LLEO
LLEO
Habilitation à Diriger des Recherches, Sciences Economiques, Sociales et de Gestion, Finance
Sébastien Lleo est Professeur de finance à NEOMA Business School. Il est titulaire d'un doctorat. en mathématiques de l'Imperial College de Londres, HDR en sciences sociales du Cnam, MBA de l'Université d'Ottawa. Sébastien enseigne la finance, les mathématiques et les statistiques à l'échelle internationale à des étudiants de premier cycle, des cycles supérieurs et du doctorat, des professionnels et des cadres. Ses recherches portent sur la gestion d'actifs, le contrôle et l'estimation stochastiques, l'apprentissage automatique statistique et les marchés financiers. Des articles sélectionnés ont été publiés dans Journal of Banking and Finance, SIAM Journal of Control and Optimization, International Journal of Forecasting, Quantitative Finance et Journal of Portfolio Management. Sébastien a été directeur de l’école doctorale de NEOMA et chercheur principal sur un projet de recherche conjoint régional et européen. Il a débuté sa carrière à la Banque du Canada et à la SCHL. Sébastien est CFA Charterholder, Certified Financial Risk Manager, Professional Risk Manager et ancien élève du CQF.
LLEO, S., M.DAVIS, "Black Litterman in continuous time: the case for filtering", Quantitative Finance Letters, Juillet 2013, no. 1, pp. 30-35
10.1080/21649502.2013.803794
LLEO, S., W.ZIEMBA, "Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world", International Journal of Forecasting, Avril 2015, vol. 31, no. 2, pp. 399-425
10.1016/j.ijforecast.2015.02.001
LLEO, S., M.DAVIS, "Risk-sensitive Benchmarked Asset Management", Quantitative Finance, Juin 2008, no. 4, pp. 415-426
DAVIS, M., S. LLEO, "Jump-Diffusion Risk-Sensitive Benchmarked Asset Management with Traditional and Alternative Data" NEOMA Business School Finance Seminar. 2021, Paris, France
LLEO, S., W. T. ZIEMBA, J. LI, "Exploring Breaks in the Distribution of Stock Returns: Empirical Evidence from Apple Inc." NEOMA Business School Finance Seminar. 2020, Reims - Rouen - Paris, France
LLEO, S., M.DAVIS, "Big Data + Risk-Sensitive Optimization = Stress-Free Retirement Plan?" NEOMA Research Day, NEOMA Business School. 2018, Paris, France
LLEO, S., M.DAVIS, "Behaviouralizing Black-Litterman: Expert Opinions and Behavioural Biases in a Diffusion Setting" 2015, Reims, France
LLEO, S., W.ZIEMBA, "Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better than High P/E Models?" 2014, Zurich, Suisse
LLEO, S., M.DAVIS, "Behaviouralizing Black-Litterman: An Overview" 2014, Reims, France
LLEO, S., M.DAVIS, "Black-Litterman in Continuous Time" 2013, Reims, France
LLEO, S., M.DAVIS, "Black Litterman in Continuous Time: Further Work" Finance Department & Responsible Finance Research Group. 2013, France
DAVIS, M., S.LLEO, G.ANDRUSZKIEWICZ, "Taming Animal Spirits: Risk Management with Behavioural Factors" Research seminar, Value & Persuasion Research Centre. 2012, Reims, France
LLEO, S., M.DAVIS, G.ANDRUSZKIEWICZ, "Taming Animal Spirits: Risk Management with Behavioural Factors" Reims Management School Chapter Meeting. 2012, France
DAVIS, M., S.LLEO, "On the Optimality of Kelly Strategies" Dublin City University. 2011, Dublin, Irlande
DAVIS, M., S.LLEO, "On the Optimality of Kelly Strategies" Frankfurt School of Finance & Management Quantitative Finance Seminar. 2011, Frankfurt, Allemagne
LLEO, S., M.DAVIS, "On the optimality of Kelly strategies" Quant talks seminar series. 2011, Allemagne
LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management" Toulouse Business School Finance Seminar. 2010, Toulouse, France
LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management" Reims Management School Research Seminar. 2010, Reims, France
LLEO, S., M.DAVIS, "Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model" 2010, France
DAVIS, M., S.LLEO, "Jump-Diffusion Risk-Sensitive Asset Management" MACSI Seminars. 2009, Limerick, Irlande
LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management" 31. Joint Humboldt Universität - TU Berlin Research Seminar on Stochastic Analysis and Stochastics of Financial Market. 2009, Berlin, Allemagne
LLEO, S., M.DAVIS, "Risk-Sensitive Benchmarked Asset Management With Allocation Constraints" ICMA Centre, Henley Business School, University of Reading. 2009, Reading, Royaume-Uni
LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management" MACSI Seminar. 2009, Irlande
LLEO, S., M.DAVIS, "Risk-Sensitive Asset and Liability Management: Initial Thoughts" Summer Term 2009. 2009
LLEO, S., M.DAVIS, "Stochastic Analysis and Stochastics of Financial Market" Joint Humboldt Universität - TU Berlin Research Seminar. 2009, Allemagne
LLEO, S., M.DAVIS, "Risk-Sensitive Investment Management: Overview and Applications" Cambridge Finance Seminars, University of Cambridge. 2008, Cambridge, Royaume-Uni
LLEO, S., M.DAVIS, "Risk-Sensitive Asset Management" Cambridge Finance Seminars. 2008
LLEO, S., "Risk-Sensitive Asset Management: an Overview" Joint LSE (London School of Economics) - King's College - Imperial College PhD Student Conference in Mathematical Finance. 2006
LLEO, S., W. WOLFGANG RUNGGALDIER, "Reinforcement Learning Methods for Risk-Sensitive Investment Management" dans European Conference on Stochastic Optimization and Computational Management Science (ECSO-CMS 2024), 2024, Stockholm, Suède
LLEO, S., W. WOLFGANG RUNGGALDIER, "Reinforcement Learning Methods for Risk-Sensitive Investment Management" dans 33rd European Conference on Operational Research (EURO), 2024, Copenhagen, Danemark
LLEO, S., W. WOLFGANG RUNGGALDIER, "On the Separation of Estimation and Control in Risk Sensitive Investment Problems under Incomplete Observation" dans MathRisk Conference on Numerical Methods in Finance, 2023, Udine, Italie
LLEO, S., M. DAVIS, "Jump-Diffusion Risk-Sensitive Benchmarked Asset Management with Traditional and Alternative Data" dans Eleventh World Congress of the Bachelier Finance Society, 2022, Honk-Kong, Chine
LLEO, S., M. DAVIS, "Jump-Diffusion Risk-Sensitive Benchmarked Asset Management with Traditional and Alternative Data" dans 32nd EURO Conference, 2022, Espoo, Finlande
DAVIS, M., S. LLEO, "Risk-Sensitive Benchmarked Asset Management with Expert Forecasts" dans 37th International Conference of the French Finance Association, 2021, Online, France
LLEO, S., W. T.ZIEMBA, "A Statistical Run Around The Apple Tree What can changepoints tell us about stock returns?" dans French Inter Business Schools Seminar in Finance, 2020, Lyon, France
LLEO, S., M.DAVIS, "Term Structure of Expert Opinions" dans 10th World Congress of the Bachelier Finance Society, 2018, Dublin, Irlande
LLEO, S., W.ZIEMBA, "A Tale of Two Indices: Predicting Equity Market Downturns in China" dans 34th International Conference of the French Finance Association, 2017, Valence, France
LLEO, S., W.ZIEMBA, "A Tale of Two Indices: Predicting Equity Market Downturns in China" dans 10th International Risk Management Conference, 2017, Florence, Italie
LLEO, S., M.DAVIS, "Workshop on Log Optimal Growth & Kelly Strategy, UNICOM Conference on AI, Machine Learning and Sentiment Analysis Applied to Finance", 2017, London, Royaume-Uni
LLEO, S., M.DAVIS, "Behavioralizing Black-Litterman" dans GARP 17th Annual Risk Management Convention, 2016, New York, États-Unis
LLEO, S., M.DAVIS, "Bachelier Finance Society, Ninth World Congress", 2016, New York, États-Unis
LLEO, S., "Behaviouralizing Black Litterman" dans EURO Mini Conference on Stochastic Programming and Energy Applications, 2014, France
LLEO, S., "Behaviouralizing Black Litterman" dans 8th Wold Congress of the Bachelier Finance Society, 2014
LLEO, S., "Crossing Paths: The Profound Relation Between Mathematics and Finance" dans IFSAM, 2014, Japon
LLEO, S., "Crossing Paths: The Profound Relation Between Mathematics and Finance" dans EURAM, 14th Annual Conference, 2014, Espagne
LLEO, S., "Does the Bond-Stock earning Yield Differential Model Predict Equity Market Corrections Better" dans 4th FEBS Conference, 2014, Royaume-Uni
LLEO, S., M.DAVIS, "Asset-Liability Management via Risk-Sensitive Control" dans 13th International Conference on Stochastic Programming, 2013, Italie
LLEO, S., G.ANDRUSZKIEWICZ, M.DAVIS, "Taming Animal Spirits: Risk Management with Behavioural Factors" dans Workshop on Modeling Market Dynamics and Equilibrium - New Challenges, New Horizons, Hausdorff Trimester Program on Stochastic Dynamics in Economics and Finance, 2013, Allemagne
DAVIS, M., S.LLEO, "Asset-Liability Management via Risk-Sensitive Control Diffusion Processes: The Easy Case..." dans Workshop in Honour of Professor William T. Ziemba, 2013, Reims, France
FIMBEL, E., C.KARYOTIS, S.LLEO, "Improving financial institution: the proper balance between regulation and governance" dans Systemic risk, a problem for the whole of society, 2012, Finlande
LLEO, S., M.DAVIS, "On the Optimality of Kelly Strategies" dans Bachelier Finance Society, 7th World Congress, 2012, Australie
DUBREUILLE, S., S.LLEO, S.MCHAWRAB, "Schwartz and Moon Valuation Model: Evidence from IT Companies" dans Midwest Finance Association Annual Meeting, 2012, États-Unis
LLEO, S., M.DAVIS, "On the optimality of Kelly strategies" dans Workshop on stochastic models and control, 2011, Allemagne
LLEO, S., M.DAVIS, "Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model" dans Bachelier Finance Society, 6th World Congress, 2010, Canada
LLEO, S., M.DAVIS, "Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model" dans 12th Conference on Stochastic Programming (SPXII), 2010, Canada
LLEO, S., M.DAVIS, "Jump Diffusion Risk-Sensitive Control" dans Modern Trends in Controlled Stochastic Jump Processes: Theory and Applications, 2010, Royaume-Uni
LLEO, S., M.DAVIS, "A Viscosity Approach to Jump-Diffusion Risk-Sensitive Asset Management" dans Bachelier Finance Society, 5th World Congress, 2008, Royaume-Uni
LLEO, S., M.DAVIS, "Risk-Sensitive Asset Management" dans 11th Conference on Stochastic Programming (SPXI), 2007, Autriche
LLEO, S., M.DAVIS, "Risk-Sensitive Benchmarked Investment Management" dans Joint LSE - King’s College - Imperial College PhD Student Conference in Mathematical Finance, 2006, London, Royaume-Uni
ZIEMBA, W., M.ZHITLUKHIN, S.LLEO, Stock Market Crashes: Predictable and Unpredictable and What to do About Them, World Scientific Publishing Company, London, 2017
LLEO, S., M. DAVIS, Risk-Sensitive Investment Management, World Scientific Publishing Company, 2014
LLEO, S., Risk Management: A Review, The Research Foundation of CFA Institute, 2009
LLEO, S., W. WOLFGANG RUNGGALDIER - "On the Separation of Estimation and Control in Risk-Sensitive Investment Problems under Incomplete Observation" - 2024, Copenhagen, Danemark
LLEO, S., W. WOLFGANG RUNGGALDIER - "Reinforcement Learning Methods for Risk-Sensitive Investment Management" - 2024, Sydney, Australie
LLEO, S. - "Comment combiner opinions d’experts et modèle pour la prise de décision en univers incertain, avec applications à l’allocation stratégique d’actifs" - 2023, Reims, France
LLEO, S. - "Risk-Sensitive Investment Management: A Guide for Quants" - 2023, Online, Royaume-Uni
LLEO, S., W. WOLFGANG RUNGGALDIER - "On the Separation of Estimation and Control in Risk-Sensitive Investment Problems under Incomplete Observation, 68th Euro Working Group for Commodity and Financial Modelling (EWGCFM) Conference" - 2023, Abu Dhabi, Émirats Arabes Unis
LLEO, S., M.DAVIS - "Two to Tango: Market Data and Expert Opinions in Portfolio Construction" - 2019, Sydney, Australie
LLEO, S., M.DAVIS - "On the Optimality of the Kelly Criterion" - 2011, Workshop on Stochastic Models and Control, Karlsruhe Institute of Technology, Allemagne
LLEO, S., J.LI, "Finance & Mathématiques : Fusion ou Acquisition?" dans Conference “La Finance Responsable” , France Stratégie & Plateforme SRE, 2019
LLEO, S., M.DAVIS, "Behaviouralizing Black-Litterman", European Academy of Management, 2016
LLEO, S., M. DAVIS, "Behaviouralizing Black-Litterman - Part 1" dans 45th , Annual Conference of the Italian Operations Research Society (AIRO), 2015, Italie
ALLES RODRIGUES, A., S. LLEO, "Combining Standard and Behavioral Portfolio Theories: A Practical and Intuitive Approach" dans 2015, Meeting of World Finance Conference, 2015, Buenos Aires, Argentine
ALLES RODRIGUES, A., S. LLEO, "Combining Standard and Behavioral Portfolio Theories: A Practical and Intuitive Approach" dans 5th, International Conference of the Financial Engineering and Banking Society (FEBS), 2015, Nantes, France
ALLES RODRIGUES, A., S. LLEO, "Integrating Black-Litterman and the Mental Accounting Framework: A Sensible and Intuitive Approach" dans 8th , World Congress of the Bachelier Finance Society, 2015, Bruxelles, Belgique
LLEO, S., M.DAVIS, "Behaviouralizing Black-Litterman: Expert Opinions and Behavioural Biases in a Diffusion Setting", EMLYON Quant 12 workshop, 2015, Lyon, France
LLEO, S., M.DAVIS, "Behaviouralizing Black-Litterman" dans 22nd, International Symposium on Mathematical Programming (ISMP), 2015, Pittsburgh
LLEO, S., M.DAVIS, "Behaviouralizing Black Litterman Part 1", International Conference of the Financial Engineering and Banking Society (FEBS), 2015
FIMBEL, E., C. KARYOTIS, S. LLEO, "The Systemic Dimension of the Systemic Risk" dans 3nd International Conference of the Financial Engineering and Banking Society (F.E.B.S.) sur le theme Financial Regulation and Systemic Risk, ESCP Europe, 2013, France
LLEO, S., W.ZIEMBA, "Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better Than High P/E Models?" dans Workshop on Stochastic Optimization, Hausdorff Trimester Program on Stochastic Dynamics in Economics and Finance, 2013, Allemagne
LLEO, S., M.DAVIS, "Fractional Kelly Strategies in Continuous Time : Recent Developments" dans Workshop on Stochastic Optimization, Hausdorff Trimester Program on Stochastic Dynamics in Economics and Finance, 2013, Allemagne
LLEO, S., M.DAVIS, "Optimality of Fractional Kelly Strategies and their use in Lowering Short Term Risk" dans Financial Management Association (FMA) Annual Meeting, 2013, États-Unis
FOURNEAUX, S., S. DUBREUILLE, S. LLEO, "Is Real Estate a Good Way to Diversify in Times of Financial Crisis?" dans III World Finance Conference, 2012, Brésil
LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management" dans Modern trends in controlled stochastic jump processes: theory and applications, University of Liverpool, 2010
LLEO, S., M.DAVIS, "Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach" dans KIER-TMU International Workshop on Financial Engineering 2009, 2009, Japon
LLEO, S., "Gestion des Risques" dans Analyse Financière Internationale : Stratégie, Evaluation Financière et Gestion d’Actif., Catherine Karyotis Ed., Gualino Lextenso Editions, pp. 141-168, 2020
ZIEMBA, W. T., S.LLEO, M.ZHITLUKHIN, "A Stopping Rule Model for Exiting Bubble-like Markets with Applications" dans The World Scientific Handbook of Investment Research., John B. Guerard and William T. Ziemba Ed., World Scientific Publishing Company, pp. 635-659, 2020
LLEO, S., W., T.ZIEMBA, "The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?" dans Portfolio Construction, Measurement, and Efficiency: Essays in Honor of Jack Treynor., Guerard Jr., John B. Eds, Springer, 2016
DOI : 10.1007/978-3-319-33976-4
LLEO, S., J.LI, "Finance and Mathematics: Merger or Acquisitions?" dans Book Series: Critical Studies on Corporate Responsibility, Governance and Sustainability, Volume 11 - Finance and Economy for Society: Integrating Sustainability., Sharam Alijani, Catherine Karyotis Eds, Emerald Group Publishing Limited, pp. 93 - 121, 2016
LLEO, S., W.ZIEMBA, "How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments" dans The World Scientific Handbook of Futures Markets., A. MALLIARIS and W. ZIEMBA Ed., World Scientific Publishing Company, 2015
LLEO, S., W.ZIEMBA, "Stock Market Crashes in 2007-2009: Were We Able to Predict Them?" dans Managing and Measuring Risk., O. ROGGI and E. ALTMAN Ed., World Scientific Publishing Company, pp. 457-499, 2013
LLEO, S., M.DAVIS, "Fractional Kelly Strategies in Continuous Time: Recent Developments" dans Handbook of the Fundamentals of Financial Decision Making., L.MACLEAN and W. ZIEMBA Ed., World Scientific Publishing Company, pp. 753-788, 2013
DAVIS, M., S.LLEO, "Jump-Diffusion Risk-Sensitive Benchmarked Asset Management" dans Stochastic Programming: Applications in Finance, Energy, Planning and Logistics., H. GASSMAN, L. MACLEAN and W. ZIEMBA Eds, World Scientific Publishing Company, pp. 97-127, 2012
DAVIS, M., S.LLEO, "Fractional Kelly Strategies for Benchmarked Asset Management" dans The Kelly Capital Growth Investment Criterion: Theory and Practice., L. MACLEAN, E. THORP and W. ZIEMBA Eds, World Scientific Publishing Company, 2011
LLEO, S., "Risk Management: A Review" dans Risk Management: Foundations For a Changing Financial World., W. HASLETT Jr. Ed., John Wiley & Sons, 2010
DAVIS, M., S.LLEO, "Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach" dans Recent Advances in Financial Engineering 2009: Proceedings of the KIER-TMU International Workshop on Financial Engineering 2009., M. KIJIMA, C. HARA, K. TANAKA, Y. MUROMACHI Eds, World Scientific Publishing Company, 2010
LLEO, S. - "Machine Learning: An Applied Mathematics Introduction by Paul Wilmott," - 2020, Quantitative Finance
LLEO, S. - "Infinite Powers: The Story of Calculus - The Language of the Universe” by Steven Strogatz" - 2020, Quantitative Finance
LLEO, S. - "Stochastic Disorder Problems” by Albert N. Shiryaev" - 2020, Quantitative Finance
LLEO, S. - "Applied Stochastic Control of Jump Diffusions” by Bernt Øksendal and Agnès Sulem" - 2020, Quantitative Finance
LLEO, S. - "Gods and Robots: Myths, Machines, and Ancient Dreams of Technology, by Adrienne Mayor" - 2019, Quantitative Finance
DOI : https://doi.org/10.1080/14697688.2019.1591632
LLEO, S. - "The Art of Statistics, by David Spiegelhalter" - 2019, Quantitative Finance
LLEO, S. - "Asymptotic Theory of Transaction Costs, by Walter Schachermayer" - 2018, Quantitative Finance
DOI : https://doi.org/10.1080/14697688.2018.1475617
LLEO, S. - "Financial and Macroeconomic Connectedness, by Francis X. Diebold and Kamil Yilmaz, Book Review" - 2018, Quantitative Finance
DOI : https://doi.org/10.1080/14697688.2018.1533080
LLEO, S., L. MACLEAN, "Dual dominance: how Harry Markowitz and William Ziemba impacted portfolio management", Annals of Operations Research, Mars 2025, vol. 346, no. 1, pp. 181–216
DOI : https://doi.org/10.1007/s10479-024-06281-1
LLEO, S., L. MACLEAN, "Portfolio Wisdom from Legends: Insights from Harry Markowitz and William Ziemba", Wilmott, Mars 2025, no. 136
DOI : 10.54946/wilm.12123
LLEO, S., M. DAVIS, "Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data", Annals of Operations Research, Janvier 2024, vol. 336, pp. 661–689
DOI : https://doi.org/10.1007/s10479-022-05130-3
LLEO, S., W. T. ZIEMBA, J. LI, "Do Factor Models Explain Breaks in the Distribution of Equity Returns?", Journal of Portfolio Management, Avril 2024, vol. 50, no. 4
DOI : 10.3905/jpm.2023.1.568
LLEO, S., W. J. RUNGGALDIER, "On the separation of estimation and control in risk-sensitive investment problems under incomplete observation", European Journal of Operational Research, Juillet 2024, vol. 316, no. 1, pp. 200-214
DOI : 10.1016/j.ejor.2024.01.044
LLEO, S., W. T. ZIEMBA, "Crash Prediction Using Fundamental Variables: Evidence from Mainland China", Journal of Prediction Markets, Juillet 2023, vol. 17, no. 1, pp. 85-115
DOI : https://doi.org/10.5750/jpm.v17i1.2039
LLEO, S., "Risk-Sensitive Investment Management: A Guide for Quants", Wilmott, Novembre 2023, vol. 128, pp. 80-88
LLEO, S., M. ZHITLUKHIN, W. ZIEMBA, "Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction", Journal of Portfolio Management, Novembre 2022, vol. 49, no. 1, pp. 172-197
DOI : 10.3905/jpm.2022.1.429
LLEO, S., M. DAVIS, "Risk-sensitive benchmarked asset management with expert forecasts", Mathematical Finance, Octobre 2021, vol. 31, no. 4, pp. 1162-1189
DOI : 10.1111/mafi.12310
DAVIS, M., S.LLEO, "Debiased expert forecasts in continuous-time asset allocation", Journal of Banking and Finance, Avril 2020, vol. 113, pp. 105759
DOI : https://doi.org/10.1016/j.jbank?n.2020.105759
LLEO, S., "Two to tango? Market data and opinions in investment management.", Finance Derivative, Mars 2020
LLEO, S., W. T.ZIEMBA, "Can Warren Buffett forecast equity market corrections?", The European Journal of Finance, Mars 2019, vol. 25, no. 4, pp. 369-393
DOI : https://doi.org/10.1080/1351847X.2018.1521859
ALLES RODRIGUES, A., S.LLEO, "Combining standard and behavioral portfolio theories: a practical and intuitive approach", Quantitative Finance, Mai 2018, vol. 18, no. 5, pp. 707-717
DOI : 10.1080/14697688.2017.1401225
LLEO, S., W., T.ZIEMBA, "Predicting Stock Market Crashes in China", Journal of Portfolio Management, Printemps 2018, vol. 44, no. 5, pp. 125-135
DOI : https://doi.org/10.3905/jpm.2018.1.078
LLEO, S., W.ZIEMBA, "Does the Bond-Stock Earnings Yield Differential Model Predict Equity Market Corrections Better Than High P/E Models?", Financial Markets, Institutions and Instruments, Mai 2017, vol. 26, no. 2, pp. 61-123
DOI : 10.1111/fmii.12080
DAVIS, M., G.ANDRUSZKIEWICZ, S.LLEO, "Risk-sensitive investment in a finite-factor model", Stochastics: An International Journal of Probability and Stochastic Reports, 2016, vol. 88
DAVIS, M., S.LLEO, "A Simple Procedure for Combining Expert Opinion with Statistical Estimates to Achieve Superior Portfolio Performance", Journal of Portfolio Management, Eté 2016, vol. 42, pp. 49-58
LLEO, S., W. T.ZIEMBA, "The bond-stock earnings yield model for stock market crash prediction: the basic idea and early applications", Quantitative Finance Letters, 2016, vol. 4, no. 1, pp. 19-25
DOI : 10.1080/21649502.2015.1165893
LLEO, S., W. T.ZIEMBA, "The bond-stock earnings yield differential model: additional applications and other models for stock market crash prediction", Quantitative Finance Letters, 2016, vol. 4, no. 1, pp. 26-34
DOI : 10.1080/21649502.2015.1165905
DAVIS, M., S.LLEO, "A simple procedure to incorporate predictive models in a continuous time asset allocation", Quantitative Finance Letters, 2016, vol. 4, no. 1, pp. 40-46
DOI : 10.1080/21649502.2015.1165906
LLEO, S., P.-H.SALLE, "Cadre réglementaire et gestion d'actifs : impact sur la prise de risque", Analyse financière, Juillet 2016, no. 60, pp. 34-37
LLEO, S., W.ZIEMBA, "Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world", International Journal of Forecasting, Avril 2015, vol. 31, no. 2, pp. 399-425
DOI : 10.1016/j.ijforecast.2015.02.001
LLEO, S., M.DAVIS, "Jump-Diffusion Asset-Liability Management via Risk-Sensitive Control", OR Spectrum, 2015, vol. 37, no. 3, pp. 655-675
DOI : 10.1007/s00291-014-0371-x
THENOT, M., S.LLEO, "Le nombre est inviolable !", Neoma Alumni Review, Septembre 2015
LLEO, S., W.ZIEMBA, "The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?", International Journal of Financial Studies, 2015, vol. 3, no. 3, pp. 351-380
DOI : 10.3390/ijfs3030351
LLEO, S., G.ANDRUSZKIEWICZ, M.DAVIS, "Estimating Animal Spirits: Conservative Risk Calculations", Quantitative Finance Letters, 2014, vol. 2, pp. 14-21
DOI : 10.1080/21649502.2014.946234
LLEO, S., M.DAVIS, "Black Litterman in continuous time: the case for filtering", Quantitative Finance Letters, Juillet 2013, no. 1, pp. 30-35
DOI : 10.1080/21649502.2013.803794
LLEO, S., G.ANDRUSZKIEWICZ, M.DAVIS, "Taming Animal Spirits: Risk Management with Behavioural Factors", Annals of Finance, Mai 2013, no. 2, pp. 145-166
LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model", SIAM Journal on Control and Optimization, Avril 2013, vol. 51, no. 2, pp. 1441-1480
DUBREUILLE, S., S.FOURNEAUX, S.LLEO, "Is Real Estate a Good Way to Diversify in Times of Financial Crisis?", International Research Journal of Applied Finance, Mars 2012, vol. 3, no. 3, pp. 364-375
LLEO, S., E.FIMBEL, S.GUIDICI, C.KARYOTIS, "Societal and Interdisciplinary Reading of Systemic Risk / Une lecture sociétale et interdisciplinaire du risque systémique", Resaddersse International, Décembre 2012, no. 10, pp. 12-31
LLEO, S., W.ZIEMBA, "Stock market crashes in 2007-2009: were we able to predict them?", Quantitative Finance, Août 2012, no. 8, pp. 1161-1187
LLEO, S., M.DAVIS, "Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model", SIAM Journal on Applied Mathematics, Mars 2011, vol. 2, no. 1, pp. 22-54
LLEO, S., M.DAVIS, "Risk-sensitive Benchmarked Asset Management", Quantitative Finance, Juin 2008, no. 4, pp. 415-426