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1

Higher-Moment Portfolio Theory

Malevergne, Yannick, Sornette, Didier

Journal:

The Journal of Portfolio Management

Year:

2005

Language:

english

File:

PDF, 140 KB

english, 2005

2

Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous Markets

Malevergne, Yannick, Sornette, Didier

Journal:

SSRN Electronic Journal

Year:

2002

Language:

english

File:

PDF, 1.17 MB

english, 2002

3

Wealth and Income Inequalities r > g

Malevergne, Yannick

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 394 KB

english, 2016

4

Robust Reverse Engineering of Cross-Sectional Returns and Improved Portfolio Allocation Performance Using the CAPM

Ni, Xiaohui, Malevergne, Yannick, Sornette, Didier, Woehrmann, Peter

Journal:

The Journal of Portfolio Management

Year:

2011

Language:

english

File:

PDF, 1.35 MB

english, 2011

5

Investors' Misperception: A Hidden Source of High Markups in the Mutual Fund Industry

Hu, Shengsui, Malevergne, Yannick, Sornette, Didier

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 588 KB

english, 2009

6

Testing the Gaussian Copula Hypothesis for Financial Assets Dependences

Malevergne, Yannick, Sornette, Didier

Journal:

SSRN Electronic Journal

Year:

2001

Language:

english

File:

PDF, 461 KB

english, 2001

7

Testing the Pareto against the lognormal distributions with the uniformly most powerful unbiased test applied to the distribution of cities

Malevergne, Yannick, Pisarenko, Vladilen, Sornette, Didier

Journal:

Physical Review E

Year:

2011

Language:

english

File:

PDF, 695 KB

english, 2011

8

Robust Reverse Engineering of Cross Sectional Returns and Improved Portfolio Allocation Performance Using the CAPM

Ni, Xiaohui, Malevergne, Yannick, Sornette, Didier, Woehrmann, Peter

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 838 KB

english, 2011

9

New Results for additive and multiplicative risk apportionment

LoubergÃ©, Henri, Malevergne, Yannick, Rey, BÃ©atrice

Journal:

Journal of Mathematical Economics

Year:

2020

File:

PDF, 584 KB

2020

10

Heterogeneous Expectations and Long Range Correlation of the Volatility of Asset Returns

Coulon, Jérôme, Malevergne, Yannick

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 694 KB

english, 2008

11

[IEEE 2019 27th European Signal Processing Conference (EUSIPCO) - A Coruna, Spain (2019.9.2-2019.9.6)] 2019 27th European Signal Processing Conference (EUSIPCO) - Shuffling for understanding multifractality, application to asset price time series

Abry, Patrice, Malevergne, Yannick, Wendt, Herwig, Senneret, Marc, Jaffres, Laurent, Liaustrat, Blaise

Year:

2019

File:

PDF, 393 KB

2019

12

Covariance versus Precision Matrix Estimation for Efficient Asset Allocation

Senneret, Marc, Malevergne, Yannick, Abry, Patrice, Perrin, Gerald, Jaffres, Laurent

Journal:

IEEE Journal of Selected Topics in Signal Processing

Year:

2016

Language:

english

File:

PDF, 6.86 MB

english, 2016

13

Investors' expectations, management fees and the underperformance of mutual funds

Huesler, Andreas, Malevergne, Yannick, Sornette, Didier

Journal:

International Journal of Portfolio Analysis and Management

Year:

2014

Language:

english

File:

PDF, 582 KB

english, 2014

14

On Cross Risk Vulnerability

Malevergne, Yannick, Rey, Béatrice

Journal:

SSRN Electronic Journal

Year:

2005

Language:

english

File:

PDF, 147 KB

english, 2005

15

How Analystss Ability Affects Forecast Timing Under Bias and Uncertainty?

Malevergne, Yannick, Sami, Hind

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 383 KB

english, 2018

16

Macroeconomic Dynamics of Assets, Leverage and Trust

Rozendaal, Jeroen C., Malevergne, Yannick, Sornette, Didier

Journal:

International Journal of Bifurcation and Chaos

Year:

2016

Language:

english

File:

PDF, 1.70 MB

english, 2016

17

Empirical Distributions of Log-Returns: Between the Stretched Exponential and the Power Law?

Malevergne, Yannick, Pisarenko, Vladilen, Sornette, Didier

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 675 KB

english, 2003

18

Preparing for the Worst: Incorporating Downside Risk in Stock Market Investmentsby Hrishikesh D. Vinod; Derrick P. Reagle

Review by: Yannick Malevergne

Journal:

Journal of the American Statistical Association

Year:

2005

Language:

english

File:

PDF, 470 KB

english, 2005

19

Zipf's Law for Firms: Relevance of Birth and Death Processes

Malevergne, Yannick, Saichev, Alexander I., Sornette, Didier

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 408 KB

english, 2008

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