![](https://neoma-bs.fr/sites/default/files/uploaded_images/profs-neoma_0.png)# SIX Pierre { "@context": "https://schema.org", "@type": "BreadcrumbList", "itemListElement": [ { "@type": "ListItem", "position": 1, "name": "Accueil", "item": "https://neoma-bs.fr/" }, { "@type": "ListItem", "position": 2, "name": "SIX\u0020Pierre", "item": "https://neoma-bs.fr/node/8481.md" } ] } - [Accueil](https://neoma-bs.fr/) - SIX Pierre ![](/sites/default/files/styles/large/public/uploaded_images/photos_academ/2807-six-pierre.jpg?itok=MSfzIGqf)SIX Pierre Professeur - À propos - Publications académiques [Finance](https://neoma-bs.fr/departements/finance) Habilitation à Diriger des Recherches, Pierre Six est professeur de finance à NEOMA après avoir obtenu son doctorat à l’université Paris 1 Panthéon-Sorbonne en 2009 et son habilitation à diriger les recherches à l’université Paris-Dauphine en 2017. Il enseigne la gestion des risques, en particulier les risques de matières premières et de marché. Ses domaines de recherche concernent à l’origine les matières premières et l’allocation d’actifs. Il se diversifie maintenant dans d’autres domaines de la finance. Ses recherches ont été publiées, entre autres, dans : European Journal of Operational Research, International Review of Law and Economics, Quantitative Finance. Il a obtenu le prix du meilleur article dans la catégorie « produits dérivés » à la conférence annuelle de l’Eastern Finance Association en 2010. Il a occupé de nombreuses fonctions administratives au sein de l’école et du département finance. ### Domaines de recherche - Matières premières - Processus en temps continu - Produits dérivés ## Récentes contributions académiques SCHNEIDER, L., B. TAVIN, P. SIX, "Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models" dans *8th Commodity Markets Winter Workshop*, 2025, Zell am See, Autriche co-auteurs présentés SIX, P., M. DE BOURMONT, W. CAO, F. LARMANDE, J. VERNY, "A few ratios do not tell the whole story: financial statements informativeness evolution and bankruptcy prediction" dans *American Accounting Association annual conference*, 2025, Chicago, États-Unis SIX, P., W. CAO, X. DUAN, S. C. LINN, "New Tests of the Theory of Storage and the Theory of Normal Backwardation: Time and Frequency Dimensions" dans *New Directions in Commodities Research Symposium*, 2025, Denver, États-Unis co-auteurs présentés ## Publications OUZAN, S., P. SIX, "The Demand for Hedging of Oil Producers: A Tale of Risk and Regret", *European Journal of Operational Research*, Février 2025, vol. 321, no. 1, pp. 330-343 DOI : [ 10.1016/j.ejor.2024.09.036 ](https://dx.doi.org/10.1016/j.ejor.2024.09.036) CHIBANE, M., P. SIX, "Dynamic Asset Allocation and Consumption with the Indirect Utility Function.", *Finance Research Letters*, Juillet 2024, vol. 65, pp. 105542 DOI : [ 10.1016/j.frl.2024.105542 ](https://dx.doi.org/10.1016/j.frl.2024.105542) AHN, J.-H., H. MUHAJIR MAULANA, P. SIX, "Macro-Financial Determinants of Default Probability Using Copula: A Case Study of Indonesian Banks", *Bulletin of Monetary Economics and Banking*, 2023, vol. 25, no. 4, pp. 597-622 DOI : [ 10.21098/bemp.v25i4.1748 ](https://dx.doi.org/10.21098/bemp.v25i4.1748) ATTAOUI, S., W. CAO, P. SIX, "Capital Structure and the Optimal Payment Methods in Acquisitions", *International Review of Law and Economics*, Juin 2021, vol. 66 DOI : [ 10.1016/j.irle.2021.105986 ](https://dx.doi.org/10.1016/j.irle.2021.105986) AHN, J.-H., P.SIX, "A study of first generation commodity indices : Indices based on financial diversification", *Finance Research Letters*, Septembre 2019, vol. 30, pp. 194-200 DOI : [ 10.1016/j.frl.2018.09.013 ](https://dx.doi.org/10.1016/j.frl.2018.09.013) MELLIOS , C., P. SIX, A. N. LAI , "Dynamic Speculation and Hedging in Commodity Futures Markets with a Stochastic Convenience Yield ", *European Journal of Operational Research*, Avril 2016, vol. 250, no. 2, pp. 493-504 DOI : [ 10.1016/j.ejor.2015.10.045 ](https://dx.doi.org/10.1016/j.ejor.2015.10.045) SIX, P., S.ATTAOUI, "The Impact of Different Risk Aversions on The Bond-Stock Mix: A Note", *Finance*, Septembre 2016, vol. 36, no. 3, pp. 85-111 SIX, P., J.FOUQUAU, "A comparison of the convenience yield and interest-adjusted basis", *Finance Research Letters*, Août 2015, vol. 14, pp. 142-149 DOI : [ 10.1016/j.frl.2015.05.005 ](https://dx.doi.org/10.1016/j.frl.2015.05.005) SIX, P., "Strategic commodity allocation", *Quantitative Finance*, Septembre 2014, vol. 15, no. 1, pp. 131-150 DOI : [ 10.1080/14697688.2014.951386 ](https://dx.doi.org/10.1080/14697688.2014.951386) ATTAOUI, S., V.LACOSTE, P.SIX, "A Partial Equilibrium Model of the Convenience Yield Risk Premium of Storable Commodities", *Bankers, Markets & Investors (ex-Banque & Marchés)*, Mai 2014, vol. 130, pp. 24-40 SIX, P., "On the shape of risk aversion and asset allocation", *International Journal of Theoretical and Applied Finance*, Décembre 2014, vol. 17, no. 8, pp. 1450054-1 à 1450054-27 SIX, P., S.ATTAOUI, "Hedging demand and the certainty equivalent" of wealth", *Economics Bulletin*, Août 2014, no. 3, pp. 1742-1750 SIX, P., C.MELLIOS, "The Traditional Hedging Model Revisited With A Non-Observable Convenience Yield", *Financial Review*, Novembre 2011, no. 46, pp. 569-593 SIX, P., C.MELLIOS, "Calendar spreads in commodity future markets, risk premium and the convenience yield", *Bankers, Markets & Investors (ex-Banque & Marchés)*, Mai 2011, no. 112, pp. 16-33 ATTAOUI, S., C.MELLIOS, P.SIX, "Calendar Spreads in Commodity Futures Markets, Risk Premium and the Convenience Yield", *Bankers, Markets & Investors (ex-Banque & Marchés)*, Mai 2011, no. 112, pp. 16-33 SIX, P., "Interest rate risk hedging demand under a Gaussian framework", *Journal of Financial Transformation*, Mars 2010, no. 28, pp. 103-107 SIX, P., "Dynamic strategies when consumption and wealth risk aversions differ", *Finance*, Décembre 2010, vol. 31, no. 2, pp. 93-118 ## Chapitres SIX, P., "Strategic commodity allocation " dans *Commodities*., M. A. H. Dempster and Ke Tang Ed., Chapman & Hall/CRC Press, pp. 703, 2015 SIX, P., S.ATTAOUI, "A Jump–Diffusion Nominal Short Rate Model" dans *Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges*., Wehn C. S., Hoppe C. & Gregoriou G. N. Eds, Academic Press, 2012 ## Conferences LARMANDE, F., M. DE BOURMONT, W. CAO, P. SIX, J. VERNY, "A few ratios do not tell the whole story: financial statements informativeness evolution and bankruptcy prediction" dans *Annual conference of the European Accounting Association*, 2025 SIX, P., S. ATTAOUI, "Fundamentals of Sharpe ratios in storable commodity markets" dans *SSRN*, 2023 SIX, P., M. CHIBANE, "Investment as a source of income" dans *Inter-business-school Seminar, EM Lyon*, 2022, Lyon SIX, P., "Wealth Elasticity of Risk Aversion and Asset Allocation" dans *32nd International Conference of the French Finance Association*, 2015, Cergy, France SIX, P., "Wealth Elasticity of Risk Aversion and Portfolio Management" dans *Paris Financial Management Conference 2014*, *IPAG Business School*, 2014, France SIX, P., J.FOUQUAU, S.ATTAOUI, "Convenience yield and risk adjusted basis" dans *Conference on Energy Finance (EF)*, 2013, Allemagne SIX, P., S.ATTAOUI, "Hedging demand for bequest motives" dans *30th International French Finance Conference*, *EM Lyon Business School*, 2013, France SIX, P., "On The Shape Of Risk Aversion And Asset Allocation" dans *AFFI, 2012 Spring Conference*, 2012, France SIX, P., "The Bond stock mix: a new insight" dans *AFFI, 2011 Spring Conference*, 2011, France SIX, P., "A Jump-Diffusion Nominal Short Rate Model" dans *AFFI 8th International Paris Finance Meeting*, 2008, France SIX, P., "Commodity derivatives pricing with an endogenous convenience yield market price of risk" dans *AFFI, 2008 Spring Conference*, 2008, France SIX, P., "Dynamic strategies when consumption and wealth risk aversions differ" dans *AFFI, 2007 Spring Conference*, 2007, France SIX, P., C.MELLIOS, "Traditional Hedging Model revisited with a non observable stochastic convenience yield" dans *AFFI, 2006 Spring Conference*, 2006, France SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" dans *AFFI, Conférence internationale Paris décembre 2005*, 2005, France ## Conference invitations CAO, W., P.SIX, S.ATTAOUI - "Capital structure and the optimal payment methods in acquisitions" - 2020, Lyon, France ## Contributions dans une conférence SCHNEIDER, L., B. TAVIN, P. SIX, "Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models" dans *8th Commodity Markets Winter Workshop*, 2025, Zell am See, Autriche co-auteurs présentés SIX, P., M. DE BOURMONT, W. CAO, F. LARMANDE, J. VERNY, "A few ratios do not tell the whole story: financial statements informativeness evolution and bankruptcy prediction" dans *American Accounting Association annual conference*, 2025, Chicago, États-Unis SIX, P., W. CAO, X. DUAN, S. C. LINN, "New Tests of the Theory of Storage and the Theory of Normal Backwardation: Time and Frequency Dimensions" dans *New Directions in Commodities Research Symposium*, 2025, Denver, États-Unis co-auteurs présentés DE BOURMONT, M., W. CAO, F. LARMANDE, P. SIX, J. VERNY, "Have financial statements become less informative? Yes, and no…Evidence from the ability of a new accounting model to predict bankruptcy" dans *2024 French Accounting Association Annual Conference*, 2024, Dijon, France co-auteurs présentés SCHNEIDER, L., B. TAVIN, P. SIX, "Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models" dans *33rd European Conference on Operational Research*, 2024, Copenhagen, Danemark co-auteurs présentés CAO, W., X. DUAN, P. SIX, S. C. LINN, "New Tests of the Theory of Storage and the Theory of Normal Backwardation: Time and Frequency Dimensions" dans *Commodity Energy Markets Annual Conference, Boston University Questrom School of Business*, 2024, Boston, États-Unis SIX, P., S. ATTAOUI, "Fundamentals of Sharpe ratios in storable commodity markets" dans *Commodity Energy Markets Annual Conference, Budapest University of Technology and Economics*, 2023, Hongrie SIX, P., S. OUZAN, "Under-hedging in the oil market: an explanation based on regret theory" dans *6th Commodity Winter Workshop*, 2023, Skeikampen, Norvège SIX, P., S. ATTAOUI, "Fundamentals of Sharpe ratios in storable commodity markets" dans *NCCC-134: Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management*, 2023, Saint Louis, États-Unis SIX, P., M. DE BOURMONT, W. CAO, F. LARMANDE, J. VERNY, "Bankruptcy prediction: a persistent model of cash flows based on Beaver’s theory of the reservoir" dans *2023 International Conference in Finance, Banking and Accounting*, 2023, Montpellier, France AHN, J.-H., P.SIX, "Investing in commodity: Why duplicating inventories?" dans *2017 Commodity Markets Winter Workshop*, 2017, Lillehammer, Norvège AHN, J.-H., P.SIX, "Investing in commodity: why duplicating inventories?" dans *International Conference on Energy, Finance and the Macroeconomy*, 2017, Montpellier, France AHN, J.-H., P.SIX, "Investing in commodities: why duplicating inventories?" dans *Commodity Markets Conference*, 2016, Hannover, Allemagne AHN, J.-H., P.SIX, "Investing in commodities: why duplicating inventories" dans *Energy and Commodity Finance Conference*, 2016, Paris, France co-auteurs présentés AHN, J.-H., P.SIX, "Investing in Commodity: Why Duplicating Inventories" dans *Commodity Markets Conference*, 2016, Hannovre, Allemagne SIX, P., "Correlation as a Pricing Factor for oil Derivatives" dans *10th Energy and Finance Conference on "Energy Finance - Challenges and Opportunities"*, 2015, London, Royaume-Uni SIX, P., "Correlation as a Pricing Factor for oil Derivatives" dans *5th INREC Conference - International Ruhr Energy Conference*, 2015, Essen, Allemagne FOUQUAU, J., P.SIX, "Convenience yield and adjusted basis stylized facts" dans *2nd International Symposium on Energy and Finance*, 2014, Paris, France SIX, P., "On The Shape of Risk Aversion and Asset Allocation" dans *Workshop in Honour of Professor William T. Ziemba*, 2013, France SIX, P., J.FOUQUAU, "Convenience yield and adjusted basis stylized facts" dans *The 51st Meeting of the Euro Working Group on Commodities and Financial Modelling (EWGCFM)*, 2013, Royaume-Uni SIX, P., "Correlation as a pricing factor for oil derivatives" dans *The 51st Meeting of the Euro Working Group on Commodities and Financial Modelling (EWGCFM)*, 2013, Royaume-Uni SIX, P., "Correlation as a pricing factor for oil derivatives" dans *Conference on Energy Finance (EF)*, 2012, Norvège SIX, P., "On the shape of risk aversion and asset allocation" dans *Eastern Finance Association Annual Meeting*, 2012, États-Unis SIX, P., "Tactical Commodity Allocation and The Theory of Storage" dans *Eastern Finance Association Annual Meeting*, 2012, États-Unis SIX, P., "A partial equilibrium for the convenience yield risk premium" dans *ESE Energy and Finance Conference*, 2012, Pays-Bas SIX, P., "A partial equilibrium for the convenience yield risk premium" dans *Eastern Finance Association Annual Meeting*, 2011, États-Unis SIX, P., "A partial equilibrium for the convenience yield risk premium" dans *50th Annual Meeting of the Southwestern Finance Association (SWFA)*, 2011, États-Unis SIX, P., "The Bond-stock mix: a new insight" dans *50th Annual Meeting of the Southwestern Finance Association (SWFA)*, 2011, États-Unis LACOSTE, V., S.ATTAOUI, P.SIX, "A partial equilibrium for the convenience yield risk premium" dans *ESE Energy & Finance conference*, 2011, Rotterdam, Pays-Bas co-auteurs présentés SIX, P., "Dynamic strategies when consumption and wealth risk aversions differ" dans *Eastern Finance Association Annual Meeting*, 2010, États-Unis SIX, P., "The Bond-stock Mix: a new insight" dans *EFMA, 2010 Annual Meeting (European Financial Management Association)*, 2010, Danemark SIX, P., "Traditional Hedging Model revistited with a non observable convenience yield" dans *Eastern Finance Association Annual Meeting*, 2010, États-Unis SIX, P., "The Bond-Stock mix: a new insight" dans *Eastern Finance Association Annual Meeting*, 2010, États-Unis SIX, P., C.MELLIOS, "The Traditional Hedging Model revisited with a non observable convenience yield" dans *Brown-bag pole responsible finance, Rouen Business School*, 2010, Rouen, France SIX, P., "A Jump-Diffusion Nominal Short Rate Model" dans *Quantitative Methods in Finance Conference*, 2009, Australie SIX, P., "Commodity derivatives pricing with an endogenous convenience yield market price of risk" dans *EFM Symposium on Risk Management In Financial Institutions*, 2009, France SIX, P., C.MELLIOS, "Traditional Hedging Model revistited with a non observable convenience yield" dans *22nd Annual Australasian Finance and Banking Conference (AFBC)*, 2009, Australie SIX, P., "Commodity derivatives pricing with an endogenous convenience yield market price of risk" dans *11th Symposium on Finance, Banking and Insurance*, 2008, Allemagne SIX, P., "Dynamic strategies when consumption and wealth risk aversions differ" dans *FMA European Conference (Financial Management Association)*, 2008, Tchèque, République SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" dans *EFM Symposium on Risk and Asset Management*, 2008, France SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" dans *EFMA, Annual Meeting (European Financial Management Association)*, 2008, Grèce SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" dans *30th Anniversary of the Journal of Banking and Finance Conference*, 2006, Chine SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" dans *Northern Finance Association - NFA*, 2006, Canada SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" dans *Midwest Finance Association Annual Meeting*, 2006, États-Unis SIX, P., C.MELLIOS, "Traditional Hedging Model revisited with a non observable stochastic convenience yield" dans *18ème Congrès du réseau des IAE*, 2006, France ## Séminaires de recherche SIX, P., L. SCHNEIDER, B. TAVIN, "Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models" *ASMF Seminar, University of Amsterdam*. 2024, Amsterdam, Pays-Bas OUZAN, S., P. SIX, "Under-hedging in the oil market : an explanation based on regret theory" *NEOMA Business School-Finance Research Seminar*. 2022, Paris, France SIX, P., W. CAO, X. DUAN, S. C. LINN, "New Tests of the Theory of Storage and the Theory of Normal Backwardation: Time and Frequency Dimensions" *Finance Research Seminar-NEOMA Business School*. 2021, Paris, France SIX, P., "On the shape of risk aversion and asset allocation" *Seminar du CEFRA (Center for financial risk analysis)*. 2011, France SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" *Colloque doctoral inter universitaire en Finance*. 2007, France SIX, P., C.MELLIOS, "Quelle stratégie de couverture pour une entreprise sur les marchés à terme de matières premières ?" *Cinquième Journée de collaboration scientifique entre les Ecoles Doctorales en Gestion de l'Université Libre de Bruxelles et de l'Université Paris 1-Panthéon-Sorbonne*. 2007, Belgique