SIX
SIX Pierre
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.
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
10.1016/j.ejor.2015.10.045
SIX, P., "Strategic commodity allocation", Quantitative Finance, September 2014, vol. 15, no. 1, pp. 131-150
10.1080/14697688.2014.951386
SIX, P., "Interest rate risk hedging demand under a Gaussian framework", Journal of Financial Transformation, March 2010, no. 28, pp. 103-107
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
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
CAO, W., P.SIX, S.ATTAOUI - "Capital structure and the optimal payment methods in acquisitions" - 2020, Lyon, France
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
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
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 : https://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
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 : https://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
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
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
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
SIX, P., "Strategic commodity allocation", Quantitative Finance, September 2014, vol. 15, no. 1, pp. 131-150
DOI : 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