Guillaume Coqueret

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

Compétences

sustainable finance machine learning financial economics portfolio optimization risk management

Publications

26
5
3
2
1
1
1
1
5
4
3
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
4
4
2
2
2
2
2
2
2
2
2
2
2
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
19
10
7
2
1
1
1

Publications

Image document

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-04792327 v1

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-04907526 v1
Image document

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-04325654 v1

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-04502033 v1

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-04430743 v1

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-04325720 v1

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-04484998 v1
Image document

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-04595355 v1
Image document

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-04325746 v1
Image document

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-04144588 v1
Image document

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-04144612 v1

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-03188222 v1
Image document

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-04144665 v1
Image document

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-02312310 v1

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-02011061 v1

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-02312228 v1

Empirical properties of a heterogeneous agent model in large dimensions

Guillaume Coqueret
Journal of Economic Dynamics and Control, 2017, 77, 180-201 p. ⟨10.1016/j.jedc.2017.02.003⟩
Article dans une revue hal-02312186 v1

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-02312225 v1

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-02312222 v1

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-02000726 v1

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-02000704 v1

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-02009875 v1

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-02312221 v1

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-02010659 v1

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-02009129 v1

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-02009600 v1

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-02312229 v1

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-02312226 v1

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-02024855 v1

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-02009587 v1

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-02312223 v1

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-02312227 v1

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-02312224 v1

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-02088097 v1