Guillaume Coqueret

Identifiants chercheurs

IdHAL :

guillaume-coqueret

ORCID :

0000-0002-1596-4086

IdRef :

115294554

ResearcherID :

I-6752-2019

Publications

Pré-publication, Document de travail (2)

The Multiverse Across Asset Classes: Design Uncertainty in Asset Allocations Arnaud Battistella,Jean-Charles Bertrand,Guillaume Coqueret,Nicholas Mcloughlin 2025 Pré-publication, Document de travail hal-05562972v1
Forking paths in financial economics Guillaume Coqueret 2023 Pré-publication, Document de travail hal-04326533v1

Article dans une revue (33)

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
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
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
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. ⟨10.3917/bmi3.174.0054⟩ Article dans une revue hal-04484998v1
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
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
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
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
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
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
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, 318-328 p. ⟨10.1016/j.econmod.2017.07.022⟩ Article dans une revue hal-02312228v1
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
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
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
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
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
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
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

Chapitre d'ouvrage (3)

The Determinants of Scope 3 Disclosure among Large Corporations Antoine Bonelli,Guillaume Coqueret,Anatoly Schmidt Sustainable Investing, World Scientific, 2024 Chapitre d'ouvrage hal-04665206v1
Enhancing Environment-driven Portfolios with Traditional Factors Guillaume Coqueret,Christian Morgenstern,James Kelly,Sascha Stiernegrip,Johannes Frey-Sköttet al. Climate Investing, ISTE Ltd, 191-212 p., 2022, ⟨10.1002/9781394192373.ch8⟩ Chapitre d'ouvrage hal-04325704v1
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, 129-148 p., 2019, 9781119522195. ⟨10.1002/9781119522225.ch7⟩ Chapitre d'ouvrage hal-02311104v1

Ouvrages (2)

Machine Learning for Factor Investing : Python Version Guillaume Coqueret,Tony Guida Chapman and Hall/CRC, 358 p., 2023, 978-1-00-312159-6. ⟨10.1201/9781003121596⟩ Ouvrages hal-04325774v1
Machine Learning for Factor Investing : R version Guillaume Coqueret,Tony Guida CRC Press, 341 p., 2020, 978-0-367-54586-4. ⟨10.1201/9781003034858⟩ Ouvrages hal-03188226v1

Communication dans un congrès (1)

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