Nicolas A. Papageorgiou

HEC Montreal - Department of Finance

3000 Chemin de la Cote-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

  • HEC Montreal - Department of Finance

SCHOLARLY PAPERS

22

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Top 23,067

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12

CROSSREF CITATIONS

25

Scholarly Papers (22)

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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 404 (78,531)
Citation 8

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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
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 386 (82,818)

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Hedge funds, managerial experience, performance, survival

3.

Equity Investing with Targeted Constant Volatility Exposure

FIRN Research Paper No. 2614828
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 341 (95,521)
Citation 2

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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 299 (110,345)

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Momentum Trading Strategies, Realized Beta, Systematic Risk

5.

Higher-Moment Risk Exposures in Hedge Funds

Downloads 290 (114,009)
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 Liege - HEC Management School, HEC Liège and HEC Montreal - Department of Finance
Downloads 189 (173,541)

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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 Liege - HEC Management School, HEC Liège and HEC Montreal - Department of Finance
Downloads 101 (286,855)

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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 Liege - HEC Management School and HEC Montreal - Department of Finance
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Citation 1
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hedge funds, implied higher‐moments, conditioning factors

6.

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 286 (115,718)
Citation 4

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Copulas, Markov processes, multivariate time series, serial dependence

7.

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 266 (124,845)

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Convertible debt, Risk shifting, Non-cooperative game

8.

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 Liege - HEC Management School and HEC Montreal - Department of Finance
Downloads 233 (142,692)

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

9.

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 228 (145,702)
Citation 4

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realized beta, zero-beta portfolios, forecasting

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 228 (145,702)
Citation 2

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Hedging, European Option, American Option, Risk

11.

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
HEC Montreal - Department of Finance, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 215 (154,082)
Citation 1

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

12.

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 182 (179,683)
Citation 1

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Portfolio Insurance, Dynamic Hedging, Constant Volatility, CPPI

13.

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 180 (181,461)

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Hedge Funds, Performance Measure, Bivariate Measure

14.

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 161 (199,788)

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

15.

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 148 (214,339)
Citation 1

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hedge funds, implied higher moments, performance, persistence

16.

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 128 (240,457)
Citation 2

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Hedge Funds, Hedging, Replication, Copula, Gaussian Mixtures

17.

Risk Optimizations on Basis Portfolios: The Role of Sorting

Number of pages: 45 Posted: 25 May 2018 Last Revised: 27 Apr 2020
Boris Fays, Marie Lambert and Nicolas A. Papageorgiou
University of Liege, HEC Management School, University of Liege - HEC Management School and HEC Montreal - Department of Finance
Downloads 118 (255,588)

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

18.

Persistent Doubt: An Examination of Hedge Fund Performance

Downloads 110 (268,649)

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 109 (271,875)

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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 (736,354)
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hedge funds, performance measures, manipulation‐proof performance measure, doubt ratio

19.

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 99 (288,773)

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credit spreads, coupon bias, correlation

20.

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 Liege - HEC Management School, HEC Montreal - Department of Finance and University of Liege
Downloads 97 (292,620)

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

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 31 (499,266)

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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
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

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Hedge Funds, Hedging, Replication, Copula, Gaussian mixtures