102 (7,522)
Citation 10

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

2.

Macro Factor-Mimicking Portfolios

Number of pages: 27 Posted: 02 May 2019 Last Revised: 12 Nov 2022
Emmanuel Jurczenko and Jerome Teiletche
EDHEC Business School and World Bank
Downloads 1,544 (22,599)
Citation 1

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Macroeconomics, factor-mimicking portfolios, portfolio optimization, machine learning

3.

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
EDHEC Business School, EMLyon Business School (Paris Campus) and National Center for Scientific Research (CNRS)
Downloads 965 (44,675)
Citation 12

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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), EDHEC Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 758 (61,208)
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), EDHEC Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 125 (415,245)
Citation 8

Abstract:

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

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, EDHEC Business School and EMLyon Business School (Paris Campus)
Downloads 65 (634,171)
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, EDHEC Business School and EMLyon Business School (Paris Campus)
Downloads 57 (678,691)

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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
EDHEC Business School, EMLyon Business School (Paris Campus) and National Center for Scientific Research (CNRS)
Downloads 97 (493,879)
Citation 5

Abstract:

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Option Pricing Models, Stochastic Volatility, Skewness, Kurtosis

7.

Biodiversity and Climate: Friends or Foes?

Number of pages: 66 Posted: 15 Apr 2024
Eric Bouyé, Romain Deguest, Emmanuel Jurczenko and Jerome Teiletche
World Bank, World Bank, EDHEC Business School and World Bank
Downloads 23 (913,945)

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Biodiversity Risk, Climate Risk, Portfolio Optimization, Sustainability Trade-Offs, Sovereign Bonds.

8.

Active Risk-Based Investing

Posted: 22 May 2019
Emmanuel Jurczenko and Jerome Teiletche
EDHEC Business School and World Bank

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

9.

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
EDHEC Business School, EMLyon Business School (Paris Campus) and Concrete

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

Other Papers (1)

Total Downloads: 959
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 M. Merlin
EDHEC Business School, EMLyon Business School (Paris Campus) and Concrete
Downloads 959

Abstract:

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Shortage Function, Efficient Frontier, Skewness, Kurtosis