Emmanuel Jurczenko

EDHEC Business School

Director of Graduate Finance Programmes

393 Promenades des Anglais

Nice, 06200

France

  • EDHEC Business School

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    • Tel: +330615174102
SCHOLARLY PAPERS

9

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43

Scholarly Papers (9)

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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 3,171 (8,253)
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 1,843 (19,589)
Citation 2

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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 1,018 (47,152)
Citation 13

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Option Pricing Models, Stochastic Volatility, Skewness, Kurtosis

4.

Moment Component Analysis: An Illustration with International Stock Markets

Downloads 985 (49,384)
Citation 12

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 782 (66,589)
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 203 (311,386)
Citation 9

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

5.

Biodiversity and Climate: Friends or Foes? †

Number of pages: 44 Posted: 15 Apr 2024
Eric Bouyé, Romain Deguest, Emmanuel Jurczenko and Jerome Teiletche
World Bank, World Bank, EDHEC Business School and World Bank
Downloads 269 (238,592)

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

6.

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

Downloads 139 (433,781)
Citation 1

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
Guillaume Bagnarosa, Charles J. Corrado, Emmanuel Jurczenko and Bertrand B. Maillet
ESC Rennes School of Business, Deakin University - School of Accounting, Economics & Finance, EDHEC Business School and EMLyon Business School (Paris Campus)
Downloads 73 (681,976)
Citation 1

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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
Guillaume Bagnarosa, Charles J. Corrado, Emmanuel Jurczenko and Bertrand B. Maillet
ESC Rennes School of Business, Deakin University - School of Accounting, Economics & Finance, EDHEC Business School and EMLyon Business School (Paris Campus)
Downloads 66 (720,621)

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Option Pricing Models, Martingale Restriction, Padé Approximants

7.

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 136 (441,343)
Citation 5

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Option Pricing Models, Stochastic Volatility, Skewness, Kurtosis

8.

Active Risk-Based Investing

https://doi.org/10.3905/jpm.2018.44.3.056
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: 974
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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 974

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Shortage Function, Efficient Frontier, Skewness, Kurtosis