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LLEO Sébastien

HDR (Authorization to supervise research), Management, Finance

Sébastien Lleo is an Associate Professor of Finance at NEOMA Business School. He holds a Ph.D. in Mathematics from Imperial College London, HDR in Social Science from Cnam, MBA from the University of Ottawa. Sébastien teaches finance, mathematics, and statistics internationally to undergraduate, graduate, and doctoral students, professionals, and executives. His research focuses on asset management, stochastic control and estimation, statistical machine learning, and capital markets. Selected articles appeared in Journal of Banking and Finance, SIAM Journal of Control and Optimization, International Journal of Forecasting, Quantitative Finance, and Journal of Portfolio Management. Sébastien was Director of NEOMA’s Doctoral School and lead researcher on a joint regional and European research project. He started his career at the Bank of Canada and CMHC. Sébastien is a CFA Charterholder, Certified Financial Risk Manager, Professional Risk Manager, and CQF alumnus.

 

Areas of research

  • Stochastic control and estimation
  • Stochastic machine learning
  • Asset management
  • Marchés de capitaux

Recent academic contributions

  • DAVIS, M., S.LLEO, "Debiased expert forecasts in continuous-time asset allocation", Journal of Banking and Finance, April 2020, vol. 113, pp. 105759
    DOI : 10.1016/j.jbank?n.2020.105759
  • 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

Academic Journals

  • DAVIS, M., S.LLEO, "Debiased expert forecasts in continuous-time asset allocation", Journal of Banking and Finance, April 2020, vol. 113, pp. 105759
    DOI : 10.1016/j.jbank?n.2020.105759
  • 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 : 10.1080/1351847X.2018.1521859
  • 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 : 10.3905/jpm.2018.1.078
  • 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
  • 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
  • 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
  • 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
  • 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., 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 for Combining Expert Opinion with Statistical Estimates to Achieve Superior Portfolio Performance", Journal of Portfolio Management, Summer 2016, vol. 42, pp. 49-58
  • 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. 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., 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., 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 Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model", SIAM Journal on Control and Optimization, April 2013, vol. 51, no. 2, pp. 1441-1480
  • 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, "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., 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., 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
  • 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., 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

Book chapter

  • 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., "Gestion des Risques" in Analyse Financière Internationale : Stratégie, Evaluation Financière et Gestion d’Actif., Catherine Karyotis Ed., Gualino Lextenso Editions, pp. 141-168, 2020
  • 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., 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., 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

Books

  • 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

Academic conferences

  • 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
  • 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
  • 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 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

Dissemination activity

  • 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., 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., W.ZIEMBA, "A Tale of Two Indices: Predicting Equity Market Downturns in China" in 10th International Risk Management Conference, 2017, Florence, Italy
  • 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., M.DAVIS, "Bachelier Finance Society, Ninth World Congress", 2016, New York, United States
  • LLEO, S., M.DAVIS, "Behavioralizing Black-Litterman" in GARP 17th Annual Risk Management Convention, 2016, New York, United States
  • LLEO, S., "Does the Bond-Stock earning Yield Differential Model Predict Equity Market Corrections Better" in 4th FEBS Conference, 2014, United Kingdom
  • LLEO, S., "Crossing Paths: The Profound Relation Between Mathematics and Finance" in EURAM, 14th Annual Conference, 2014, Spain
  • LLEO, S., "Crossing Paths: The Profound Relation Between Mathematics and Finance" in IFSAM, 2014, Japan
  • LLEO, S., "Behaviouralizing Black Litterman" in 8th Wold Congress of the Bachelier Finance Society, 2014
  • LLEO, S., "Behaviouralizing Black Litterman" in EURO Mini Conference on Stochastic Programming and Energy Applications, 2014, France
  • 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
  • LLEO, S., M.DAVIS, "Asset-Liability Management via Risk-Sensitive Control" in 13th International Conference on Stochastic Programming, 2013, Italy
  • 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
  • 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 Bachelier Finance Society, 7th World Congress, 2012, Australia
  • 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 Workshop on stochastic models and control, 2011, Germany
  • 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, "Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model" in Bachelier Finance Society, 6th World Congress, 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

Professional journals

  • LLEO, S., "Two to tango? Market data and opinions in investment management.", Finance Derivative, March 2020
  • THENOT, M., S.LLEO, "Le nombre est inviolable !", Neoma Alumni Review, September 2015

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