![](https://preprod.neoma-bs.fr/sites/default/files/uploaded_images/profs-neoma_0.png)# LLEO Sébastien { "@context": "https://schema.org", "@type": "BreadcrumbList", "itemListElement": [ { "@type": "ListItem", "position": 1, "name": "Accueil", "item": "https://preprod.neoma-bs.fr/" }, { "@type": "ListItem", "position": 2, "name": "LLEO\u0020S\u00E9bastien", "item": "https://preprod.neoma-bs.fr/node/8440.md" } ] } - [Accueil](https://preprod.neoma-bs.fr/) - LLEO Sébastien ![](/sites/default/files/styles/large/public/uploaded_images/photos_academ/1980-lleo-sbastien.jpg?itok=7M_JOTHn)LLEO Sébastien Professeur - À propos - Publications académiques [Finance](https://preprod.neoma-bs.fr/departements/finance) 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. ### Domaines de recherche - Contrôle et estimation stochastique - Gestion d'actifs - Marchés financiers - Apprentissage machine - apprentissage par renforcement ## Récentes contributions académiques 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 : [ 10.1007/s10479-024-06281-1 ](https://dx.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 ](https://dx.doi.org/10.54946/wilm.12123) 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 ## Publications 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 : [ 10.1007/s10479-024-06281-1 ](https://dx.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 ](https://dx.doi.org/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 : [ 10.1007/s10479-022-05130-3 ](https://dx.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 ](https://dx.doi.org/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 ](https://dx.doi.org/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 : [ 10.5750/jpm.v17i1.2039 ](https://dx.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 ](https://dx.doi.org/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 ](https://dx.doi.org/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 : [ 10.1016/j.jbank?n.2020.105759 ](https://dx.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 : [ 10.1080/1351847X.2018.1521859 ](https://dx.doi.org/10.1080/1351847X.2018.1521859) 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 : [ 10.3905/jpm.2018.1.078 ](https://dx.doi.org/10.3905/jpm.2018.1.078) 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 ](https://dx.doi.org/10.1080/14697688.2017.1401225) 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 ](https://dx.doi.org/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 ](https://dx.doi.org/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 ](https://dx.doi.org/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 ](https://dx.doi.org/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., 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 ](https://dx.doi.org/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 ](https://dx.doi.org/10.3390/ijfs3030351) 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 ](https://dx.doi.org/10.1016/j.ijforecast.2015.02.001) 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 ](https://dx.doi.org/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 ](https://dx.doi.org/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 ## Old reviews 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 : [ 10.1080/14697688.2019.1591632 ](https://dx.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 : [ 10.1080/14697688.2018.1475617 ](https://dx.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 : [ 10.1080/14697688.2018.1533080 ](https://dx.doi.org/10.1080/14697688.2018.1533080) ## Chapitres 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 ](https://dx.doi.org/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 ## Conferences 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 ## Conference invitations 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 ## Livres 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 ## Contributions dans une conférence 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 ## Séminaires de recherche 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