Guillaume Coqueret

40
Documents
Affiliation actuelle
  • EMLyon Business School (EM)
Identifiants chercheurs

Compétences

sustainable finance machine learning financial economics portfolio optimization risk management

Publications

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Publications

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The biodiversity premium

Guillaume Coqueret , Thomas Giroux , Olivier David Zerbib

Ecological Economics, 2025, 228, 14 p. ⟨10.1016/j.ecolecon.2024.108435⟩

Article dans une revue hal-04792327v1

Cross-Asset Climate Betas

Jean-Charles Bertrand , Guillaume Coqueret , Nicholas Mcloughlin , Stéphane Mesnard

Journal of portfolio management, 2025, 51 (5), 143-163 p. ⟨10.3905/jpm.2025.1.672⟩

Article dans une revue hal-04907526v1
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International market exposure to sovereign ESG

Christian Morgenstern , Guillaume Coqueret , James Kelly

Journal of Sustainable Finance & Investment, 2024, 14 (4), 968-987 p. ⟨10.1080/20430795.2022.2148817⟩

Article dans une revue hal-04325654v1

Interpretable Supervised Portfolios

Guillaume Chevalier , Guillaume Coqueret , Thomas Raffinot

The Journal of Financial Data Science, 2024, 6 (2), 10-34 p. ⟨10.3905/jfds.2024.1.154⟩

Article dans une revue hal-04502033v1
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The biodiversity premium

Guillaume Coqueret , Thomas Giroux , Olivier David Zerbib

Ecological Economics, 2024, 228, pp.108435. ⟨10.1016/j.ecolecon.2024.108435⟩

Article dans une revue hal-05415060v1

The Impact of Climate Change Risk on Long-Term Asset Allocation

Jean-Charles Bertrand , Guillaume Coqueret , Nicholas Mcloughlin , Stéphane Mesnard

Journal of portfolio management, 2024, 50 (5), 238-263 p. ⟨10.3905/jpm.2024.1.586⟩

Article dans une revue hal-04430743v1

Dynamic decision making with predictive panels

Guillaume Coqueret , Bertrand Tavin

Journal of the Operational Research Society, 2024, 75 (6), 1055-1075 p. ⟨10.1080/01605682.2023.2231488⟩

Article dans une revue hal-04325720v1

The large effects of small compounded adjustments

Guillaume Coqueret

Bankers Markets & Investors : an academic & professional review, 2024, 174 (3), 54-59 p

Article dans une revue hal-04484998v1
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Unexpected opportunities in misspecified predictive regressions

Guillaume Coqueret , Romain Deguest

European Journal of Operational Research, 2024, 318 (2), 686-700 p. ⟨10.1016/j.ejor.2024.05.044⟩

Article dans une revue hal-04595355v1
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ESG news spillovers across the value chain

Vu Le Tran , Guillaume Coqueret

Financial Management, 2023, 52 (4), 677-710 p. ⟨10.1111/fima.12431⟩

Article dans une revue hal-04325746v1
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Supervised portfolios

Guillaume Chevalier , Guillaume Coqueret , Thomas Raffinot

Quantitative Finance, 2022, 22 (12), pp.2275-2295. ⟨10.1080/14697688.2022.2122543⟩

Article dans une revue hal-04144588v1
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Scopes of carbon emissions and their impact on green portfolios

Théophile Anquetin , Guillaume Coqueret , Bertrand Tavin , Lou Welgryn

Economic Modelling, 2022, 115, pp.105951. ⟨10.1016/j.econmod.2022.105951⟩

Article dans une revue hal-04144612v1

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

Guillaume Coqueret

Quantitative Finance, 2021, 21 (1), 9-10 p. ⟨10.1080/14697688.2020.1828609⟩

Article dans une revue hal-03188222v1
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Training trees on tails with applications to portfolio choice

Guillaume Coqueret , Tony Guida

Annals of Operations Research, 2020, 288 (1), pp.181-221. ⟨10.1007/s10479-020-03539-2⟩

Article dans une revue hal-04144665v1
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Procedural rationality, asset heterogeneity and market selection

Guillaume Coqueret , Bertrand Tavin

Journal of Mathematical Economics, 2019, 82, 125-149 p. ⟨10.1016/j.jmateco.2019.02.001⟩

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

Equity Portfolios with Improved Liability-Hedging Benefits

Guillaume Coqueret , Lionel Martellini , Vincent Milhau

Journal of Portfolio Management, 2017, 43 (2), 37-49 p. ⟨10.3905/jpm.2017.43.2.037⟩

Article dans une revue hal-02312222v1

Approximate NORTA simulations for virtual sample generation

Guillaume Coqueret

Expert Systems with Applications, 2017, 73, 69-81 p. ⟨10.1016/j.eswa.2016.12.027⟩

Article dans une revue hal-02312225v1

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

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 istex hal-02000726v1

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

Characteristics-based portfolio choice with leverage constraints

Manuel Ammann , Guillaume Coqueret , Jan-Philip Schade

Journal of banking & finance = Journal of banking and 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. ⟨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 & finance = Journal of banking and finance, 2016, 70, pp.23-37. ⟨10.1016/j.jbankfin.2016.04.019⟩

Article dans une revue hal-02009129v1

Optimal Wine Pricing for Restaurants

Guillaume Coqueret

Journal of Wine Economics, 2015, 10 (2), 204-224 p. ⟨10.1017/jwe.2015.19⟩

Article dans une revue hal-02312229v1

On the supremum of the spectrally negative stable process with drift

Guillaume Coqueret

Statistics and Probability Letters, 2015, 107, 333-340 p. ⟨10.1016/j.spl.2015.09.012⟩

Article dans une revue hal-02312226v1

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

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

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), 221-241 p. ⟨10.1007/s10436-014-0253-x⟩

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. ⟨10.1016/j.insmatheco.2014.07.002⟩

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), ⟨10.1142/S021902491350012X⟩

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