Guillaume COQUERET
Professor level 1, Director of AIM Institute
Research topics
1. Heterogeneous agents in financial economics
2. Performance of machine learning models
3. Factor investing in finance
Publications
Coqueret, Guillaume, Giroux, Thomas, Zerbib, Olivier David. 2025. The biodiversity premium. Ecological Economics, 228 : 14 p.
Coqueret, Guillaume, Deguest, Romain. 2024. Unexpected opportunities in misspecified predictive regressions. European Journal of Operational Research, 318 (2) : 686-700 p.
Morgenstern, Christian, Coqueret, Guillaume, Kelly, James. 2024. International market exposure to sovereign ESG. Journal of Sustainable Finance & Investment, 14 (4) : 968-987 p.
Coqueret, Guillaume, Tavin, Bertrand. 2024. Dynamic decision making with predictive panels. Journal of the Operational Research Society, 75 (6) : 1055-1075 p.
Chevalier, Guillaume, Coqueret, Guillaume, Raffinot, Thomas. 2024. Interpretable Supervised Portfolios. The Journal of Financial Data Science, 6 (2) : 10-34 p.
Bertrand, Jean-Charles, Coqueret, Guillaume, McLoughlin, Nicholas, Mesnard, Stéphane. 2024. The Impact of Climate Change Risk on Long-Term Asset Allocation. The Journal of Portfolio Management, 50 (5) : 238-263 p.
Coqueret, Guillaume. 2024. The large effects of small compounded adjustments: Principles and applications to equity return prediction. Bankers, Markets & Investors, 174 (3) : 54-59 p.
Tran, Vu Le, Coqueret, Guillaume. 2023. ESG news spillovers across the value chain. Financial Management, 52 (4) : 677-710 p.
Chevalier, Guillaume, Coqueret, Guillaume, Raffinot, Thomas. 2022. Supervised portfolios. Quantitative Finance, 22 (12) : 2275-2295 p.
Coqueret, Guillaume. 2022. The determinants of health assessment in the United States: A supervised learning approach. Healthcare Analytics, 2 : 9 p.
Anquetin, Théophile, Coqueret, Guillaume, Tavin, Bertrand, Welgryn, Lou. 2022. Scopes of carbon emissions and their impact on green portfolios. Economic Modelling, 115 : 18 p.
Morgenstern, Christian, Coqueret, Guillaume, Kelly, James N. 2021. Tuning Trend-Following Strategies with Macro ESG Data. Journal of Impact and ESG Investing, 2 (2) : 117-136 p.
Coqueret, Guillaume. 2021. Machine Learning in Finance: From Theory to Practice: Book Review. Quantitative Finance, 21 (1) : 9-10 p.
Coqueret, Guillaume. 2020. Stock-specific sentiment and return predictability. Quantitative Finance, 20 (9) : 1531-1551 p.
Coqueret, Guillaume, Guida, Tony. 2020. Training trees on tails with applications to portfolio choice. Annals of Operations Research, 288 (1) : 181-221 p.
Coqueret, Guillaume, Tavin, Bertrand. 2019. Procedural rationality, asset heterogeneity and market selection. Journal of Mathematical Economics, 82 : 125-149 p.
Guida, Tony, Coqueret, Guillaume. 2018. Machine Learning in Systematic Equity Allocation: A Model Comparison. Wilmott, 2018 (98) : 24-32 p.
Aytaç, Beysül, Coqueret, Guillaume, Mandou, Cyrille. 2018. Herding behavior among wine investors. Economic Modelling, 68 : 318-328 p.
Coqueret, Guillaume. 2017. Approximate NORTA simulations for virtual sample generation. Expert Systems with Applications, 73 : 69-81 p.
Coqueret, Guillaume. 2017. Empirical properties of a heterogeneous agent model in large dimensions. Journal of Economic Dynamics and Control, 77 : 180-201 p.
Coqueret, Guillaume, Martellini, Lionel, Milhau, Vincent. 2017. Equity Portfolios with Improved Liability-Hedging Benefits. Journal of Portfolio Management, 43 (2) : 37-49 p.
Coqueret, Guillaume, Tavin, Bertrand. 2016. An investigation of model risk in a market with jumps and stochastic volatility. European Journal of Operational Research, 253 (3) : 648-658 P.
Ammann, Manuel, Coqueret, Guillaume, Schade, Jan-Philip. 2016. Characteristics-based portfolio choice with leverage constraints. Journal of Banking and Finance, 70 : 23-37 p.
Coqueret, Guillaume. 2015. On the supremum of the spectrally negative stable process with drift. Statistics & Probability Letters, 107 : 333-340 p.
Coqueret, Guillaume. 2015. Optimal Wine Pricing for Restaurants. Journal of Wine Economics, 10 (2) : 204-224 p.
Coqueret, Guillaume. 2015. Diversified minimum-variance portfolios. Annals of Finance, 11 (2) : 221–241 p.
Coqueret, Guillaume. 2014. Second order risk aggregation with the Bernstein copula. Insurance: Mathematics and Economics, 58 : 150-158 p.
Coqueret, Guillaume. 2013. Lookback option prices under a spectrally negative tempered-stable model. International Journal of Theoretical and Applied Finance, 16 (3)
Academic articles
Coqueret, Guillaume, Guida, Tony. 2023. Machine Learning for Factor Investing: Python Version. New York : Chapman and Hall/CRC, 358 p.
Coqueret, Guillaume. 2022. Perspectives in sustainable equity investing. Boca Raton, FL : CRC Press, 1 vol. (IX -194 p.)
Coqueret, Guillaume, Guida, Tony, Guida, Tony, Guida, Tony. 2020. Machine learning for factor investing: R version. CRC Press, 1 vol. (XIX- 321 p.)
Books
Bonelli, Antoine, Coqueret, Guillaume. 2024. The Determinants of Scope 3 Disclosure among Large Corporations. In Schmidt, Anatoly, Sustainable Investing : Problems and Solutions. Singapore : World Scientific
Coqueret, Guillaume, Morgenstern, Christian, Kelly, James, Stiernegrip, Sascha, Frey-Skött, Johannes, Österberg, Björn. 2022. Enhancing Environment-driven Portfolios with Traditional Factors. In JURCZENKO, Emmanuel, Climate Investing: New Strategies and Implementation Challenges. London : ISTE Ltd, 191-212 p.
Guida, Tony, Coqueret, Guillaume. 2019. Ensemble Learning Applied to Quant Equity: Gradient Boosting in a Multifactor Framework. In Guida, Tony, Big Data and Machine Learning in Quantitative Investment. John Wiley & Sons, 129-148 p.
Book chapters
Coqueret, Guillaume. 2022. Quelques contributions en finance quantitative. Habilitation à Diriger des Recherches ès Sciences de gestion, Université Lumière Lyon 2.
Coqueret, Guillaume. 2012. Options exotiques, lois infiniment divisibles et processus de Lévy: aspects théoriques et pratiques. Doctorat ès Mathématiques appliquées, École doctorale Sciences pour l'Ingénieur (Lille). 99 p.
Thesis
Communications & Seminars
- 29th Australasian Finance and Banking Conference (AFBC), Sydney, Australia, 2016