LLEO
LLEO
HDR (Authorization to supervise research), Management, Finance
Sébastien Lleo, Ph.D., is a professor of quantitative finance at NEOMA Business School in France, known for his extensive international expertise in academia and the financial sector. With a research portfolio encompassing investment management, stochastic control, statistical machine learning, behavioral finance, and risk management, Sébastien has made significant contributions through numerous publications and co-authored books. As an accomplished educator, he has successfully taught a diverse range of international audiences, from business students to seasoned professionals and executives. His ability to connect with students from various backgrounds and levels of expertise has been highly valued throughout his career. Alongside his passion for finance, he has a deep personal interest in world history, finding inspiration and intellectual stimulation within the narratives of the past.
Notable achievements include serving as the inaugural Director for NEOMA's Doctoral School, where he spearheaded the development of a groundbreaking Ph.D. in Management and a DBA program. He also led the coordination of the RISKPERFORM project, a venture supported by Région Champagne Ardenne and FEDER. Additionally, he has designed a sophisticated risk analytics system for CMHC Pension Fund, showcasing his practical expertise.
Sébastien's dedication to interdisciplinary learning, along with his academic credentials (Ph.D. in Mathematics, HDR in Social Science and Humanities, and IMBA) and prestigious certifications (CFA Charterholder, Certified Financial Risk Manager, Professional Risk Manager, and CQF alumnus), have established him as a respected academic figure.
LLEO, S., M.DAVIS, "Black Litterman in continuous time: the case for filtering", Quantitative Finance Letters, July 2013, no. 1, pp. 30-35
10.1080/21649502.2013.803794
LLEO, S., W.ZIEMBA, "Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world", International Journal of Forecasting, April 2015, vol. 31, no. 2, pp. 399-425
10.1016/j.ijforecast.2015.02.001
LLEO, S., M.DAVIS, "Risk-sensitive Benchmarked Asset Management", Quantitative Finance, June 2008, no. 4, pp. 415-426
DAVIS, M., S. LLEO, "Jump-Diffusion Risk-Sensitive Benchmarked Asset Management with Traditional and Alternative Data" NEOMA Business School Finance Seminar. 2021, Paris, France
LLEO, S., W. T. ZIEMBA, J. LI, "Exploring Breaks in the Distribution of Stock Returns: Empirical Evidence from Apple Inc." NEOMA Business School Finance Seminar. 2020, Reims - Rouen - Paris, France
LLEO, S., M.DAVIS, "Big Data + Risk-Sensitive Optimization = Stress-Free Retirement Plan?" NEOMA Research Day, NEOMA Business School. 2018, Paris, France
LLEO, S., M.DAVIS, "Behaviouralizing Black-Litterman: Expert Opinions and Behavioural Biases in a Diffusion Setting" 2015, Reims, France
LLEO, S., W.ZIEMBA, "Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better than High P/E Models?" 2014, Zurich, Switzerland
LLEO, S., M.DAVIS, "Behaviouralizing Black-Litterman: An Overview" 2014, Reims, France
LLEO, S., M.DAVIS, "Black-Litterman in Continuous Time" 2013, Reims, France
LLEO, S., M.DAVIS, "Black Litterman in Continuous Time: Further Work" Finance Department & Responsible Finance Research Group. 2013, France
DAVIS, M., S.LLEO, G.ANDRUSZKIEWICZ, "Taming Animal Spirits: Risk Management with Behavioural Factors" Research seminar, Value & Persuasion Research Centre. 2012, Reims, France
LLEO, S., M.DAVIS, G.ANDRUSZKIEWICZ, "Taming Animal Spirits: Risk Management with Behavioural Factors" Reims Management School Chapter Meeting. 2012, France
DAVIS, M., S.LLEO, "On the Optimality of Kelly Strategies" Dublin City University. 2011, Dublin, Ireland
DAVIS, M., S.LLEO, "On the Optimality of Kelly Strategies" Frankfurt School of Finance & Management Quantitative Finance Seminar. 2011, Frankfurt, Germany
LLEO, S., M.DAVIS, "On the optimality of Kelly strategies" Quant talks seminar series. 2011, Germany
LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management" Toulouse Business School Finance Seminar. 2010, Toulouse, France
LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management" Reims Management School Research Seminar. 2010, Reims, France
LLEO, S., M.DAVIS, "Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model" 2010, France
DAVIS, M., S.LLEO, "Jump-Diffusion Risk-Sensitive Asset Management" MACSI Seminars. 2009, Limerick, Ireland
LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management" 31. Joint Humboldt Universität - TU Berlin Research Seminar on Stochastic Analysis and Stochastics of Financial Market. 2009, Berlin, Germany
LLEO, S., M.DAVIS, "Risk-Sensitive Benchmarked Asset Management With Allocation Constraints" ICMA Centre, Henley Business School, University of Reading. 2009, Reading, United Kingdom
LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management" MACSI Seminar. 2009, Ireland
LLEO, S., M.DAVIS, "Risk-Sensitive Asset and Liability Management: Initial Thoughts" Summer Term 2009. 2009
LLEO, S., M.DAVIS, "Stochastic Analysis and Stochastics of Financial Market" Joint Humboldt Universität - TU Berlin Research Seminar. 2009, Germany
LLEO, S., M.DAVIS, "Risk-Sensitive Investment Management: Overview and Applications" Cambridge Finance Seminars, University of Cambridge. 2008, Cambridge, United Kingdom
LLEO, S., M.DAVIS, "Risk-Sensitive Asset Management" Cambridge Finance Seminars. 2008
LLEO, S., "Risk-Sensitive Asset Management: an Overview" Joint LSE (London School of Economics) - King's College - Imperial College PhD Student Conference in Mathematical Finance. 2006
LLEO, S., W. WOLFGANG RUNGGALDIER, "Reinforcement Learning Methods for Risk-Sensitive Investment Management" in European Conference on Stochastic Optimization and Computational Management Science (ECSO-CMS 2024), 2024, Stockholm, Sweden
LLEO, S., W. WOLFGANG RUNGGALDIER, "Reinforcement Learning Methods for Risk-Sensitive Investment Management" in 33rd European Conference on Operational Research (EURO), 2024, Copenhagen, Denmark
LLEO, S., W. WOLFGANG RUNGGALDIER, "On the Separation of Estimation and Control in Risk Sensitive Investment Problems under Incomplete Observation" in MathRisk Conference on Numerical Methods in Finance, 2023, Udine, Italy
LLEO, S., M. DAVIS, "Jump-Diffusion Risk-Sensitive Benchmarked Asset Management with Traditional and Alternative Data" in Eleventh World Congress of the Bachelier Finance Society, 2022, Honk-Kong, China
LLEO, S., M. DAVIS, "Jump-Diffusion Risk-Sensitive Benchmarked Asset Management with Traditional and Alternative Data" in 32nd EURO Conference, 2022, Espoo, Finland
DAVIS, M., S. LLEO, "Risk-Sensitive Benchmarked Asset Management with Expert Forecasts" in 37th International Conference of the French Finance Association, 2021, Online, France
LLEO, S., W. T.ZIEMBA, "A Statistical Run Around The Apple Tree What can changepoints tell us about stock returns?" in French Inter Business Schools Seminar in Finance, 2020, Lyon, France
LLEO, S., M.DAVIS, "Term Structure of Expert Opinions" in 10th World Congress of the Bachelier Finance Society, 2018, Dublin, Ireland
LLEO, S., W.ZIEMBA, "A Tale of Two Indices: Predicting Equity Market Downturns in China" in 34th International Conference of the French Finance Association, 2017, Valence, France
LLEO, S., W.ZIEMBA, "A Tale of Two Indices: Predicting Equity Market Downturns in China" in 10th International Risk Management Conference, 2017, Florence, Italy
LLEO, S., M.DAVIS, "Workshop on Log Optimal Growth & Kelly Strategy, UNICOM Conference on AI, Machine Learning and Sentiment Analysis Applied to Finance", 2017, London, United Kingdom
LLEO, S., M.DAVIS, "Behavioralizing Black-Litterman" in GARP 17th Annual Risk Management Convention, 2016, New York, United States
LLEO, S., M.DAVIS, "Bachelier Finance Society, Ninth World Congress", 2016, New York, United States
LLEO, S., "Behaviouralizing Black Litterman" in EURO Mini Conference on Stochastic Programming and Energy Applications, 2014, France
LLEO, S., "Behaviouralizing Black Litterman" in 8th Wold Congress of the Bachelier Finance Society, 2014
LLEO, S., "Crossing Paths: The Profound Relation Between Mathematics and Finance" in IFSAM, 2014, Japan
LLEO, S., "Crossing Paths: The Profound Relation Between Mathematics and Finance" in EURAM, 14th Annual Conference, 2014, Spain
LLEO, S., "Does the Bond-Stock earning Yield Differential Model Predict Equity Market Corrections Better" in 4th FEBS Conference, 2014, United Kingdom
LLEO, S., M.DAVIS, "Asset-Liability Management via Risk-Sensitive Control" in 13th International Conference on Stochastic Programming, 2013, Italy
LLEO, S., G.ANDRUSZKIEWICZ, M.DAVIS, "Taming Animal Spirits: Risk Management with Behavioural Factors" in Workshop on Modeling Market Dynamics and Equilibrium - New Challenges, New Horizons, Hausdorff Trimester Program on Stochastic Dynamics in Economics and Finance, 2013, Germany
DAVIS, M., S.LLEO, "Asset-Liability Management via Risk-Sensitive Control Diffusion Processes: The Easy Case..." in Workshop in Honour of Professor William T. Ziemba, 2013, Reims, France
FIMBEL, E., C.KARYOTIS, S.LLEO, "Improving financial institution: the proper balance between regulation and governance" in Systemic risk, a problem for the whole of society, 2012, Finland
LLEO, S., M.DAVIS, "On the Optimality of Kelly Strategies" in Bachelier Finance Society, 7th World Congress, 2012, Australia
DUBREUILLE, S., S.LLEO, S.MCHAWRAB, "Schwartz and Moon Valuation Model: Evidence from IT Companies" in Midwest Finance Association Annual Meeting, 2012, United States
LLEO, S., M.DAVIS, "On the optimality of Kelly strategies" in Workshop on stochastic models and control, 2011, Germany
LLEO, S., M.DAVIS, "Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model" in Bachelier Finance Society, 6th World Congress, 2010, Canada
LLEO, S., M.DAVIS, "Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model" in 12th Conference on Stochastic Programming (SPXII), 2010, Canada
LLEO, S., M.DAVIS, "Jump Diffusion Risk-Sensitive Control" in Modern Trends in Controlled Stochastic Jump Processes: Theory and Applications, 2010, United Kingdom
LLEO, S., M.DAVIS, "A Viscosity Approach to Jump-Diffusion Risk-Sensitive Asset Management" in Bachelier Finance Society, 5th World Congress, 2008, United Kingdom
LLEO, S., M.DAVIS, "Risk-Sensitive Asset Management" in 11th Conference on Stochastic Programming (SPXI), 2007, Austria
LLEO, S., M.DAVIS, "Risk-Sensitive Benchmarked Investment Management" in Joint LSE - King’s College - Imperial College PhD Student Conference in Mathematical Finance, 2006, London, United Kingdom
ZIEMBA, W., M.ZHITLUKHIN, S.LLEO, Stock Market Crashes: Predictable and Unpredictable and What to do About Them, World Scientific Publishing Company, London, 2017
LLEO, S., M. DAVIS, Risk-Sensitive Investment Management, World Scientific Publishing Company, 2014
LLEO, S., Risk Management: A Review, The Research Foundation of CFA Institute, 2009
LLEO, S., W. WOLFGANG RUNGGALDIER - "On the Separation of Estimation and Control in Risk-Sensitive Investment Problems under Incomplete Observation" - 2024, Copenhagen, Denmark
LLEO, S., W. WOLFGANG RUNGGALDIER - "Reinforcement Learning Methods for Risk-Sensitive Investment Management" - 2024, Sydney, Australia
LLEO, S. - "Comment combiner opinions d’experts et modèle pour la prise de décision en univers incertain, avec applications à l’allocation stratégique d’actifs" - 2023, Reims, France
LLEO, S. - "Risk-Sensitive Investment Management: A Guide for Quants" - 2023, Online, United Kingdom
LLEO, S., W. WOLFGANG RUNGGALDIER - "On the Separation of Estimation and Control in Risk-Sensitive Investment Problems under Incomplete Observation, 68th Euro Working Group for Commodity and Financial Modelling (EWGCFM) Conference" - 2023, Abu Dhabi, United Arab Emirates
LLEO, S., M.DAVIS - "Two to Tango: Market Data and Expert Opinions in Portfolio Construction" - 2019, Sydney, Australia
LLEO, S., M.DAVIS - "On the Optimality of the Kelly Criterion" - 2011, Workshop on Stochastic Models and Control, Karlsruhe Institute of Technology, Germany
LLEO, S., J.LI, "Finance & Mathématiques : Fusion ou Acquisition?" in Conference “La Finance Responsable” , France Stratégie & Plateforme SRE, 2019
LLEO, S., M.DAVIS, "Behaviouralizing Black-Litterman", European Academy of Management, 2016
LLEO, S., M. DAVIS, "Behaviouralizing Black-Litterman - Part 1" in 45th , Annual Conference of the Italian Operations Research Society (AIRO), 2015, Italy
ALLES RODRIGUES, A., S. LLEO, "Combining Standard and Behavioral Portfolio Theories: A Practical and Intuitive Approach" in 2015, Meeting of World Finance Conference, 2015, Buenos Aires, Argentina
ALLES RODRIGUES, A., S. LLEO, "Combining Standard and Behavioral Portfolio Theories: A Practical and Intuitive Approach" in 5th, International Conference of the Financial Engineering and Banking Society (FEBS), 2015, Nantes, France
ALLES RODRIGUES, A., S. LLEO, "Integrating Black-Litterman and the Mental Accounting Framework: A Sensible and Intuitive Approach" in 8th , World Congress of the Bachelier Finance Society, 2015, Bruxelles, Belgium
LLEO, S., M.DAVIS, "Behaviouralizing Black-Litterman: Expert Opinions and Behavioural Biases in a Diffusion Setting", EMLYON Quant 12 workshop, 2015, Lyon, France
LLEO, S., M.DAVIS, "Behaviouralizing Black-Litterman" in 22nd, International Symposium on Mathematical Programming (ISMP), 2015, Pittsburgh
LLEO, S., M.DAVIS, "Behaviouralizing Black Litterman Part 1", International Conference of the Financial Engineering and Banking Society (FEBS), 2015
FIMBEL, E., C. KARYOTIS, S. LLEO, "The Systemic Dimension of the Systemic Risk" in 3nd International Conference of the Financial Engineering and Banking Society (F.E.B.S.) sur le theme Financial Regulation and Systemic Risk, ESCP Europe, 2013, France
LLEO, S., W.ZIEMBA, "Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better Than High P/E Models?" in Workshop on Stochastic Optimization, Hausdorff Trimester Program on Stochastic Dynamics in Economics and Finance, 2013, Germany
LLEO, S., M.DAVIS, "Fractional Kelly Strategies in Continuous Time : Recent Developments" in Workshop on Stochastic Optimization, Hausdorff Trimester Program on Stochastic Dynamics in Economics and Finance, 2013, Germany
LLEO, S., M.DAVIS, "Optimality of Fractional Kelly Strategies and their use in Lowering Short Term Risk" in Financial Management Association (FMA) Annual Meeting, 2013, United States
FOURNEAUX, S., S. DUBREUILLE, S. LLEO, "Is Real Estate a Good Way to Diversify in Times of Financial Crisis?" in III World Finance Conference, 2012, Brazil
LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management" in Modern trends in controlled stochastic jump processes: theory and applications, University of Liverpool, 2010
LLEO, S., M.DAVIS, "Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach" in KIER-TMU International Workshop on Financial Engineering 2009, 2009, Japan
LLEO, S., "Gestion des Risques" in Analyse Financière Internationale : Stratégie, Evaluation Financière et Gestion d’Actif., Catherine Karyotis Ed., Gualino Lextenso Editions, pp. 141-168, 2020
ZIEMBA, W. T., S.LLEO, M.ZHITLUKHIN, "A Stopping Rule Model for Exiting Bubble-like Markets with Applications" in The World Scientific Handbook of Investment Research., John B. Guerard and William T. Ziemba Ed., World Scientific Publishing Company, pp. 635-659, 2020
LLEO, S., W., T.ZIEMBA, "The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?" in Portfolio Construction, Measurement, and Efficiency: Essays in Honor of Jack Treynor., Guerard Jr., John B. Eds, Springer, 2016
DOI : 10.1007/978-3-319-33976-4
LLEO, S., J.LI, "Finance and Mathematics: Merger or Acquisitions?" in Book Series: Critical Studies on Corporate Responsibility, Governance and Sustainability, Volume 11 - Finance and Economy for Society: Integrating Sustainability., Sharam Alijani, Catherine Karyotis Eds, Emerald Group Publishing Limited, pp. 93 - 121, 2016
LLEO, S., W.ZIEMBA, "How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments" in The World Scientific Handbook of Futures Markets., A. MALLIARIS and W. ZIEMBA Ed., World Scientific Publishing Company, 2015
LLEO, S., W.ZIEMBA, "Stock Market Crashes in 2007-2009: Were We Able to Predict Them?" in Managing and Measuring Risk., O. ROGGI and E. ALTMAN Ed., World Scientific Publishing Company, pp. 457-499, 2013
LLEO, S., M.DAVIS, "Fractional Kelly Strategies in Continuous Time: Recent Developments" in Handbook of the Fundamentals of Financial Decision Making., L.MACLEAN and W. ZIEMBA Ed., World Scientific Publishing Company, pp. 753-788, 2013
DAVIS, M., S.LLEO, "Jump-Diffusion Risk-Sensitive Benchmarked Asset Management" in Stochastic Programming: Applications in Finance, Energy, Planning and Logistics., H. GASSMAN, L. MACLEAN and W. ZIEMBA Eds, World Scientific Publishing Company, pp. 97-127, 2012
DAVIS, M., S.LLEO, "Fractional Kelly Strategies for Benchmarked Asset Management" in The Kelly Capital Growth Investment Criterion: Theory and Practice., L. MACLEAN, E. THORP and W. ZIEMBA Eds, World Scientific Publishing Company, 2011
LLEO, S., "Risk Management: A Review" in Risk Management: Foundations For a Changing Financial World., W. HASLETT Jr. Ed., John Wiley & Sons, 2010
DAVIS, M., S.LLEO, "Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach" in Recent Advances in Financial Engineering 2009: Proceedings of the KIER-TMU International Workshop on Financial Engineering 2009., M. KIJIMA, C. HARA, K. TANAKA, Y. MUROMACHI Eds, World Scientific Publishing Company, 2010
LLEO, S. - "Machine Learning: An Applied Mathematics Introduction by Paul Wilmott," - 2020, Quantitative Finance
LLEO, S. - "Infinite Powers: The Story of Calculus - The Language of the Universe” by Steven Strogatz" - 2020, Quantitative Finance
LLEO, S. - "Stochastic Disorder Problems” by Albert N. Shiryaev" - 2020, Quantitative Finance
LLEO, S. - "Applied Stochastic Control of Jump Diffusions” by Bernt Øksendal and Agnès Sulem" - 2020, Quantitative Finance
LLEO, S. - "Gods and Robots: Myths, Machines, and Ancient Dreams of Technology, by Adrienne Mayor" - 2019, Quantitative Finance
DOI : https://doi.org/10.1080/14697688.2019.1591632
LLEO, S. - "The Art of Statistics, by David Spiegelhalter" - 2019, Quantitative Finance
LLEO, S. - "Asymptotic Theory of Transaction Costs, by Walter Schachermayer" - 2018, Quantitative Finance
DOI : https://doi.org/10.1080/14697688.2018.1475617
LLEO, S. - "Financial and Macroeconomic Connectedness, by Francis X. Diebold and Kamil Yilmaz, Book Review" - 2018, Quantitative Finance
DOI : https://doi.org/10.1080/14697688.2018.1533080
LLEO, S., L. MACLEAN, "Dual dominance: how Harry Markowitz and William Ziemba impacted portfolio management", Annals of Operations Research, March 2025, vol. 346, no. 1, pp. 181–216
DOI : https://doi.org/10.1007/s10479-024-06281-1
LLEO, S., L. MACLEAN, "Portfolio Wisdom from Legends: Insights from Harry Markowitz and William Ziemba", Wilmott, March 2025, no. 136
DOI : 10.54946/wilm.12123
LLEO, S., M. DAVIS, "Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data", Annals of Operations Research, January 2024, vol. 336, pp. 661–689
DOI : https://doi.org/10.1007/s10479-022-05130-3
LLEO, S., W. T. ZIEMBA, J. LI, "Do Factor Models Explain Breaks in the Distribution of Equity Returns?", Journal of Portfolio Management, April 2024, vol. 50, no. 4
DOI : 10.3905/jpm.2023.1.568
LLEO, S., W. J. RUNGGALDIER, "On the separation of estimation and control in risk-sensitive investment problems under incomplete observation", European Journal of Operational Research, July 2024, vol. 316, no. 1, pp. 200-214
DOI : 10.1016/j.ejor.2024.01.044
LLEO, S., W. T. ZIEMBA, "Crash Prediction Using Fundamental Variables: Evidence from Mainland China", Journal of Prediction Markets, July 2023, vol. 17, no. 1, pp. 85-115
DOI : https://doi.org/10.5750/jpm.v17i1.2039
LLEO, S., "Risk-Sensitive Investment Management: A Guide for Quants", Wilmott, November 2023, vol. 128, pp. 80-88
LLEO, S., M. ZHITLUKHIN, W. ZIEMBA, "Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction", Journal of Portfolio Management, November 2022, vol. 49, no. 1, pp. 172-197
DOI : 10.3905/jpm.2022.1.429
LLEO, S., M. DAVIS, "Risk-sensitive benchmarked asset management with expert forecasts", Mathematical Finance, October 2021, vol. 31, no. 4, pp. 1162-1189
DOI : 10.1111/mafi.12310
DAVIS, M., S.LLEO, "Debiased expert forecasts in continuous-time asset allocation", Journal of Banking and Finance, April 2020, vol. 113, pp. 105759
DOI : https://doi.org/10.1016/j.jbank?n.2020.105759
LLEO, S., "Two to tango? Market data and opinions in investment management.", Finance Derivative, March 2020
LLEO, S., W. T.ZIEMBA, "Can Warren Buffett forecast equity market corrections?", The European Journal of Finance, March 2019, vol. 25, no. 4, pp. 369-393
DOI : https://doi.org/10.1080/1351847X.2018.1521859
ALLES RODRIGUES, A., S.LLEO, "Combining standard and behavioral portfolio theories: a practical and intuitive approach", Quantitative Finance, May 2018, vol. 18, no. 5, pp. 707-717
DOI : 10.1080/14697688.2017.1401225
LLEO, S., W., T.ZIEMBA, "Predicting Stock Market Crashes in China", Journal of Portfolio Management, Spring 2018, vol. 44, no. 5, pp. 125-135
DOI : https://doi.org/10.3905/jpm.2018.1.078
LLEO, S., W.ZIEMBA, "Does the Bond-Stock Earnings Yield Differential Model Predict Equity Market Corrections Better Than High P/E Models?", Financial Markets, Institutions and Instruments, May 2017, vol. 26, no. 2, pp. 61-123
DOI : 10.1111/fmii.12080
DAVIS, M., G.ANDRUSZKIEWICZ, S.LLEO, "Risk-sensitive investment in a finite-factor model", Stochastics: An International Journal of Probability and Stochastic Reports, 2016, vol. 88
DAVIS, M., S.LLEO, "A Simple Procedure for Combining Expert Opinion with Statistical Estimates to Achieve Superior Portfolio Performance", Journal of Portfolio Management, Summer 2016, vol. 42, pp. 49-58
LLEO, S., W. T.ZIEMBA, "The bond-stock earnings yield model for stock market crash prediction: the basic idea and early applications", Quantitative Finance Letters, 2016, vol. 4, no. 1, pp. 19-25
DOI : 10.1080/21649502.2015.1165893
LLEO, S., W. T.ZIEMBA, "The bond-stock earnings yield differential model: additional applications and other models for stock market crash prediction", Quantitative Finance Letters, 2016, vol. 4, no. 1, pp. 26-34
DOI : 10.1080/21649502.2015.1165905
DAVIS, M., S.LLEO, "A simple procedure to incorporate predictive models in a continuous time asset allocation", Quantitative Finance Letters, 2016, vol. 4, no. 1, pp. 40-46
DOI : 10.1080/21649502.2015.1165906
LLEO, S., P.-H.SALLE, "Cadre réglementaire et gestion d'actifs : impact sur la prise de risque", Analyse financière, July 2016, no. 60, pp. 34-37
LLEO, S., W.ZIEMBA, "Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world", International Journal of Forecasting, April 2015, vol. 31, no. 2, pp. 399-425
DOI : 10.1016/j.ijforecast.2015.02.001
LLEO, S., M.DAVIS, "Jump-Diffusion Asset-Liability Management via Risk-Sensitive Control", OR Spectrum, 2015, vol. 37, no. 3, pp. 655-675
DOI : 10.1007/s00291-014-0371-x
THENOT, M., S.LLEO, "Le nombre est inviolable !", Neoma Alumni Review, September 2015
LLEO, S., W.ZIEMBA, "The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?", International Journal of Financial Studies, 2015, vol. 3, no. 3, pp. 351-380
DOI : 10.3390/ijfs3030351
LLEO, S., G.ANDRUSZKIEWICZ, M.DAVIS, "Estimating Animal Spirits: Conservative Risk Calculations", Quantitative Finance Letters, 2014, vol. 2, pp. 14-21
DOI : 10.1080/21649502.2014.946234
LLEO, S., M.DAVIS, "Black Litterman in continuous time: the case for filtering", Quantitative Finance Letters, July 2013, no. 1, pp. 30-35
DOI : 10.1080/21649502.2013.803794
LLEO, S., G.ANDRUSZKIEWICZ, M.DAVIS, "Taming Animal Spirits: Risk Management with Behavioural Factors", Annals of Finance, May 2013, no. 2, pp. 145-166
LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model", SIAM Journal on Control and Optimization, April 2013, vol. 51, no. 2, pp. 1441-1480
DUBREUILLE, S., S.FOURNEAUX, S.LLEO, "Is Real Estate a Good Way to Diversify in Times of Financial Crisis?", International Research Journal of Applied Finance, March 2012, vol. 3, no. 3, pp. 364-375
LLEO, S., E.FIMBEL, S.GUIDICI, C.KARYOTIS, "Societal and Interdisciplinary Reading of Systemic Risk / Une lecture sociétale et interdisciplinaire du risque systémique", Resaddersse International, December 2012, no. 10, pp. 12-31
LLEO, S., W.ZIEMBA, "Stock market crashes in 2007-2009: were we able to predict them?", Quantitative Finance, August 2012, no. 8, pp. 1161-1187
LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model", SIAM Journal on Applied Mathematics, March 2011, vol. 2, no. 1, pp. 22-54
LLEO, S., M.DAVIS, "Risk-sensitive Benchmarked Asset Management", Quantitative Finance, June 2008, no. 4, pp. 415-426