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

18

DOWNLOADS
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SSRN RANKINGS

Top 8,922

in Total Papers Downloads

4,138

CITATIONS
Rank 45,235

SSRN RANKINGS

Top 45,235

in Total Papers Citations

3

Scholarly Papers (18)

1.

A User’s Guide to the Cornish Fisher Expansion

Number of pages: 18 Posted: 02 Feb 2012 Last Revised: 02 Dec 2014
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 1,150 (9,005)
Citation 1

Abstract:

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 1,071 (13,804)

Abstract:

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 253 (74,261)
Citation 1

Abstract:

Asset allocation, Portfolio management, Portfolio Optimization

4.

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 173 (128,520)

Abstract:

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

5.

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 100 (196,328)

Abstract:

asset allocation, portfolio management, wealth management, tax planning

6.

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 89 (222,955)

Abstract:

Stock Options, Portfolio management, Portfolio Optimization

7.

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 83 (200,172)

Abstract:

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

8.

Tax and Investment Return

Number of pages: 28 Posted: 07 Dec 2011
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 80 (229,354)
Citation 1

Abstract:

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

9.

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 76 (177,729)

Abstract:

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

10.

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 68 (215,388)

Abstract:

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

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 58 (242,817)

Abstract:

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

12.

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 57 (259,831)

Abstract:

Life Annuities, Taxation

13.

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 29 (349,577)

Abstract:

Savings, retirement, asset allocation, portfolio management, risk

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 24 (359,626)

Abstract:

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 23 (349,577)

Abstract:

Taxation, Capital, Wealth, Savings, Investment

16.

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 17 (443,079)

Abstract:

General-equilibrium models, taxation, tax policy, welfare

17.

Sovereign Risk: A Reappraisal

Number of pages: 11 Posted: 06 Jan 2014
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 15 (427,543)

Abstract:

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

18.

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 0 (417,405)

Abstract:

Sovereign risk, Asset Allocation, International diversification, Home bias