Yannick Malevergne

Université Paris I Panthéon-Sorbonne - Laboratoire PRISM

Professor of Finance

17 rue de la Sorbonne

Paris, 75005

France

SCHOLARLY PAPERS

19

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CITATIONS
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in Total Papers Citations

70

Scholarly Papers (19)

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 Swiss Finance Institute
Downloads 1,130 (12,891)
Citation 25

Abstract:

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 Swiss Finance Institute
Downloads 548 (36,312)
Citation 2

Abstract:

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 Swiss Finance Institute
Downloads 513 (40,757)
Citation 7

Abstract:

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 Swiss Finance Institute
Downloads 468 (45,340)
Citation 7

Abstract:

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 Swiss Finance Institute
Downloads 428 (48,938)
Citation 4

Abstract:

Distribution of asset returns, copulas, modified Weibull distribution

6.

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 Swiss Finance Institute
Downloads 407 (53,552)
Citation 2

Abstract:

Factor model, Nonparametric estimation, Tail dependence

7.

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 Swiss Finance Institute
Downloads 388 (57,178)
Citation 8

Abstract:

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

8.

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 Swiss Finance Institute
Downloads 369 (56,507)
Citation 4

Abstract:

9.
Downloads 328 ( 71,353)
Citation 6

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 Swiss Finance Institute
Downloads 293 (80,408)
Citation 6

Abstract:

Zipf, APT, firm size

Professor Zipf Goes to Wall Street

NBER Working Paper No. w15295
Number of pages: 34 Posted: 31 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 Swiss Finance Institute
Downloads 35 (367,943)
Citation 6

Abstract:

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 Swiss Finance Institute
Downloads 326 (68,506)
Citation 1

Abstract:

11.

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

Swiss Finance Institute Research Paper No. 11-03
Number of pages: 18 Posted: 01 Feb 2011
Xiaohui Ni, Yannick Malevergne, Didier Sornette and Peter Woehrmann
East China University of Science and Technology (ECUST), Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, Swiss Finance Institute and University of Zurich
Downloads 278 (76,779)
Citation 1

Abstract:

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

12.

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 Swiss Finance Institute
Downloads 270 (87,159)
Citation 1

Abstract:

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

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 Swiss Finance Institute
Downloads 257 (92,982)
Citation 1

Abstract:

14.

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 Swiss Finance Institute
Downloads 229 (96,154)

Abstract:

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

15.

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 Swiss Finance Institute
Downloads 119 (170,650)
Citation 1

Abstract:

City sizes, Gibrat’s law, Zipf’s law

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 80 (241,112)

Abstract:

Risk aversion, Risk vulnerability, Multivariate risk, Background risk

17.

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
University of Lyon 1 - Institute of Finance and Insurance Science (ISFA) and Université Paris I Panthéon-Sorbonne - Laboratoire PRISM
Downloads 52 (301,970)

Abstract:

Realized volatility, aggregation model, long memory, bounded rationality

18.

Forecast Timing and Accuracy in Sell-Side Research

Posted: 23 Jul 2013
Yannick Malevergne and Hind Sami
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and University of Lyon - Lyon 2-COACTIS

Abstract:

Financial Analysts, Analyst forecast, Forecast bias, Accuracy, Timing

19.

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 Swiss Finance Institute
Downloads 0 (266,630)

Abstract:

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