LLEO Sébastien
HDR (Authorization to supervise research), Management, Finance
Finance
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.
Areas of research
- Stochastic control and estimation
- Asset management
- Financial markets
- Statistical machine learning
Participation at an academic or professional conference
- 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
- 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, "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., 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, "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., 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., 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., M.DAVIS, "Behaviouralizing Black-Litterman: Expert Opinions and Behavioural Biases in a Diffusion Setting" 2015, Reims, France
- 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., M.DAVIS, "Behaviouralizing Black-Litterman: An Overview" 2014, 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., "Behaviouralizing Black Litterman" in EURO Mini Conference on Stochastic Programming and Energy Applications, 2014, France
- LLEO, S., M.DAVIS, "Black Litterman in Continuous Time: Further Work" Finance Department & Responsible Finance Research Group. 2013, 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
- 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
- LLEO, S., M.DAVIS, "Black-Litterman in Continuous Time" 2013, Reims, France
- LLEO, S., M.DAVIS, "Asset-Liability Management via Risk-Sensitive Control" in 13th International Conference on Stochastic Programming, 2013, Italy
- 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
- 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, G.ANDRUSZKIEWICZ, "Taming Animal Spirits: Risk Management with Behavioural Factors" Reims Management School Chapter Meeting. 2012, France
- DAVIS, M., S.LLEO, G.ANDRUSZKIEWICZ, "Taming Animal Spirits: Risk Management with Behavioural Factors" Research seminar, Value & Persuasion Research Centre. 2012, Reims, 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, "On the optimality of Kelly strategies" in Workshop on stochastic models and control, 2011, Germany
- LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management" Reims Management School Research Seminar. 2010, Reims, France
- LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management" Toulouse Business School Finance Seminar. 2010, Toulouse, France
- 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, "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" 2010, France
- 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, "Jump-Diffusion Risk-Sensitive Asset Management" MACSI Seminar. 2009, Ireland
- DAVIS, M., S.LLEO, "Jump-Diffusion Risk-Sensitive Asset Management" MACSI Seminars. 2009, Limerick, 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 Benchmarked Asset Management With Allocation Constraints" ICMA Centre, Henley Business School, University of Reading. 2009, Reading, United Kingdom
- 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., 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
- 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