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LLEO Sébastien

HDR (Authorization to supervise research), Management, Finance

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Finance
HDR (Authorization to supervise research), Management, Finance

Sébastien Lleo is a Full 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
  • Financial markets

Recent academic contributions

  • 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 : 10.1016/j.jbank?n.2020.105759

Article

  • 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 : 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
  • 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 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
  • 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., P.-H.SALLE, "Cadre réglementaire et gestion d'actifs : impact sur la prise de risque", Analyse financière, July 2016, no. 60, pp. 34-37
  • 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., 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.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., 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, "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

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

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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