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Procedural rationality, asset heterogeneity and market selection

Coqueret, Guillaume; Tavin, Bertrand - In: Journal of mathematical economics 82 (2019), pp. 125-149

Persistent link: https://www.econbiz.de/10012105818

Dynamic decision making with predictive panels

Coqueret, Guillaume; Tavin, Bertrand - In: Journal of the Operational Research Society 75 (2024) 6, pp. 1055-1075

Persistent link: https://www.econbiz.de/10014555855

Scopes of carbon emissions and their impact on green portfolios

Anquetin, Théophile; Coqueret, Guillaume; Tavin, Bertrand - In: Economic modelling 115 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10014228689

Measuring exposure to dependence risk with random Bernstein copula scenarios

Tavin, Bertrand - In: European journal of operational research : EJOR 270 (2018) 3, pp. 873-888

Persistent link: https://www.econbiz.de/10011882643

Empirical properties of a heterogeneous agent model in large dimensions

Coqueret, Guillaume - In: Journal of economic dynamics & control 77 (2017), pp. 180-201

Persistent link: https://www.econbiz.de/10011817465

Stock-specific sentiment and return predictability

Coqueret, Guillaume - In: Quantitative finance 20 (2020) 9, pp. 1531-1551

Persistent link: https://www.econbiz.de/10012295622

Perspectives in sustainable equity investing

Coqueret, Guillaume - 2022 - 1 edition

Chapter 1 ESG dataChapter 2 Investors & SRIChapter 3 ESG investing and financial performanceChapter 4 Quantitative portfolio construction with ESG data and criteriaChapter 5 Climate change riskChapter 6 SRI in economic equilibriaChapter 7 Conclusion

Persistent link: https://www.econbiz.de/10013460695

Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals

Tavin, Bertrand - In: Journal of Banking & Finance 53 (2015) C, pp. 158-178

In this paper we study the existence of arbitrage opportunities in a multi-asset market when risk-neutral marginal distributions of asset prices are known. We first propose an intuitive characterization of the absence of arbitrage opportunities in terms of copula functions. We then address the...

Persistent link: https://www.econbiz.de/10011209836

Measuring information flows in option markets : a relative entropy approach

André, Eric; Schneider, Lorenz; Tavin, Bertrand - In: The journal of derivatives : JOD 31 (2023) 2, pp. 73-99

Persistent link: https://www.econbiz.de/10015198761

From the Samuelson volatility effect to a Samuelson correlation effect : an analysis of crude oil calendar spread options

Schneider, Lorenz; Tavin, Bertrand - In: Journal of banking & finance 95 (2018), pp. 185-202

Persistent link: https://www.econbiz.de/10011966746