Bertrand B. Maillet

EMLyon Business School (Paris Campus)

Professor

23 Avenue Guy de Collongue

Ecully, 69132

France

SCHOLARLY PAPERS

27

DOWNLOADS
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Top 9,427

in Total Papers Downloads

6,220

SSRN CITATIONS
Rank 15,312

SSRN RANKINGS

Top 15,312

in Total Papers Citations

27

CROSSREF CITATIONS

48

Scholarly Papers (27)

1.

A Risk Management Approach for Portfolio Insurance Strategies

Proceedings of the 1st EIF International Financial Research Forum, Economica, 2009
Number of pages: 15 Posted: 27 Oct 2008 Last Revised: 10 Jun 2009
Benjamin Hamidi, Bertrand B. Maillet and Jean-Luc Prigent
Université Paris I Panthéon-Sorbonne - CES/CNRS, EMLyon Business School (Paris Campus) and University of Cergy-Pontoise - ThEMA
Downloads 1,144 (22,783)
Citation 7

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CPPI, Portfolio Insurance, VaR, CAViaR, Quantile Regression, Dynamic Quantile Model, Expected Shortfall, Extreme Value

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 (32,245)
Citation 8

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Option Pricing Models, Stochastic Volatility, Skewness, Kurtosis

3.

Classifying Hedge Funds with Kohonen Maps: A First Attempt

Number of pages: 26 Posted: 20 Feb 2002
Bertrand B. Maillet and Patrick Rousset
EMLyon Business School (Paris Campus) and Centre For Research on Education, Training and Employment (CEREQ)
Downloads 859 (34,316)
Citation 3

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Kohonen maps, Classfication, Multidimensional Data Analysis, General Non-linear Models, Hedge Funds, Fund-Picking, Performance Measurements

4.

How Deep Was the September Stock Exchange Crisis? Putting Last Events into Perspective on the American and French Stock Markets with an Index of Market Shocks

Number of pages: 7 Posted: 20 Feb 2002
Bertrand B. Maillet and Thierry Michel
EMLyon Business School (Paris Campus) and Commission des Operations de Bourse
Downloads 548 (62,211)

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Financial crises, Volatility, Risk Measurement, Heterogeneity of Economic Agents

Extreme Volatilities, Financial Crises and L-Moment Estimations of Tail Indexes

Number of pages: 108 Posted: 28 Oct 2008 Last Revised: 26 Apr 2010
Bertrand B. Maillet and Jean-Philippe Medecin
EMLyon Business School (Paris Campus) and CES/CNRS - University of Paris-1 (Panthéon-Sorbonne)
Downloads 282 (132,952)
Citation 1

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Financial Crisis, Realized Volatility, Range-based Volatility, Extreme Value Distributions, Tail Index, L-moments, High Frequency Data

Extreme Volatilities, Financial Crises and L-Moment Estimations of Tail-Indexes

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10_10
Number of pages: 108 Posted: 19 May 2010
Bertrand B. Maillet and Jean-Philippe R. Médecin
EMLyon Business School (Paris Campus) and affiliation not provided to SSRN
Downloads 124 (278,658)
Citation 1

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Financial Crisis, Realized Volatility, Range-based Volatility, Extreme Value Distributions, Tail-index, L-moments, High Frequency Data

6.

Outliers Detection, Correction of Financial Time-Series Anomalies and Distributional Timing for Robust Efficient Higher-Order Moment Asset Allocations

Number of pages: 64 Posted: 03 Jun 2009 Last Revised: 21 Sep 2009
Bertrand B. Maillet and Paul M. Merlin
EMLyon Business School (Paris Campus) and CES/CNRS - University of Paris-1 (Panthéon-Sorbonne)
Downloads 354 (104,588)
Citation 2

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Outliers, ANN-GARCH, Higher-order Moment, Asset Allocation

7.

Robust Higher-order Moments and Efficient Portfolio Selection

Number of pages: 79 Posted: 19 Aug 2009
Bertrand B. Maillet and Paul M. Merlin
EMLyon Business School (Paris Campus) and CES/CNRS - University of Paris-1 (Panthéon-Sorbonne)
Downloads 351 (105,511)
Citation 3

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

8.

An Economic Evaluation of the Model Risk for Risk Models

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43 Posted: 14 Oct 2011
Bertrand B. Maillet, Christophe Boucher and Patrick Kouontchou
EMLyon Business School (Paris Campus), Université Paris I Panthéon-Sorbonne - CES/CNRS and University of Lorraine - CEREFIGE
Downloads 210 (178,391)
Citation 6

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Value-at-Risk, Backtesting, Model Risk, Bias Correction

9.

The Riskiness of Risk Models

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 14 Posted: 12 May 2011
Christophe Boucher and Bertrand B. Maillet
Université Paris I Panthéon-Sorbonne - CES/CNRS and EMLyon Business School (Paris Campus)
Downloads 196 (190,129)
Citation 7

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10.

Expected Returns Across Time Scales

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 58 Posted: 22 Oct 2010
Christophe Boucher and Bertrand B. Maillet
Université Paris I Panthéon-Sorbonne - CES/CNRS and EMLyon Business School (Paris Campus)
Downloads 192 (193,672)

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Financial Ratios, Return Predictability, Cycles, Wavelets

11.

On the (Ab)Use of Omega?

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 02/WP/2015
Number of pages: 73 Posted: 03 Feb 2015 Last Revised: 12 Jul 2016
University of Padua - Department of Statistical Sciences, Ca' Foscari University of Venice, University Paris-1 Panthéon-Sorbonne and EMLyon Business School (Paris Campus)
Downloads 186 (199,236)
Citation 1

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Performance Measure, Omega, Return Distribution, Risk, Stochastic Dominance

12.

A Robust Conditional Realized Extended 4-CAPM

Number of pages: 43 Posted: 18 Feb 2009 Last Revised: 31 Aug 2009
Christophe Hurlin, Patrick Kouontchou and Bertrand B. Maillet
University of Orleans, University of Lorraine - CEREFIGE and EMLyon Business School (Paris Campus)
Downloads 163 (223,238)
Citation 2

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Realized Betas, CAPM, Multifactor Pricing Models, High Frequency Data, Robust Estimation

13.

Detrending Persistent Predictors for Forecasting Stock Returns

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 34 Posted: 12 May 2011
Christophe Boucher and Bertrand B. Maillet
ESG and EMLyon Business School (Paris Campus)
Downloads 149 (240,546)

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forecasting, persistence, wavelet, expected returns

14.

High Watermarks of Market Risk

Number of pages: 20 Posted: 01 Mar 2007 Last Revised: 12 Nov 2010
Bertrand B. Maillet, Jean-Philippe Medecin and Thierry Michel
EMLyon Business School (Paris Campus), CES/CNRS - University of Paris-1 (Panthéon-Sorbonne) and Lombard Odier & Cie
Downloads 147 (243,298)
Citation 3

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Financial Crisis, Volatility Estimators Distributions, Range-based Volatility, Extreme Value, High Frequency Data

15.

Misalignments and Aggregated Volatility

Number of pages: 12 Posted: 02 Mar 2007
Christophe Boucher, Bertrand B. Maillet and Thierry Michel
ESG, EMLyon Business School (Paris Campus) and Lombard Odier & Cie
Downloads 100 (322,298)

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Realized Volatility, Volatility Forecasting, Asymmetry

16.

Portfolio Performance Measure and a New Generalized Utility-Based N-Moment Measure

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 22
Number of pages: 34 Posted: 11 Nov 2013
Ca Foscari University of Venice - Dipartimento di Economia, University Paris-1 Panthéon-Sorbonne, EMLyon Business School (Paris Campus) and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 97 (328,656)

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Utility Function, Performance Measures, Agents’ Preferences, Portfolio Ranking

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 (538,743)
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
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 (612,328)

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Option Pricing Models, Martingale Restriction, Padé Approximants

18.

A Dynamic Autoregressive Expectile for Time-Invariant Portfolio Protection Strategies

Number of pages: 66 Posted: 16 Feb 2009 Last Revised: 10 Feb 2018
Benjamin Hamidi, Bertrand B. Maillet and Jean-Luc Prigent
Université Paris I Panthéon-Sorbonne - CES/CNRS, EMLyon Business School (Paris Campus) and University of Cergy-Pontoise - ThEMA
Downloads 52 (461,121)
Citation 7

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CPPI, Expectile, Quantile Regression, Dynamic Quantile Model, Expected Shortfall

19.

Forecasting without Persistence

Number of pages: 30 Posted: 11 Jun 2012
Christophe Boucher and Bertrand B. Maillet
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and EMLyon Business School (Paris Campus)
Downloads 38 (522,022)

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forecasting, persistent regressors, detrending, expected returns

20.

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 (575,758)
Citation 5

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Option Pricing Models, Stochastic Volatility, Skewness, Kurtosis

21.

The Impact of the 9/11 Events on the American and French Stock Markets

Review of International Economics, Vol. 13, No. 3, pp. 597-611, August 2005
Number of pages: 15 Posted: 22 Jul 2005
Bertrand B. Maillet and Thierry Michel
EMLyon Business School (Paris Campus) and Université Paris I Panthéon-Sorbonne - TEAM
Downloads 20 (628,574)
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22.

Global Minimum Variance Portfolio Optimisation under Some Model Risk: A Robust Regression-based Approach

Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
Number of pages: 32 Posted: 05 May 2021
Bertrand B. Maillet, sessi tokpavi and Benoit Vaucher
EMLyon Business School (Paris Campus), affiliation not provided to SSRN and Edhec Scientific Analytics
Downloads 18 (642,624)
Citation 1

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23.

Learning by Failing: A Simple VAR Buffer

Financial Markets, Institutions & Instruments, Vol. 22, Issue 2, pp. 113-127, 2013
Number of pages: 15 Posted: 20 Apr 2013
Christophe Boucher and Bertrand B. Maillet
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and EMLyon Business School (Paris Campus)
Downloads 1 (777,921)
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24.

A Survey on the Four Families of Performance Measures

Journal of Economic Surveys, Vol. 28, Issue 5, pp. 917-942, 2014
Number of pages: 26 Posted: 28 Oct 2014
University of Padua - Department of Statistical Sciences, University Paris-1 Panthéon-Sorbonne, University of Padua - Department of Statistical Sciences and EMLyon Business School (Paris Campus)
Downloads 0 (794,889)
Citation 4
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Fund selection, Performance measures, Ranking, Return Distribution, Risk

25.

An Economic Evaluation of Model Risk in Long‐Term Asset Allocations

Review of International Economics, Vol. 21, Issue 3, pp. 475-491, 2013
Number of pages: 17 Posted: 16 Jul 2013
University of Lorraine, University Paris-1 Panthéon-Sorbonne, University of Lorraine - CEREFIGE and EMLyon Business School (Paris Campus)
Downloads 0 (794,889)
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26.

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

27.

Performance with Restricted Borrowing: A Generalization of Usual Measures

Posted: 22 Jun 2001
Thierry Chauveau and Bertrand B. Maillet
National Center for Scientific Research (CNRS) and EMLyon Business School (Paris Campus)

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Performance Measurement, Asset Pricing Models, Efficiency.

Other Papers (1)

Total Downloads: 878
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 878

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Shortage Function, Efficient Frontier, Skewness, Kurtosis