Didier Maillard

Conservatoire National des Arts et Métiers (CNAM)

292, rue Saint-Martin

Paris cedex 03, 75141

France

Amundi Asset Management

Senior Advisor

90 Boulevard Pasteur

Paris, 75015

France

SCHOLARLY PAPERS

21

DOWNLOADS
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Top 8,965

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5,587

SSRN CITATIONS
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SSRN RANKINGS

Top 30,392

in Total Papers Citations

5

CROSSREF CITATIONS

20

Scholarly Papers (21)

1.

A User’s Guide to the Cornish Fisher Expansion

Number of pages: 20 Posted: 02 Feb 2012 Last Revised: 08 Jun 2018
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 2,137 (7,269)
Citation 13

Abstract:

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risk, value at risk, conditional value at risk, Variance, volatility, skewness, kurtosis, portfolio optimization, asset liability management, non Gaussian distribution

2.

Portfolio Optimization Under Tracking Error and Weights Constraints

Number of pages: 45 Posted: 22 Feb 2007
McGill University - Desautels Faculty of Management, Conservatoire National des Arts et Metiers (CNAM), Conservatoire National des Arts et Métiers (CNAM) and Conservatoire National des Arts et Métiers (CNAM)
Downloads 1,248 (17,211)
Citation 5

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Tracking Error, Weights constraint, Portfolio Optimization, Information Ratio

3.

Dynamic Versus Static Asset Allocation: From Theory (Halfway) to Practice

Number of pages: 25 Posted: 13 Oct 2011
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 428 (73,894)
Citation 1

Abstract:

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Asset allocation, Portfolio management, Portfolio Optimization

4.

Option Pricing under Skewness and Kurtosis Using a Cornish Fisher Expansion

Number of pages: 18 Posted: 07 Nov 2014 Last Revised: 21 Jun 2015
Sofiane Aboura and Didier Maillard
Université Paris XIII Nord - Department of Economics and Management and Conservatoire National des Arts et Métiers (CNAM)
Downloads 254 (131,838)

Abstract:

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Option pricing, Cornish-Fisher, Skewness, Kurtosis, Tail Risk

5.

Portfolio Management under Constraints on Ex-Ante and Ex-Post Tracking-Errors

Bankers, Markets & Investors, n°79, November-December 2005
Number of pages: 28 Posted: 10 Nov 2012 Last Revised: 05 Apr 2013
Riadh Belhaj, Didier Maillard and Roland Portait
Conservatoire National des Arts et Metiers (CNAM), Conservatoire National des Arts et Métiers (CNAM) and Conservatoire National des Arts et Métiers (CNAM)
Downloads 214 (156,469)

Abstract:

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portfolio management, tracking-error, active asset management, benchmark

6.

Adjusted Sharpe Ratio: Some Caveats

Number of pages: 10 Posted: 08 Dec 2018
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 182 (180,814)

Abstract:

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Sharpe ratio, performance measures, tail risk

7.

More on Cornish Fisher: Distribution Density and Boundary Conditions

Number of pages: 11 Posted: 22 Mar 2013
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 174 (188,033)
Citation 4

Abstract:

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Risk, variance, volatility, skewness, kurtosis, non Gaussian distribution Risk, variance, volatility, skewness, kurtosis, non Gaussian distribution

8.

Manipulation-Proof Performance Measure and the Cost of Tail Risk

Number of pages: 17 Posted: 09 Jun 2013
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 135 (232,134)
Citation 1

Abstract:

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Funds performance, Risk, Tail Risk, Cornish Fisher, Skewness, Kurtosis

9.

Where’s the Value of Wealth Management: Tax Planning or Asset Management?

Number of pages: 15 Posted: 07 Nov 2011
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 131 (237,641)
Citation 2

Abstract:

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asset allocation, portfolio management, wealth management, tax planning

10.

Stock-Options and Portfolio Management

Number of pages: 28 Posted: 05 Mar 2011 Last Revised: 08 Feb 2012
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 109 (272,056)

Abstract:

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Stock Options, Portfolio management, Portfolio Optimization

11.

Cornish-Fisher versus Gramm-Charlier: An Appraisal

Number of pages: 15 Posted: 29 Jun 2014 Last Revised: 03 Dec 2014
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 108 (273,768)

Abstract:

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Risk, variance, volatility, skewness, kurtosis, non Gaussian distribution, Cornish Fisher, Gramm Charlier, Edgeworth

12.

Tax and Investment Return

Number of pages: 28 Posted: 07 Dec 2011
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 106 (277,312)
Citation 2

Abstract:

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Tax, Finance, Asset Allocation, Investment, Inflation, Risk

13.

The Overtaxation of Life Annuities: the French Case

Number of pages: 16 Posted: 15 May 2010 Last Revised: 24 Oct 2012
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 78 (336,789)

Abstract:

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Life Annuities, Taxation

14.

L'Impact de la Distribution de Dividendes: Une Étude de Cas (The Impact of Dividend Distribution: A Case Study)

Conservatoire National des Arts et Métiers Chair of Banking Research Paper No. 6
Number of pages: 13 Posted: 09 Nov 2012
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 59 (390,769)

Abstract:

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Corporate finance, dividend distribution, tax

15.

The Unbearable Heaviness of Capital Taxation in France

Number of pages: 23 Posted: 07 Jan 2014
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 46 (436,563)

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Taxation, Capital, Wealth, Savings, Investment

16.

The Management of Retirement Savings Revisited

Number of pages: 20 Posted: 28 Feb 2012 Last Revised: 13 Sep 2012
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 45 (440,426)

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Savings, retirement, asset allocation, portfolio management, risk

17.

Asset Allocation Under (One's Own) Sovereign Default Risk

Number of pages: 20 Posted: 08 Apr 2016
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 33 (492,447)

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Sovereign risk, Asset Allocation, International diversification, Home bias

18.

Computing the Cornish Fisher Expansion Moments Using Hermite Polynomials: A Note

Number of pages: 10 Posted: 15 Jun 2018
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 28 (518,173)
Citation 1

Abstract:

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Risk, Variance, Volatility, Skewness, Kurtosis, Non Gaussian Distribution

19.

Sovereign Risk: A Reappraisal

Number of pages: 11 Posted: 06 Jan 2014
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 27 (523,689)
Citation 1

Abstract:

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Sovereign risk, public finance, public debt, solvency, restructuration, taxation, sustainability, risk assessment, asset allocation

20.

The Smallest General-Equilibrium Model in the World - Major Lessons for Tax Policy

Number of pages: 18 Posted: 16 Mar 2013
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 24 (541,500)

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General-equilibrium models, taxation, tax policy, welfare

21.

Genuine and Spurious Serial Correlations in Asset Returns — An Illustration: Real Estate versus Equity

Number of pages: 31 Posted: 13 Mar 2019
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 21 (560,209)

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Serial Correlation, Asset Prices, Asset Returns, Efficient Markets, Predictability