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Bertrand B. Maillet

EMLyon Business School (Paris Campus)

Professor

23 Avenue Guy de Collongue

Ecully, 69132

France

  • EMLyon Business School (Paris Campus)

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 6,378

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Top 6,378

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5,621

CITATIONS
Rank 18,057

SSRN RANKINGS

Top 18,057

in Total Papers Citations

18

Scholarly Papers (23)

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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 958 (15,853)

Abstract:

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

2.

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 818 (22,378)
Citation 2

Abstract:

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

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
National Center for Scientific Research (CNRS), EMLyon Business School (Paris Campus) and National Center for Scientific Research (CNRS)
Downloads 812 (21,724)
Citation 2

Abstract:

Option Pricing Models, Stochastic Volatility, Skewness, Kurtosis

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 537 (40,854)

Abstract:

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

5.

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

Downloads 379 ( 63,097)

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 271 (91,874)

Abstract:

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 108 (210,874)

Abstract:

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

6.

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 259 (81,166)
Citation 1

Abstract:

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

7.

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 249 (85,942)

Abstract:

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

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 Metz (Paul Verlaine) - CEREFIGE
Downloads 186 (125,640)

Abstract:

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 181 (132,363)

Abstract:

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 166 (140,589)

Abstract:

Financial Ratios, Return Predictability, Cycles, Wavelets

11.

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 Metz (Paul Verlaine) - CEREFIGE and EMLyon Business School (Paris Campus)
Downloads 144 (160,662)

Abstract:

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

12.

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 128 (176,053)
Citation 2

Abstract:

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

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 123 (177,116)

Abstract:

forecasting, persistence, wavelet, expected returns

14.

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 88 (232,695)

Abstract:

Realized Volatility, Volatility Forecasting, Asymmetry

15.

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
Massimiliano Caporin, Michele Costola, Gregory Mathieu Jannin and Bertrand B. Maillet
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Research Center SAFE, University Paris-1 Panthéon-Sorbonne and EMLyon Business School (Paris Campus)
Downloads 65 (176,053)

Abstract:

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

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
Monica Billio, Gregory Mathieu Jannin, Bertrand B. Maillet and Loriana Pelizzon
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 61 (261,582)

Abstract:

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

17.

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 24 (391,247)

Abstract:

forecasting, persistent regressors, detrending, expected returns

18.

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 (443,863)
Citation 9

Abstract:

19.

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, Deakin University - School of Accounting, Economics & Finance, ESCP Europe - Department of Economics and EMLyon Business School (Paris Campus)
Downloads 15 (418,263)

Abstract:

Option Pricing Models, Martingale Restriction, Padé Approximants.

20.

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 (543,599)
Citation 1

Abstract:

21.

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
Massimiliano Caporin, Gregory Mathieu Jannin, Francesco Lisi and Bertrand B. Maillet
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 (557,390)
Citation 1

Abstract:

Fund selection, Performance measures, Ranking, Return Distribution, Risk

22.

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
Christophe Boucher, Gregory Mathieu Jannin, Patrick Kouontchou and Bertrand B. Maillet
University of Lorraine, University Paris-1 Panthéon-Sorbonne, University of Metz (Paul Verlaine) - CEREFIGE and EMLyon Business School (Paris Campus)
Downloads 0 (557,390)

Abstract:

23.

Performance with Restricted Borrowing: A Generalization of Usual Measures

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

Abstract:

Performance Measurement, Asset Pricing Models, Efficiency.

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