Univ. Lyon)

Identifiers

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Papers (5)

1. Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law? physics.soc-ph · 2003 · author #2
2. VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions physics.soc-ph · 2003 · author #2
3. Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices cond-mat.stat-mech · 2002 · author #2
4. Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets cond-mat.stat-mech · 2002 · author #2
5. Hedging Extreme Co-Movements cond-mat.stat-mech · 2002 · author #2

Mentions

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Frequent Coauthors

• Y. Malevergne (Univ. Nice 5 shared papers
• D. Sornette (CNRS-Univ. Nice 4 shared papers
• UCLA) 4 shared papers
• CNRS-Univ. Nice) 1 shared papers
• D. Sornette (UCLA 1 shared papers
• V.F. Pisarenko (Russian Acad. Sci.) 1 shared papers