Guillaume COQUERET

Morgenstern, Christian, Coqueret, Guillaume, Kelly, James. 2022. International market exposure to sovereign ESG. Journal of Sustainable Finance & Investment, 20 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.

Chevalier, Guillaume, Coqueret, Guillaume, Raffinot, Thomas. 2022. Supervised portfolios. Quantitative Finance, FORTH

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.

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, 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.

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)

Coqueret, Guillaume. 2022. Perspectives in sustainable equity investing. Boca Raton, FL : CRC Press, 1 vol. (IX -194 p.)

Coqueret, Guillaume, Guida, Tony, Guida, Tony. 2020. Machine learning for factor investing: R version. CRC Press, xix, 321 pages

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.

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.