Nicolas A. Papageorgiou

HEC Montreal - Department of Finance

3000 Chemin de la Cote-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

SCHOLARLY PAPERS

20

DOWNLOADS
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4,524

CITATIONS
Rank 14,196

SSRN RANKINGS

Top 14,196

in Total Papers Citations

26

Scholarly Papers (20)

1.

Replicating the Properties of Hedge Fund Returns

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper, UBC Winter Finance Conference 2008 Paper
Number of pages: 50 Posted: 13 Dec 2007
Nicolas A. Papageorgiou, Bruno Remillard and Alexandre Hocquard
HEC Montreal - Department of Finance, HEC Montreal and Pavilion Advisory Group
Downloads 884 (17,800)
Citation 13

Abstract:

Hedge Funds, Hedging, Replication, Copula, Gaussian mixtures

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 Australia Business School, School of Banking and Finance and University of Otago - Department of Accountancy and Finance
Downloads 306 (69,367)

Abstract:

Hedge funds, managerial experience, performance, survival

3.

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
HEC Montreal, Pavilion Advisory Group, HEC Montreal and HEC Montreal - Department of Finance
Downloads 273 (73,558)

Abstract:

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

4.

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
HEC Montreal, HEC Montreal - Department of Finance and BNP Paribas
Downloads 257 (88,893)
Citation 1

Abstract:

Copulas, Markov processes, multivariate time series, serial dependence

Higher-Moment Risk Exposures in Hedge Funds

Number of pages: 44 Posted: 24 Apr 2012
Marie Lambert, Georges Hubner and Nicolas A. Papageorgiou
University of Liege - HEC Management School, HEC Management School - University of Liège and HEC Montreal - Department of Finance
Downloads 159 (148,067)

Abstract:

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 Hubner and Nicolas A. Papageorgiou
University of Liege - HEC Management School, HEC Management School - University of Liège and HEC Montreal - Department of Finance
Downloads 87 (234,199)

Abstract:

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 Hubner, Marie Lambert and Nicolas A. Papageorgiou
HEC Management School - University of Liège, University of Liege - HEC Management School and HEC Montreal - Department of Finance
Downloads 0

Abstract:

hedge funds, implied higher‐moments, conditioning factors

6.

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 Hubner and Nicolas A. Papageorgiou
HEC Montreal - Department of Finance, HEC Management School - University of Liège and HEC Montreal - Department of Finance
Downloads 234 (98,564)

Abstract:

Convertible debt, Risk shifting, Non-cooperative game

7.

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 186 (122,424)
Citation 1

Abstract:

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

8.

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
HEC Montreal, HEC Paris, Pavilion Advisory Group and HEC Montreal - Department of Finance
Downloads 181 (120,127)

Abstract:

Hedging, European Option, American Option, Risk

9.

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 Hubner, Marie Lambert and Nicolas A. Papageorgiou
HEC Management School - University of Liège, University of Liege - HEC Management School and HEC Montreal - Department of Finance
Downloads 175 (118,471)
Citation 2

Abstract:

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

10.

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 163 (119,593)
Citation 1

Abstract:

realized beta, zero-beta portfolios, forecasting

11.

An Alternative Performance Measure

Number of pages: 53 Posted: 23 Dec 2010
Alexandre Hocquard, Nicolas A. Papageorgiou and Bruno Remillard
Pavilion Advisory Group, HEC Montreal - Department of Finance and HEC Montreal
Downloads 151 (147,079)

Abstract:

Hedge Funds, Performance Measure, Bivariate Measure

12.

Optional and Conditional Components in Hedge Fund Returns

Number of pages: 70 Posted: 17 Mar 2006
Georges Hubner and Nicolas A. Papageorgiou
HEC Management School - University of Liège and HEC Montreal - Department of Finance
Downloads 136 (161,935)
Citation 1

Abstract:

hedge funds, implied higher moments, performance, persistence

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
Pavilion Advisory Group, HEC Montreal - Department of Finance and HEC Montreal
Downloads 130 (144,731)

Abstract:

Portfolio Insurance, Dynamic Hedging, Constant Volatility, CPPI

14.

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 Australian School of Business
Downloads 129 (111,460)

Abstract:

Momentum Trading Strategies, Realized Beta, Systematic Risk

15.

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 128 (158,237)

Abstract:

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

16.

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 118 (103,316)

Abstract:

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

17.

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
Pavilion Advisory Group, HEC Montreal - Department of Finance and HEC Montreal
Downloads 100 (193,087)
Citation 2

Abstract:

Hedge Funds, Hedging, Replication, Copula, Gaussian Mixtures

Persistent Doubt: An Examination of Hedge Fund Performance

Number of pages: 44 Posted: 03 Apr 2014 Last Revised: 28 Sep 2015
Maria O. Gonzalez, Nicolas A. Papageorgiou and Frank S. Skinner
University of Castilla-La Mancha, HEC Montreal - Department of Finance and Brunel University
Downloads 86 (235,915)

Abstract:

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 O. Gonzalez, Nicolas A. Papageorgiou and Frank S. Skinner
University of Castilla-La Mancha, HEC Montreal - Department of Finance and Brunel University
Downloads 0

Abstract:

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 43 (279,756)
Citation 5

Abstract:

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 0 (330,046)

Abstract:

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