Yannick Malevergne

Université Paris I Panthéon-Sorbonne - Laboratoire PRISM

Professor of Finance

17 rue de la Sorbonne

Paris, 75005

France

http://perso.univ-paris1.fr/ymalevergn

Labex ReFi

79 avenue de la République

Paris, 75011

France

SCHOLARLY PAPERS

20

DOWNLOADS
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Top 6,828

in Total Papers Downloads

6,776

SSRN CITATIONS
Rank 17,335

SSRN RANKINGS

Top 17,335

in Total Papers Citations

21

CROSSREF CITATIONS

30

Scholarly Papers (20)

1.

Testing the Gaussian Copula Hypothesis for Financial Assets Dependences

Quantitative Finance, Vol. 3, pp. 231-250, 2003
Number of pages: 43 Posted: 21 Nov 2001 Last Revised: 07 Apr 2009
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,199 (17,463)
Citation 16

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Copulas, Dependence Modelisation, Risk Management, Tail Dependence

2.

Multivariate Weibull Distributions for Asset Returns: I

Finance Letters, Vol. 2, No. 6, pp. 16-32, 2005
Number of pages: 17 Posted: 04 May 2005
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 593 (47,133)

Abstract:

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Distribution of asset returns, copulas, modified Weibull distribution

3.

Investigating Extreme Dependences: Concepts and Tools

Number of pages: 46 Posted: 09 Mar 2002
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 541 (52,921)
Citation 6

Abstract:

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4.

Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous Markets

Number of pages: 66 Posted: 09 Aug 2002
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 508 (57,357)
Citation 6

Abstract:

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5.

High-Order Moments and Cumulants of Multivariate Weibull Asset Returns Distributions: Analytical Theory and Empirical Tests: Ii

Finance Letters, Vol. 3, No. 1, pp. 54-63, 2005
Number of pages: 10 Posted: 04 May 2005
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 493 (59,518)

Abstract:

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Distribution of asset returns, copulas, modified Weibull distribution

6.

Zipf's Law for Firms: Relevance of Birth and Death Processes

Number of pages: 27 Posted: 15 Jan 2008 Last Revised: 13 Apr 2010
Yannick Malevergne, Alexander I. Saichev and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, ETH Zurich - D-MTEC (Deceased) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 462 (64,506)
Citation 5

Abstract:

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7.

Tail Dependence of Factor Models

Number of pages: 29 Posted: 23 Feb 2002
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 430 (70,348)
Citation 2

Abstract:

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Factor model, Nonparametric estimation, Tail dependence

8.

Empirical Distributions of Log-Returns: Between the Stretched Exponential and the Power Law?

Number of pages: 71 Posted: 25 Jun 2003
Yannick Malevergne, Vladilen Pisarenko and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, Russian Academy of Sciences (RAS) - International Institute of Earthquake Prediction Theory and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 420 (72,346)
Citation 7

Abstract:

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Extreme-Value Estimators, Non-Nested Hypothesis Testing, Pareto distribution, Weibull distribution

9.
Downloads 370 ( 83,920)
Citation 2

Professor Zipf Goes to Wall Street

Number of pages: 33 Posted: 21 Aug 2009
Yannick Malevergne, Pedro Santa-Clara and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, New University of Lisbon - Nova School of Business and Economics and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 322 (97,578)
Citation 2

Abstract:

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Zipf, APT, firm size

Professor Zipf Goes to Wall Street

NBER Working Paper No. w15295
Number of pages: 34 Posted: 31 Aug 2009 Last Revised: 02 Oct 2009
Yannick Malevergne, Pedro Santa-Clara and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, New University of Lisbon - Nova School of Business and Economics and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 48 (420,939)

Abstract:

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10.

A Two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes

Number of pages: 38 Posted: 19 Feb 2007
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 363 (85,780)
Citation 4

Abstract:

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11.

Investors' Misperception: A Hidden Source of High Markups in the Mutual Fund Industry

Swiss Finance Institute Research Paper No. 09-04
Number of pages: 47 Posted: 23 Feb 2009 Last Revised: 25 Feb 2009
Shengsui Hu, Yannick Malevergne and Didier Sornette
ETH Zurich, D-MTEC, Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 296 (107,703)
Citation 1

Abstract:

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Mutual Fund Fees, Mutual Funds, Asymmetric Information, Principal-Agent, Relationships, Markup, Optimism Bias

12.

Investors’ Expectations, Management Fees and the Underperformance of Mutual Funds

Swiss Finance Institute Research Paper No. 12-01
Number of pages: 60 Posted: 06 Feb 2012
Andreas D. Huesler, Yannick Malevergne and Didier Sornette
ETH Zürich, Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 285 (112,130)

Abstract:

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Mutual Fund Fee, Mutual Fund, Asymmetric Information, Principal-Agent Relationship, Markup

13.

Hedging Extreme Co-Movements

Number of pages: 11 Posted: 19 Jun 2002
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 273 (117,292)
Citation 2

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14.

Gibrat’s Law for Cities: Uniformly Most Powerful Unbiased Test of the Pareto Against the Lognormal

Swiss Finance Institute Research Paper No. 09-40
Number of pages: 12 Posted: 28 Sep 2009
Yannick Malevergne, Vladilen Pisarenko and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, Russian Academy of Sciences (RAS) - International Institute of Earthquake Prediction Theory and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 163 (191,148)
Citation 8

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City sizes, Gibrat’s law, Zipf’s law

15.

Wealth and Income Inequalities ← → r > g

Swiss Finance Institute Research Paper No. 16-69
Number of pages: 50 Posted: 02 Dec 2016
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 134 (224,680)

Abstract:

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inequality, return on capital, growth rate, labor, national output, demographics

16.

On Cross Risk Vulnerability

Number of pages: 15 Posted: 08 Dec 2005
Yannick Malevergne and Béatrice Rey
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and University of Lyon 1 - ISFA Graduate School of Actuarial Science
Downloads 91 (295,346)

Abstract:

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Risk aversion, Risk vulnerability, Multivariate risk, Background risk

17.

How Analysts’ Ability Affects Forecast Timing Under Bias and Uncertainty?

LabEx ReFi Working Paper Series No. 2018-1
Number of pages: 42 Posted: 08 Feb 2018
Yannick Malevergne and Hind Sami
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and University of Lyon - Lyon 2-COACTIS
Downloads 81 (317,289)

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Analyst Forecasts, Bias, Accuracy, Timing

18.

Heterogeneous Expectations and Long Range Correlation of the Volatility of Asset Returns

Number of pages: 64 Posted: 13 Aug 2008 Last Revised: 26 Nov 2010
Jérôme Coulon and Yannick Malevergne
Zurich Insurance Company Ltd and Université Paris I Panthéon-Sorbonne - Laboratoire PRISM
Downloads 61 (370,608)

Abstract:

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Realized volatility, aggregation model, long memory, bounded rationality

19.

New Results for Additive and Multiplicative Risk Apportionment

GATE Working Paper Series WP 1915 - April 2019
Number of pages: 18 Posted: 16 May 2019
Henri Loubergé, Yannick Malevergne and Béatrice Rey
University of Geneva - Geneva School of Economics and Management, Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and University of Lyon 2 - Groupe d'Analyse et de Théorie Economique (GATE)
Downloads 13 (590,444)

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Additive Risks, Constant Relative Risk Aversion, Multiplicative Risks, Preserved Preference Ranking, Risk Apportionment

20.

Robust Reverse Engineering of Cross Sectional Returns and Improved Portfolio Allocation Performance Using the CAPM

Swiss Finance Institute Research Paper No. 11-03, https://doi.org/10.3905/jpm.2011.37.4.076
Posted: 21 May 2019
Xiaohui Ni, Yannick Malevergne, Didier Sornette and Peter Woehrmann
East China University of Science and Technology (ECUST), Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and University of Zurich

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CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical Allocation, Expected Returns