Investment


Journal Articles


1. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi entropy portfolios. In: Annals of Operations Research, (2019). doi:10.1007/s10479-019-03364-2 (Accepté/Sous presse). http://hdl.handle.net/2078.1/218951

2. Mazza, Paolo; Petitjean, Mikael. Testing the effect of technical analysis on market quality and order book dynamics. In: Applied Economics, Vol. 51, no.18, p. 1947-1976 (2019). doi:10.1080/00036846.2018.1529404. http://hdl.handle.net/2078.1/212373

3. Vrins, Frédéric; Petitjean, Mikael. Extreme events and the cumulative distribution of net gains in gambling and structured products. In: Applied Economics, Vol. 50, no. 58, p. 6285-6300 (2018). doi:10.1080/00036846.2018.1489514. http://hdl.handle.net/2078.1/199211

4. Mazza, Paolo; Petitjean, Mikael. Implicit transaction cost management using intraday price dynamics. In: Applied Economics, Vol. 50, no. 39, p. 4264-4274 (2018). doi:10.1080/00036846.2018.1441523. http://hdl.handle.net/2078.1/203431

5. Petitjean, Mikael. What explains the success of reward-based crowdfunding campaigns as they unfold? Evidence from the French crowdfunding platform KissKissBankBank. In: Finance Research Letters, Vol. 26, p. 9-14 (2018). doi:10.1016/j.frl.2017.11.005. http://hdl.handle.net/2078.1/203432

6. Petitjean, Mikael. Les sept familles de l'ISR. In: B NQ Quaterly, Vol. 2015, no.Octobre, p. 26 (15 octobre 2015). http://hdl.handle.net/2078.1/166382

7. Godart, Camille; Petitjean, Mikael. De la médiocrité des conseils d’investissement de Test-Achats invest sur actions individuelles. In: Brussels Economic Review, Vol. 57, no.3, p. 1-28 (AUTUMN 2014). http://hdl.handle.net/2078.1/166322

8. Petitjean, Mikael. Testing the profitability of contrarian trading strategies based on the overreaction hypothesis. In: Bankers, Markets & Investors, Vol. 2014, no.133, p. 4-10 (Nov-Dec 2014). http://hdl.handle.net/2078.1/152863

9. Caliman, Thibaut; D'Hondt, Catherine; Petitjean, Mikael. Determining an optimal multiplier in dynamic core-satellite strategies. In: The Journal of Asset Management, Vol. 14, no.4, p. 210-227 (2013). doi:10.1057/jam.2013.16. http://hdl.handle.net/2078.1/141841


Working Papers


1. De Winne, Rudy. Measuring the disposition effect (xxx), 2020. 13 p. http://hdl.handle.net/2078.1/227132

2. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi entropy portfolios (xxx), 2019. 33 p. http://hdl.handle.net/2078.1/211168

3. Lassance, Nathan; Vrins, Frédéric. Robust portfolio selection using sparse estimation of comoment tensors (xxx), 2019. 25 p. http://hdl.handle.net/2078.1/223396

4. Petitjean, Mikael. Implicit transaction cost management using intraday price dynamics (xxx), 2018. 23 p. http://hdl.handle.net/2078.1/196937

5. Petitjean, Mikael. What explains the success of reward-based crowdfunding campaigns as they unfold? (xxx), 2018. 8 p. http://hdl.handle.net/2078.1/196938

6. Profeta, Christophe; Vrins, Frédéric. Piecewise constant martingales and lazy clocks (xxx), 2017. 18 p. http://hdl.handle.net/2078.1/190145