Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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The Impact of Lease Structures on the Optimal Holding Period for a Commercial Real Estate Portfolio.

Optimal holding period, Portfolio management, Real estate, Simulation

Essays on investments, portfolio management and pensions.

Allocation d’actifs, Asset Allocation, Fonds de pension, Gestion de portefeuille, Gestion des risques, Investissements, Investments, Pensions, Portfolio Management, Retraites, Risk Sharing, Social Security

Three Essays in Asset Management.

Active mutual funds, Allocation d’actifs, Asset allocation, Fonds d’investissement actifs, Gestion de portefeuille, Information risk, Liquidity, Liquidité, Portfolio Management, Predictability, Prédictibilité des rendements, Risque de l’information

A Rank-based Approach to Cross-Sectional Analysis.

Absolute return strategy, Generalized hyperbolic Distribution, Large portfolios, Multivariate statistics, Performance measure, Portfolio management, Relative-value strategy

Detecting reversals in the US equity market.

Allocation d'actifs, Analyse technique, Asset allocation, Bull and bear markets, Effet momentum, Gestion de portefeuille, Logistic regression, Marchés haussiers et baissiers, Market timing, Monumentum effect, Portfolio management, Prévisibilité des marchés actions, Retournements des marchés actions, Régression logistique, Stock market predictability, Stock market reversals, Sélection de variables, Technical analysis, Timing du marché, Variable selection

Stress-Test Exercises and the Pricing of Very Long-Term Bonds.

Absence d'arbitrage, Affine Model, Choc, Copula, Copule, Distribution Stable, Extreme Risk, Facteur Niveau, Facteur Pente, Factor Model, Gestion de Portefeuille, Interest Rate, Level Factor, Modèle Affine, Modèle à Facteur, No Arbitrage, Obligations Souveraines, Portfolio Management, Risque Extrême, Risque Systémique, Shock, Slope Factor, Sovereign Bonds, Stable Distribution, Stochastic Long-Term Rate, Stress-Tests, Structure par Terme, Systemic Risk, Taux de Long-Terme Stochastique, Taux d’intérêt, Term Structure, Tests de Résistance

Stress-Test Exercises and the Pricing of Very Long-Term Bonds.

Absence d'arbitrage, Affine Model, Choc, Copula, Copule, Distribution Stable, Extreme Risk, Facteur Niveau, Facteur Pente, Factor Model, Gestion de Portefeuille, Interest Rate, Level Factor, Modèle Affine, Modèle à Facteur, No Arbitrage, Obligations Souveraines, Portfolio Management, Risque Extrême, Risque Systémique, Shock, Slope Factor, Sovereign Bonds, Stable Distribution, Stochastic Long-Term Rate, Stress-Tests, Structure par Terme, Systemic Risk, Taux de Long-Terme Stochastique, Taux d’intérêt, Term Structure, Tests de Résistance

Performance evaluation of mutual funds: the case of France.

Carhart model, Equity Funds, European Mutual funds, Fonds d’actions, Fonds européens, Frais de gestion, Fund Performance, Gestion du portefeuille, Management fee, Modèle de Carhart, Performance, Portfolio management

Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios.

Complex dependence, Extreme risks, Factors, Non-linear multibeta relationship, Portfolio management, Regular vine copula, Risk management, Risk parity, Stress testing

Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio.

Diversification, Extreme risks, Factorial model, Portfolio management, Regular vine copula, Risk management