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

SCHOLARLY PAPERS

23

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SSRN CITATIONS
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29

CROSSREF CITATIONS

33

Scholarly Papers (23)

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 1,283 (30,240)
Citation 17

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Copulas, Dependence Modelisation, Risk Management, Tail Dependence

2.

Multivariate Weibull Distributions for Asset Returns: I

Number of pages: 17 Posted: 04 May 2005
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 689 (71,413)

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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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 589 (86,994)
Citation 7

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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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 554 (93,981)
Citation 8

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5.

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

Number of pages: 10 Posted: 04 May 2005
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 543 (96,363)

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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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 527 (99,985)
Citation 5

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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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 493 (108,500)
Citation 9

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

8.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 475 (113,364)
Citation 2

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Factor model, Nonparametric estimation, Tail dependence

9.
Downloads 466 (115,988)
Citation 1

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, Nova School of Business and Economics and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 382 (144,738)
Citation 1

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: 17 Apr 2023
Yannick Malevergne, Pedro Santa-Clara and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, Nova School of Business and Economics and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 84 (553,227)

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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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 404 (136,980)
Citation 4

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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, Shengsui Hu, Yannick Malevergne and Didier Sornette
ETH Zurich, D-MTECETH Zürich, Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 337 (167,411)
Citation 1

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

12.

A Model of Financial Bubbles and Drawdowns with Non-local Behavioral Self-Referencing

Swiss Finance Institute Research Paper No. 21-96
Number of pages: 46 Posted: 30 Dec 2021
Yannick Malevergne, Didier Sornette and Ran Wei
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zürich
Downloads 329 (171,760)

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financial markets, bubbles, mispricing, faster-than-exponential growth, drawdowns, crashes, behavioral price anchoring, expected return

13.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 329 (171,760)
Citation 1

Abstract:

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

14.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 299 (190,058)
Citation 1

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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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 213 (265,475)
Citation 12

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City sizes, Gibrat’s law, Zipf’s law

16.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 173 (320,091)

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

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 131 (401,972)

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Analyst Forecasts, Bias, Accuracy, Timing

18.

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 119 (432,117)

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Risk aversion, Risk vulnerability, Multivariate risk, Background risk

19.

A Linear-Rational Multi-Curve Term Structure Model with Stochastic Spread

Number of pages: 48 Posted: 04 Aug 2022 Last Revised: 06 Jun 2023
José Da Fonseca, Edem Dawui and Yannick Malevergne
Auckland University of Technology - Faculty of Business & Law, World Bank and Université Paris I Panthéon-Sorbonne - Laboratoire PRISM
Downloads 86 (539,512)
Citation 1

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Interest rate model, Multi-Curve, Wishart process, Stochastic spread, Swaption market, CMS derivatives

20.

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 86 (539,512)

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Realized volatility, aggregation model, long memory, bounded rationality

21.

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 43 (761,266)

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

22.

A Simple Microstructure Model Based on the Cox-BESQ Process With Application to Optimal Execution Policy

Journal of Economic Dynamics and Control, Vol. 128, 2021
Number of pages: 58 Posted: 30 Jun 2021
José Da Fonseca and Yannick Malevergne
Auckland University of Technology - Faculty of Business & Law and Université Paris I Panthéon-Sorbonne - Laboratoire PRISM
Downloads 38 (797,509)
Citation 1

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Microstructure Model, Stochastic Intensity Model, Cox-BESQ Process, Optimal Execution

23.

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, Risks-X, Southern University of Science and Technology (SUSTech) and University of Zurich

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