Guillaume Coqueret

EMLYON Business School

23 Avenue Guy de Collongue

Ecully, 69132

France

  • EMLYON Business School

SCHOLARLY PAPERS

7

DOWNLOADS

864

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (7)

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1.

Stock Returns and the Cross-Section of Characteristics: A Tree-Based Approach

Number of pages: 17 Posted: 18 May 2018
Guillaume Coqueret and Tony Guida
EMLYON Business School and Université de Savoie - Finance and Banking
Downloads 377 (82,418)

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Regression trees, Cross-section of stock returns, Firm characteristics, Portfolio choice

2.

Characteristics-Based Portfolio Choice with Leverage Constraints

Journal of Banking and Finance, Forthcoming, University of St. Gallen, School of Finance Research Paper No. 2016/06
Number of pages: 46 Posted: 23 Feb 2016 Last Revised: 13 Sep 2016
Manuel Ammann, Guillaume Coqueret and Jan-Philip Schade
University of St. Gallen - School of Finance, EMLYON Business School and University of St. Gallen - School of Finance
Downloads 172 (183,262)
Citation 3

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Portfolio choice, leverage constraint, characteristics-based investing

3.

Training Trees on Tails with Applications to Portfolio Choice

Number of pages: 34 Posted: 20 Jun 2019 Last Revised: 24 Feb 2020
Guillaume Coqueret and Tony Guida
EMLYON Business School and Université de Savoie - Finance and Banking
Downloads 135 (224,138)

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Decision trees; Filtering training set; Factor investing; Portfolio choice; Feature selection

4.

The Economic Value of Firm-Specific News Sentiment

Number of pages: 42 Posted: 06 Oct 2018 Last Revised: 01 May 2019
Guillaume Coqueret
EMLYON Business School
Downloads 122 (242,163)

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News Sentiment, Predictability, p-hacking, Portfolio Sorts, Market Timing

5.

Procedural Rationality, Asset Heterogeneity and Market Selection

Number of pages: 47 Posted: 16 Apr 2017 Last Revised: 23 Sep 2018
Guillaume Coqueret and Bertrand Tavin
EMLYON Business School and emlyon business school
Downloads 34 (471,577)

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6.

An Investigation of Model Risk in a Market with Jumps and Stochastic Volatility

European Journal of Operational Research, Volume 253, Issue 3, September 2016, Pages 648-658
Number of pages: 41 Posted: 02 Aug 2014 Last Revised: 04 Dec 2016
Guillaume Coqueret and Bertrand Tavin
EMLYON Business School and emlyon business school
Downloads 24 (523,836)
Citation 2

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Risk Management, Model Risk, Robustness and Sensitivity Analysis, Variance Swap, Forward-start option

7.

Ensemble Learning Applied to Quant Equity: Gradient Boosting in a Multi-Factor Framework

Big Data and Machine Learning in Quantitative Investment, Wiley finance series. 2018
Posted: 16 Aug 2018
Tony Guida and Guillaume Coqueret
Université de Savoie - Finance and Banking and EMLYON Business School

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Machine learning, Factor Investing, Stock selection, Portfolio construction, Quantitative investment