Research
Research and Papers


You will find here some papers I contributed to throughout the years. The topics covered include equity factors, capacity, volatility surfaces, and theoretical econometrics.
FINANCE
  •     Portfolio Selection With Active Strategies: How Long Only Constraints Shape Convictions (2021)
      • with Charles-Albert Lehalle
      • Journal of Asset Management 22 (1) 3 (2021)
      • Springer Link
  • The 'Size Premium' in Equity Markets: Where Is the Risk?  (2017)
      • with Jean-Philippe Bouchaud, Stefano Ciliberti, Emmanuel Sérié and Yves Lempérière
      • The Journal of Portfolio Management July 2019, 45 (5)
      • ssrn
  • Deconstructing the Low-Vol Anomaly (2016):
      • with Jean-Philippe Bouchaud, Marc Potters, Laurent Laloux, Stefano Ciliberti, Yves Lemperière and Alexios Beveratos
      • The Journal of Portfolio Management Fall 2014, 44 (1) 91-103
      • arXiv
  • The Excess Returns of 'Quality' Stocks: A Behavioral Anomaly  (2016)
      • with Jean-Philippe Bouchaud, Stefano Ciliberti, Augustin Landier and David Thesmar
      • HEC Paris Research Paper No. FIN-2016-1134
      • ssrn
  • The Capacity of Trading Strategies (2015)
      • with Augustin Landier and David Thesmar
      • HEC Paris Research Paper No. FIN-2015-1089
      • Submitted to The Journal of Finance
      • ssrn
  • Mean-Reversion Properties of Implied Volatilities  (2010)
      • with Florian Ielpo  
      • The European Journal of Finance, Vol.16, June 2010
      • ssrn
  • Endogeneity and Instrumental Variables in Dynamic Models (2010)
      • with Jean-Pierre Florens
      • ssrn
  • Nonparametric Analysis of Hedge Funds Lifetimes (2010)
      • with Jean-Pierre Florens and Serge Darolles
      • ssrn
  • Portfolio Allocation as an Inverse Problem (2009)
      • with Anna Simoni
      • ssrn

SPORTS and SPORTS ECONOMICS
  • "Disponible mais peu servi'', une analyse statistique des notes du journal L'Equipe

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