![](https://neoma-bs.com/sites/default/files/uploaded_images/profs-neoma_0.png)# SIX Pierre { "@context": "https://schema.org", "@type": "BreadcrumbList", "itemListElement": [ { "@type": "ListItem", "position": 1, "name": "Home", "item": "https://neoma-bs.com/" }, { "@type": "ListItem", "position": 2, "name": "SIX\u0020Pierre", "item": "https://neoma-bs.com/node/8481.md" } ] } - [Home](https://neoma-bs.com/) - SIX Pierre ![](/sites/default/files/styles/large/public/uploaded_images/photos_academ/2807-six-pierre.jpg?itok=MSfzIGqf)SIX Pierre Full Professor - About - Academic publications [Finance](https://neoma-bs.com/departements/finance) HDR (Authorization to supervise research) Pierre Six is a Full Professor of Finance at NEOMA. He obtained his PhD from University Paris 1 and his Habilitation à diriger les recherches from University Paris-Dauphine. He teaches risk management; commodity risk and market risk, in particular. His areas of research primarily relate to commodities and asset allocation. He now diversifies his research in various fields. He has published, among other journals, in the European Journal of Operational Research, the International Review of Law and Economics and Quantitative Finance. He achieved the most outstanding paper award for “derivatives” at the annual conference of the Eastern Finance Association in 2010. He serves various administrative position at NEOMA; in particular in the finance department. ### Areas of research - Commodities - Continuous time processes - Derivative products ## Recent academic contributions SCHNEIDER, L., B. TAVIN, P. SIX, "Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models" in *8th Commodity Markets Winter Workshop*, 2025, Zell am See, Austria Coauthorspresented SIX, P., M. DE BOURMONT, W. CAO, F. LARMANDE, J. VERNY, "A few ratios do not tell the whole story: financial statements informativeness evolution and bankruptcy prediction" in *American Accounting Association annual conference*, 2025, Chicago, United States SIX, P., W. CAO, X. DUAN, S. C. LINN, "New Tests of the Theory of Storage and the Theory of Normal Backwardation: Time and Frequency Dimensions" in *New Directions in Commodities Research Symposium*, 2025, Denver, United States Coauthorspresented ## Publications OUZAN, S., P. SIX, "The Demand for Hedging of Oil Producers: A Tale of Risk and Regret", *European Journal of Operational Research*, February 2025, vol. 321, no. 1, pp. 330-343 DOI : [ 10.1016/j.ejor.2024.09.036 ](https://dx.doi.org/10.1016/j.ejor.2024.09.036) CHIBANE, M., P. SIX, "Dynamic Asset Allocation and Consumption with the Indirect Utility Function.", *Finance Research Letters*, July 2024, vol. 65, pp. 105542 DOI : [ 10.1016/j.frl.2024.105542 ](https://dx.doi.org/10.1016/j.frl.2024.105542) AHN, J.-H., H. MUHAJIR MAULANA, P. SIX, "Macro-Financial Determinants of Default Probability Using Copula: A Case Study of Indonesian Banks", *Bulletin of Monetary Economics and Banking*, 2023, vol. 25, no. 4, pp. 597-622 DOI : [ 10.21098/bemp.v25i4.1748 ](https://dx.doi.org/10.21098/bemp.v25i4.1748) ATTAOUI, S., W. CAO, P. SIX, "Capital Structure and the Optimal Payment Methods in Acquisitions", *International Review of Law and Economics*, June 2021, vol. 66 DOI : [ 10.1016/j.irle.2021.105986 ](https://dx.doi.org/10.1016/j.irle.2021.105986) AHN, J.-H., P.SIX, "A study of first generation commodity indices : Indices based on financial diversification", *Finance Research Letters*, September 2019, vol. 30, pp. 194-200 DOI : [ 10.1016/j.frl.2018.09.013 ](https://dx.doi.org/10.1016/j.frl.2018.09.013) MELLIOS , C., P. SIX, A. N. LAI , "Dynamic Speculation and Hedging in Commodity Futures Markets with a Stochastic Convenience Yield ", *European Journal of Operational Research*, April 2016, vol. 250, no. 2, pp. 493-504 DOI : [ 10.1016/j.ejor.2015.10.045 ](https://dx.doi.org/10.1016/j.ejor.2015.10.045) SIX, P., S.ATTAOUI, "The Impact of Different Risk Aversions on The Bond-Stock Mix: A Note", *Finance*, September 2016, vol. 36, no. 3, pp. 85-111 SIX, P., J.FOUQUAU, "A comparison of the convenience yield and interest-adjusted basis", *Finance Research Letters*, August 2015, vol. 14, pp. 142-149 DOI : [ 10.1016/j.frl.2015.05.005 ](https://dx.doi.org/10.1016/j.frl.2015.05.005) SIX, P., "Strategic commodity allocation", *Quantitative Finance*, September 2014, vol. 15, no. 1, pp. 131-150 DOI : [ 10.1080/14697688.2014.951386 ](https://dx.doi.org/10.1080/14697688.2014.951386) ATTAOUI, S., V.LACOSTE, P.SIX, "A Partial Equilibrium Model of the Convenience Yield Risk Premium of Storable Commodities", *Bankers, Markets & Investors (ex-Banque & Marchés)*, May 2014, vol. 130, pp. 24-40 SIX, P., "On the shape of risk aversion and asset allocation", *International Journal of Theoretical and Applied Finance*, December 2014, vol. 17, no. 8, pp. 1450054-1 à 1450054-27 SIX, P., S.ATTAOUI, "Hedging demand and the certainty equivalent" of wealth", *Economics Bulletin*, August 2014, no. 3, pp. 1742-1750 SIX, P., C.MELLIOS, "The Traditional Hedging Model Revisited With A Non-Observable Convenience Yield", *Financial Review*, November 2011, no. 46, pp. 569-593 SIX, P., C.MELLIOS, "Calendar spreads in commodity future markets, risk premium and the convenience yield", *Bankers, Markets & Investors (ex-Banque & Marchés)*, May 2011, no. 112, pp. 16-33 ATTAOUI, S., C.MELLIOS, P.SIX, "Calendar Spreads in Commodity Futures Markets, Risk Premium and the Convenience Yield", *Bankers, Markets & Investors (ex-Banque & Marchés)*, May 2011, no. 112, pp. 16-33 SIX, P., "Interest rate risk hedging demand under a Gaussian framework", *Journal of Financial Transformation*, March 2010, no. 28, pp. 103-107 SIX, P., "Dynamic strategies when consumption and wealth risk aversions differ", *Finance*, December 2010, vol. 31, no. 2, pp. 93-118 ## Chapters SIX, P., "Strategic commodity allocation " in *Commodities*., M. A. H. Dempster and Ke Tang Ed., Chapman & Hall/CRC Press, pp. 703, 2015 SIX, P., S.ATTAOUI, "A Jump–Diffusion Nominal Short Rate Model" in *Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges*., Wehn C. S., Hoppe C. & Gregoriou G. N. Eds, Academic Press, 2012 ## Conferences LARMANDE, F., M. DE BOURMONT, W. CAO, P. SIX, J. VERNY, "A few ratios do not tell the whole story: financial statements informativeness evolution and bankruptcy prediction" in *Annual conference of the European Accounting Association*, 2025 SIX, P., S. ATTAOUI, "Fundamentals of Sharpe ratios in storable commodity markets" in *SSRN*, 2023 SIX, P., M. CHIBANE, "Investment as a source of income" in *Inter-business-school Seminar, EM Lyon*, 2022, Lyon SIX, P., "Wealth Elasticity of Risk Aversion and Asset Allocation" in *32nd International Conference of the French Finance Association*, 2015, Cergy, France SIX, P., "Wealth Elasticity of Risk Aversion and Portfolio Management" in *Paris Financial Management Conference 2014*, *IPAG Business School*, 2014, France SIX, P., J.FOUQUAU, S.ATTAOUI, "Convenience yield and risk adjusted basis" in *Conference on Energy Finance (EF)*, 2013, Germany SIX, P., S.ATTAOUI, "Hedging demand for bequest motives" in *30th International French Finance Conference*, *EM Lyon Business School*, 2013, France SIX, P., "On The Shape Of Risk Aversion And Asset Allocation" in *AFFI, 2012 Spring Conference*, 2012, France SIX, P., "The Bond stock mix: a new insight" in *AFFI, 2011 Spring Conference*, 2011, France SIX, P., "A Jump-Diffusion Nominal Short Rate Model" in *AFFI 8th International Paris Finance Meeting*, 2008, France SIX, P., "Commodity derivatives pricing with an endogenous convenience yield market price of risk" in *AFFI, 2008 Spring Conference*, 2008, France SIX, P., "Dynamic strategies when consumption and wealth risk aversions differ" in *AFFI, 2007 Spring Conference*, 2007, France SIX, P., C.MELLIOS, "Traditional Hedging Model revisited with a non observable stochastic convenience yield" in *AFFI, 2006 Spring Conference*, 2006, France SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" in *AFFI, Conférence internationale Paris décembre 2005*, 2005, France ## Conference invitations CAO, W., P.SIX, S.ATTAOUI - "Capital structure and the optimal payment methods in acquisitions" - 2020, Lyon, France ## Conference contributions SCHNEIDER, L., B. TAVIN, P. SIX, "Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models" in *8th Commodity Markets Winter Workshop*, 2025, Zell am See, Austria Coauthorspresented SIX, P., M. DE BOURMONT, W. CAO, F. LARMANDE, J. VERNY, "A few ratios do not tell the whole story: financial statements informativeness evolution and bankruptcy prediction" in *American Accounting Association annual conference*, 2025, Chicago, United States SIX, P., W. CAO, X. DUAN, S. C. LINN, "New Tests of the Theory of Storage and the Theory of Normal Backwardation: Time and Frequency Dimensions" in *New Directions in Commodities Research Symposium*, 2025, Denver, United States Coauthorspresented DE BOURMONT, M., W. CAO, F. LARMANDE, P. SIX, J. VERNY, "Have financial statements become less informative? Yes, and no…Evidence from the ability of a new accounting model to predict bankruptcy" in *2024 French Accounting Association Annual Conference*, 2024, Dijon, France Coauthorspresented SCHNEIDER, L., B. TAVIN, P. SIX, "Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models" in *33rd European Conference on Operational Research*, 2024, Copenhagen, Denmark Coauthorspresented CAO, W., X. DUAN, P. SIX, S. C. LINN, "New Tests of the Theory of Storage and the Theory of Normal Backwardation: Time and Frequency Dimensions" in *Commodity Energy Markets Annual Conference, Boston University Questrom School of Business*, 2024, Boston, United States SIX, P., S. ATTAOUI, "Fundamentals of Sharpe ratios in storable commodity markets" in *Commodity Energy Markets Annual Conference, Budapest University of Technology and Economics*, 2023, Hungary SIX, P., S. OUZAN, "Under-hedging in the oil market: an explanation based on regret theory" in *6th Commodity Winter Workshop*, 2023, Skeikampen, Norway SIX, P., S. ATTAOUI, "Fundamentals of Sharpe ratios in storable commodity markets" in *NCCC-134: Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management*, 2023, Saint Louis, United States SIX, P., M. DE BOURMONT, W. CAO, F. LARMANDE, J. VERNY, "Bankruptcy prediction: a persistent model of cash flows based on Beaver’s theory of the reservoir" in *2023 International Conference in Finance, Banking and Accounting*, 2023, Montpellier, France AHN, J.-H., P.SIX, "Investing in commodity: Why duplicating inventories?" in *2017 Commodity Markets Winter Workshop*, 2017, Lillehammer, Norway AHN, J.-H., P.SIX, "Investing in commodity: why duplicating inventories?" in *International Conference on Energy, Finance and the Macroeconomy*, 2017, Montpellier, France AHN, J.-H., P.SIX, "Investing in commodities: why duplicating inventories?" in *Commodity Markets Conference*, 2016, Hannover, Germany AHN, J.-H., P.SIX, "Investing in commodities: why duplicating inventories" in *Energy and Commodity Finance Conference*, 2016, Paris, France Coauthorspresented AHN, J.-H., P.SIX, "Investing in Commodity: Why Duplicating Inventories" in *Commodity Markets Conference*, 2016, Hannovre, Germany SIX, P., "Correlation as a Pricing Factor for oil Derivatives" in *10th Energy and Finance Conference on "Energy Finance - Challenges and Opportunities"*, 2015, London, United Kingdom SIX, P., "Correlation as a Pricing Factor for oil Derivatives" in *5th INREC Conference - International Ruhr Energy Conference*, 2015, Essen, Germany FOUQUAU, J., P.SIX, "Convenience yield and adjusted basis stylized facts" in *2nd International Symposium on Energy and Finance*, 2014, Paris, France SIX, P., "On The Shape of Risk Aversion and Asset Allocation" in *Workshop in Honour of Professor William T. Ziemba*, 2013, France SIX, P., J.FOUQUAU, "Convenience yield and adjusted basis stylized facts" in *The 51st Meeting of the Euro Working Group on Commodities and Financial Modelling (EWGCFM)*, 2013, United Kingdom SIX, P., "Correlation as a pricing factor for oil derivatives" in *The 51st Meeting of the Euro Working Group on Commodities and Financial Modelling (EWGCFM)*, 2013, United Kingdom SIX, P., "Correlation as a pricing factor for oil derivatives" in *Conference on Energy Finance (EF)*, 2012, Norway SIX, P., "On the shape of risk aversion and asset allocation" in *Eastern Finance Association Annual Meeting*, 2012, United States SIX, P., "Tactical Commodity Allocation and The Theory of Storage" in *Eastern Finance Association Annual Meeting*, 2012, United States SIX, P., "A partial equilibrium for the convenience yield risk premium" in *ESE Energy and Finance Conference*, 2012, Netherlands SIX, P., "A partial equilibrium for the convenience yield risk premium" in *Eastern Finance Association Annual Meeting*, 2011, United States SIX, P., "A partial equilibrium for the convenience yield risk premium" in *50th Annual Meeting of the Southwestern Finance Association (SWFA)*, 2011, United States SIX, P., "The Bond-stock mix: a new insight" in *50th Annual Meeting of the Southwestern Finance Association (SWFA)*, 2011, United States LACOSTE, V., S.ATTAOUI, P.SIX, "A partial equilibrium for the convenience yield risk premium" in *ESE Energy & Finance conference*, 2011, Rotterdam, Netherlands Coauthorspresented SIX, P., "Dynamic strategies when consumption and wealth risk aversions differ" in *Eastern Finance Association Annual Meeting*, 2010, United States SIX, P., "The Bond-stock Mix: a new insight" in *EFMA, 2010 Annual Meeting (European Financial Management Association)*, 2010, Denmark SIX, P., "Traditional Hedging Model revistited with a non observable convenience yield" in *Eastern Finance Association Annual Meeting*, 2010, United States SIX, P., "The Bond-Stock mix: a new insight" in *Eastern Finance Association Annual Meeting*, 2010, United States SIX, P., C.MELLIOS, "The Traditional Hedging Model revisited with a non observable convenience yield" in *Brown-bag pole responsible finance, Rouen Business School*, 2010, Rouen, France SIX, P., "A Jump-Diffusion Nominal Short Rate Model" in *Quantitative Methods in Finance Conference*, 2009, Australia SIX, P., "Commodity derivatives pricing with an endogenous convenience yield market price of risk" in *EFM Symposium on Risk Management In Financial Institutions*, 2009, France SIX, P., C.MELLIOS, "Traditional Hedging Model revistited with a non observable convenience yield" in *22nd Annual Australasian Finance and Banking Conference (AFBC)*, 2009, Australia SIX, P., "Commodity derivatives pricing with an endogenous convenience yield market price of risk" in *11th Symposium on Finance, Banking and Insurance*, 2008, Germany SIX, P., "Dynamic strategies when consumption and wealth risk aversions differ" in *FMA European Conference (Financial Management Association)*, 2008, Czech Republic SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" in *EFM Symposium on Risk and Asset Management*, 2008, France SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" in *EFMA, Annual Meeting (European Financial Management Association)*, 2008, Greece SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" in *30th Anniversary of the Journal of Banking and Finance Conference*, 2006, China SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" in *Northern Finance Association - NFA*, 2006, Canada SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" in *Midwest Finance Association Annual Meeting*, 2006, United States SIX, P., C.MELLIOS, "Traditional Hedging Model revisited with a non observable stochastic convenience yield" in *18ème Congrès du réseau des IAE*, 2006, France ## Research seminars SIX, P., L. SCHNEIDER, B. TAVIN, "Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models" *ASMF Seminar, University of Amsterdam*. 2024, Amsterdam, Netherlands OUZAN, S., P. SIX, "Under-hedging in the oil market : an explanation based on regret theory" *NEOMA Business School-Finance Research Seminar*. 2022, Paris, France SIX, P., W. CAO, X. DUAN, S. C. LINN, "New Tests of the Theory of Storage and the Theory of Normal Backwardation: Time and Frequency Dimensions" *Finance Research Seminar-NEOMA Business School*. 2021, Paris, France SIX, P., "On the shape of risk aversion and asset allocation" *Seminar du CEFRA (Center for financial risk analysis)*. 2011, France SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" *Colloque doctoral inter universitaire en Finance*. 2007, France SIX, P., C.MELLIOS, "Quelle stratégie de couverture pour une entreprise sur les marchés à terme de matières premières ?" *Cinquième Journée de collaboration scientifique entre les Ecoles Doctorales en Gestion de l'Université Libre de Bruxelles et de l'Université Paris 1-Panthéon-Sorbonne*. 2007, Belgium