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Guillaume Coqueret

25
Documents
Affiliations actuelles
  • 301362
Identifiants chercheurs

Domaines de recherche


Compétences

sustainable finance machine learning financial economics portfolio optimization risk management

Publications

Machine Learning in Finance: From Theory to Practice : Book Review

Guillaume Coqueret
Quantitative Finance, 2021, 21 (1), 9-10 p
Article dans une revue hal-03188222v1
Image document

Procedural rationality, asset heterogeneity and market selection

Guillaume Coqueret , Bertrand Tavin
Journal of Mathematical Economics, 2019, 82, 125-149 p
Article dans une revue hal-02312310v1

Herding behavior among wine investors

Beysül Aytaç , Guillaume Coqueret , Cyrille Mandou
Economic Modelling, 2018, 68, pp.318-328. ⟨10.1016/j.econmod.2017.07.022⟩
Article dans une revue hal-02011061v1

Herding behavior among wine investors

Beysül Aytaç , Guillaume Coqueret , Cyrille Mandou
Economic Modelling, 2018, 68, 318-328 p. ⟨10.1016/j.econmod.2017.07.022⟩
Article dans une revue hal-02312228v1

Empirical properties of a heterogeneous agent model in large dimensions

Guillaume Coqueret
Journal of Economic Dynamics and Control, 2017, 77, 180-201 p
Article dans une revue hal-02312186v1

Approximate NORTA simulations for virtual sample generation

Guillaume Coqueret
Expert Systems with Applications, 2017, 73, 69-81 p
Article dans une revue hal-02312225v1

Equity Portfolios with Improved Liability-Hedging Benefits

Guillaume Coqueret , Lionel Martellini , Vincent Milhau
Journal of portfolio management, 2017, 43 (2), pp.37-49. ⟨10.3905/jpm.2017.43.2.037⟩
Article dans une revue hal-02009875v1

Equity Portfolios with Improved Liability-Hedging Benefits

Guillaume Coqueret , Lionel Martellini , Vincent Milhau
Journal of Portfolio Management, 2017, 43 (2), 37-49 p
Article dans une revue hal-02312222v1

Empirical properties of a heterogeneous agent model in large dimensions

Guillaume Coqueret
Journal of Economic Dynamics and Control, 2017, 77, pp.180-201. ⟨10.1016/j.jedc.2017.02.003⟩
Article dans une revue hal-02000726v1

Approximate NORTA simulations for virtual sample generation

Guillaume Coqueret
Expert Systems with Applications, 2017, 73, pp.69-81. ⟨10.1016/j.eswa.2016.12.027⟩
Article dans une revue hal-02000704v1

Characteristics-based portfolio choice with leverage constraints

Manuel Ammann , Guillaume Coqueret , Jan-Philip Schade
Journal of Banking & Finance, 2016, 70, 23-37 p. ⟨10.1016/j.jbankfin.2016.04.019⟩
Article dans une revue hal-02312221v1

An investigation of model risk in a market with jumps and stochastic volatility

Guillaume Coqueret , Bertrand Tavin
European Journal of Operational Research, 2016, 253 (3), pp.648-658 P
Article dans une revue hal-02313399v1

An investigation of model risk in a market with jumps and stochastic volatility

Guillaume Coqueret , Bertrand Tavin
European Journal of Operational Research, 2016, 253 (3), pp.648-658. ⟨10.1016/j.ejor.2016.03.018⟩
Article dans une revue hal-02010659v1

Characteristics-based portfolio choice with leverage constraints

Manuel Ammann , Guillaume Coqueret , Jan-Philip Schade
Journal of Banking and Finance, 2016, 70, pp.23-37. ⟨10.1016/j.jbankfin.2016.04.019⟩
Article dans une revue hal-02009129v1

On the supremum of the spectrally negative stable process with drift

Guillaume Coqueret
Statistics and Probability Letters, 2015, 107, 333-340 p
Article dans une revue hal-02312226v1

Optimal Wine Pricing for Restaurants

Guillaume Coqueret
Journal of Wine Economics, 2015, 10 (2), 204-224 p
Article dans une revue hal-02312229v1

Optimal Wine Pricing for Restaurants

Guillaume Coqueret
Journal of Wine Economics, 2015, 10 (02), pp.204-224. ⟨10.1017/jwe.2015.19⟩
Article dans une revue hal-02009600v1

On the supremum of the spectrally negative stable process with drift

Guillaume Coqueret
Statistics and Probability Letters, 2015, 107, pp.333-340. ⟨10.1016/j.spl.2015.09.012⟩
Article dans une revue hal-02024855v1

Diversified minimum-variance portfolios

Guillaume Coqueret
Annals of Finance, 2015, 11 (2), pp.221-241. ⟨10.1007/s10436-014-0253-x⟩
Article dans une revue hal-02009587v1

Diversified minimum-variance portfolios

Guillaume Coqueret
Annals of Finance, 2015, 11 (2), 221-241 p
Article dans une revue hal-02312223v1

Second order risk aggregation with the Bernstein copula

Guillaume Coqueret
Insurance: Mathematics and Economics, 2014, 58, 150-158 p
Article dans une revue hal-02312227v1

Lookback option prices under a spectrally negative tempered-stable model

Guillaume Coqueret
International Journal of Theoretical and Applied Finance, 2013, 16 (3)
Article dans une revue hal-02312224v1

Empirical properties of a heterogeneous agent model in large dimensions

Guillaume Coqueret
29th Australasian Finance and Banking Conference, Dec 2016, Sydney, Australia
Communication dans un congrès hal-02088097v1
Image document

Ensemble Learning Applied to Quant Equity: Gradient Boosting in a Multifactor Framework

Tony Guida , Guillaume Coqueret
Big Data and Machine Learning in Quantitative Investment, John Wiley & Sons, pp.129-148, 2019, 9781119522195. ⟨10.1002/9781119522225.ch7⟩
Chapitre d'ouvrage hal-02311104v1