Nicolas A. Papageorgiou

HEC Montreal - Department of Finance

3000 Chemin de la Cote-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

SCHOLARLY PAPERS

22

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5,062

SSRN CITATIONS
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Top 24,766

in Total Papers Citations

13

CROSSREF CITATIONS

25

Scholarly Papers (22)

1.

Option Pricing and Hedging for Discrete Time Regime-Switching Models

Number of pages: 25 Posted: 16 Apr 2010 Last Revised: 21 Nov 2014
Bruno Remillard, Alexandre Hocquard, Hugo Lamarre and Nicolas A. Papageorgiou
Department of Decision Sciences, HEC Montreal, Fiera Capital, HEC Montreal and HEC Montreal - Department of Finance
Downloads 434 (93,802)
Citation 8

Abstract:

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Option Pricing, Dynamic Hedging, Regime-Switching, Goodness-of-fit, Hidden Markov Models

2.

Where do Hedge Fund Managers Come from? Past Employment Experience and Managerial Performance

UNSW Australian School of Business Research Paper No. 2011 BFIN 06, 24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 45 Posted: 17 Jun 2011 Last Revised: 23 Jan 2012
Nicolas A. Papageorgiou, Jerry T. Parwada and Eric K. M. Tan
HEC Montreal - Department of Finance, UNSW Business School and University of Queensland - Business School
Downloads 420 (97,469)

Abstract:

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Hedge funds, managerial experience, performance, survival

3.

Equity Investing with Targeted Constant Volatility Exposure

FIRN Research Paper No. 2614828, UNSW Business School Research Paper
Number of pages: 45 Posted: 05 Jun 2015 Last Revised: 02 Feb 2017
Nicolas A. Papageorgiou, Jonathan J. Reeves and Michael Sherris
HEC Montreal - Department of Finance, UNSW Business School, University of New South Wales and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 371 (112,317)
Citation 3

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GARCH, Outliers, Portfolio management, Volatility forecasting, Volatility timing

4.

An Analysis on the Predictability of CAPM Beta for Momentum Returns

UNSW Business School Research Paper No. 2014 BFIN 18
Number of pages: 42 Posted: 04 Oct 2014 Last Revised: 09 Mar 2016
Tolga Cenesizoglu, Nicolas A. Papageorgiou, Jonathan J. Reeves and Haifeng Wu
HEC Montreal - Department of Finance, HEC Montreal - Department of Finance, UNSW Business School, University of New South Wales and UNSW Australia Business School, School of Banking and Finance
Downloads 307 (137,903)

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Momentum Trading Strategies, Realized Beta, Systematic Risk

5.
Downloads 306 (138,883)
Citation 4

Higher-Moment Risk Exposures in Hedge Funds

Number of pages: 44 Posted: 24 Apr 2012
Marie Lambert, Georges Hübner and Nicolas A. Papageorgiou
University of Liège - HEC Liège, HEC Liège and HEC Montreal - Department of Finance
Downloads 194 (215,240)

Abstract:

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Hedge Funds, Implied higher-moments, Conditioning factors

Higher-Moment Risk Exposures in Hedge Funds

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 45 Posted: 05 Jun 2012
Marie Lambert, Georges Hübner and Nicolas A. Papageorgiou
University of Liège - HEC Liège, HEC Liège and HEC Montreal - Department of Finance
Downloads 111 (337,051)

Abstract:

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Hedge Funds, Implied higher-moments, Conditioning factors

Higher‐Moment Risk Exposures in Hedge Funds

European Financial Management, Vol. 21, Issue 2, pp. 236-264, 2015
Number of pages: 29 Posted: 13 Mar 2015
Georges Hübner, Marie Lambert and Nicolas A. Papageorgiou
HEC Liège, University of Liège - HEC Liège and HEC Montreal - Department of Finance
Downloads 1
Citation 1

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hedge funds, implied higher‐moments, conditioning factors

6.

Directional and Non-Directional Risk Exposures in Hedge Fund Returns

International Conference of the French Finance Association (AFFI), May 2011
Number of pages: 50 Posted: 07 May 2011
Georges Hübner, Marie Lambert and Nicolas A. Papageorgiou
HEC Liège, University of Liège - HEC Liège and HEC Montreal - Department of Finance
Downloads 305 (138,883)

Abstract:

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Hedge Funds, Nonlinear Risk Premiums, Comoments, Implied Higher-Moments

7.

Copula-Based Semiparametric Models for Multivariate Time Series

Number of pages: 43 Posted: 24 Mar 2010 Last Revised: 13 Dec 2011
Bruno Remillard, Nicolas A. Papageorgiou and Frederic Soustra
Department of Decision Sciences, HEC Montreal, HEC Montreal - Department of Finance and BNP Paribas
Downloads 303 (139,834)
Citation 4

Abstract:

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Copulas, Markov processes, multivariate time series, serial dependence

8.

A Dynamic Model of Risk-Shifting Incentives with Convertible Debt

Number of pages: 43 Posted: 21 Feb 2006 Last Revised: 17 Aug 2009
Pascal Francois, Georges Hübner and Nicolas A. Papageorgiou
HEC Montreal - Department of Finance, HEC Liège and HEC Montreal - Department of Finance
Downloads 291 (145,764)

Abstract:

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Convertible debt, Risk shifting, Non-cooperative game

9.

Risk Optimizations on Basis Portfolios: The Role of Sorting

Journal of Empirical Finance, Forthcoming
Number of pages: 52 Posted: 25 May 2018 Last Revised: 14 Jun 2021
Boris Fays, Nicolas A. Papageorgiou and Marie Lambert
University of Liège - HEC Management School, HEC Montreal - Department of Finance and University of Liège - HEC Liège
Downloads 258 (164,669)

Abstract:

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Bootstrap, Mean-variance efficiency, Portfolio sorting, Risk-based optimization, Smart Beta, Style investing.

10.

Optimal Hedging of American Options in Discrete Time

Number of pages: 27 Posted: 23 Dec 2010 Last Revised: 21 Sep 2011
Bruno Remillard, Hugues Langlois, Alexandre Hocquard and Nicolas A. Papageorgiou
Department of Decision Sciences, HEC Montreal, HEC Paris - Finance Department, Fiera Capital and HEC Montreal - Department of Finance
Downloads 249 (170,450)
Citation 2

Abstract:

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Hedging, European Option, American Option, Risk

11.

Betas and the Myth of Market Neutrality

Number of pages: 27 Posted: 20 Dec 2011 Last Revised: 14 Dec 2012
Nicolas A. Papageorgiou, Jonathan J. Reeves and Xuan Xie
HEC Montreal - Department of Finance, UNSW Business School, University of New South Wales and Commonwealth Bank of Australia
Downloads 236 (179,474)
Citation 4

Abstract:

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realized beta, zero-beta portfolios, forecasting

12.

Persistence Analysis of Hedge Fund Returns

Number of pages: 54 Posted: 27 Apr 2010 Last Revised: 08 Jun 2010
Serge Patrick Amvella, Iwan Meier and Nicolas A. Papageorgiou
International Fund for Agricultural Development (IFAD), HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 223 (189,331)
Citation 1

Abstract:

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Hedge funds, Markov chain, smoothed returns, persistence, high water mark

13.

The Payoff Distribution Model: An Application to Dynamic Portfolio Insurance

Number of pages: 38 Posted: 23 Dec 2010
Alexandre Hocquard, Nicolas A. Papageorgiou and Bruno Remillard
Fiera Capital, HEC Montreal - Department of Finance and Department of Decision Sciences, HEC Montreal
Downloads 204 (205,848)
Citation 2

Abstract:

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Portfolio Insurance, Dynamic Hedging, Constant Volatility, CPPI

14.

An Alternative Performance Measure

Number of pages: 53 Posted: 23 Dec 2010
Alexandre Hocquard, Nicolas A. Papageorgiou and Bruno Remillard
Fiera Capital, HEC Montreal - Department of Finance and Department of Decision Sciences, HEC Montreal
Downloads 193 (216,277)

Abstract:

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Hedge Funds, Performance Measure, Bivariate Measure

15.

Credit Spreads and the Treasury Zero Coupon Spot Curve

Journal of Financial Research, Vol. 29, No 3, pp. 421-439, Fall 2006
Number of pages: 34 Posted: 29 Apr 2005 Last Revised: 28 Oct 2011
Nicolas A. Papageorgiou and Frank S. Skinner
HEC Montreal - Department of Finance and Brunel University
Downloads 182 (227,650)

Abstract:

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credit spreads, coupon bias, correlation

16.

Performance Analysis of a Collateralized Fund Obligation (CFO) Equity Tranche

Number of pages: 37 Posted: 26 Jul 2009 Last Revised: 11 Aug 2009
Shady Aboul-Enein, Georges Dionne and Nicolas A. Papageorgiou
HEC Montreal, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 163 (249,988)

Abstract:

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Collateralized Fund Obligation (CFO), hedge funds, structured finance, portfolio optimization, performance analysis, multivariate linear regression, systematic risk

17.

Optional and Conditional Components in Hedge Fund Returns

Number of pages: 70 Posted: 17 Mar 2006
Georges Hübner and Nicolas A. Papageorgiou
HEC Liège and HEC Montreal - Department of Finance
Downloads 154 (261,967)
Citation 1

Abstract:

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hedge funds, implied higher moments, performance, persistence

18.

Optimal Hedging Strategies with an Application to Hedge Fund Replication

Number of pages: 11 Posted: 23 Dec 2010
Alexandre Hocquard, Nicolas A. Papageorgiou and Bruno Remillard
Fiera Capital, HEC Montreal - Department of Finance and Department of Decision Sciences, HEC Montreal
Downloads 149 (269,088)
Citation 2

Abstract:

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Hedge Funds, Hedging, Replication, Copula, Gaussian Mixtures

19.

Market Efficiency and Hedge Fund Trading Strategies

Number of pages: 40 Posted: 02 Jun 2016
Marie Lambert, Nicolas A. Papageorgiou and Federico Platania
University of Liège - HEC Liège, HEC Montreal - Department of Finance and University of Liège
Downloads 119 (319,174)

Abstract:

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hedge funds, price discovery, options, informed trading, asset management

Persistent Doubt: An Examination of Hedge Fund Performance

Number of pages: 44 Posted: 03 Apr 2014 Last Revised: 28 Sep 2015
Maria Gonzalez, Nicolas A. Papageorgiou and Frank S. Skinner
University of Castilla-La Mancha, HEC Montreal - Department of Finance and Brunel University
Downloads 112 (334,891)

Abstract:

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Hedge funds, performance, manipulation proof measure, doubt ratio

Persistent Doubt: An Examination of Hedge Fund Performance

European Financial Management, Vol. 22, Issue 4, pp. 613-639, 2016
Number of pages: 27 Posted: 02 Sep 2016
Maria Gonzalez, Nicolas A. Papageorgiou and Frank S. Skinner
University of Castilla-La Mancha, HEC Montreal - Department of Finance and Brunel University
Downloads 1 (915,556)

Abstract:

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hedge funds, performance measures, manipulation‐proof performance measure, doubt ratio

21.

Interest Rates and Institutional Investors’ Preferences for Risk

Number of pages: 40 Posted: 02 Aug 2019
Tolga Cenesizoglu, Nicolas A. Papageorgiou and Farid Radmehr
HEC Montreal - Department of Finance, HEC Montreal - Department of Finance and Deloitte LLP - Deloitte LLP Vancouver
Downloads 82 (405,877)

Abstract:

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Institutional Ownership, Low Interest Rates, Risk Taking Behavior, Risk Characteristics

22.

Replicating the Properties of Hedge Fund Returns

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper, UBC Winter Finance Conference 2008 Paper, https://doi.org/10.3905/jai.2008.712595
Posted: 22 May 2019
Nicolas A. Papageorgiou, Bruno Remillard and Alexandre Hocquard
HEC Montreal - Department of Finance, Department of Decision Sciences, HEC Montreal and Fiera Capital

Abstract:

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Hedge Funds, Hedging, Replication, Copula, Gaussian mixtures