User profiles for G. Coqueret
Guillaume COQUERETEMLYON Business School Verified email at em-lyon.com Cited by 420 |
Scopes of carbon emissions and their impact on green portfolios
T Anquetin, G Coqueret, B Tavin, L Welgryn - Economic Modelling, 2022 - Elsevier
The aim of this paper is to study the performance of carbon-based portfolios when all emissions
scopes are accounted for. We formalize low-carbon mean-variance portfolio strategies …
scopes are accounted for. We formalize low-carbon mean-variance portfolio strategies …
[BOOK][B] Machine learning for factor investing: R version
G Coqueret, T Guida - 2020 - taylorfrancis.com
Machine learning (ML) is progressively reshaping the fields of quantitative finance and
algorithmic trading. ML tools are increasingly adopted by hedge funds and asset managers, …
algorithmic trading. ML tools are increasingly adopted by hedge funds and asset managers, …
Stock-specific sentiment and return predictability
G Coqueret - Quantitative Finance, 2020 - Taylor & Francis
This paper quantifies the impact of stock-specific news sentiment on future financial returns.
Daily predictive regressions yield significant t-statistics for 7% at most of our sample of more …
Daily predictive regressions yield significant t-statistics for 7% at most of our sample of more …
Characteristics-based portfolio choice with leverage constraints
M Ammann, G Coqueret, JP Schade - Journal of Banking & Finance, 2016 - Elsevier
We show that the introduction of a leverage constraint improves the practical implementation
of characteristics-based portfolios. The addition of the constraint leads to significantly lower …
of characteristics-based portfolios. The addition of the constraint leads to significantly lower …
Diversified minimum-variance portfolios
G Coqueret - Annals of Finance, 2015 - Springer
We build on a one parameter family of weighting schemes arising from $$L^2$$ L 2 -constrained
portfolio optimization problems. The parameter allows to fine tune the trade-off …
portfolio optimization problems. The parameter allows to fine tune the trade-off …
Herding behavior among wine investors
B Aytaç, G Coqueret, C Mandou - Economic Modelling, 2018 - Elsevier
We propose a detailed and comprehensive examination of the two main regression-based
techniques used to detect herding among investors. We also introduce a novel approach …
techniques used to detect herding among investors. We also introduce a novel approach …
[BOOK][B] Perspectives in sustainable equity investing
G Coqueret - 2022 - taylorfrancis.com
Sustainable investing has recently gained traction throughout the world. This trend has
multiple sources, which span from genuine ethical concerns to hopes of performance boosting, …
multiple sources, which span from genuine ethical concerns to hopes of performance boosting, …
[HTML][HTML] Persistence in factor-based supervised learning models
G Coqueret - The Journal of Finance and Data Science, 2022 - Elsevier
… The dataset is the same as the one used in the book by Coqueret and Guida 31 which is an
aggregation of fields from numerous data vendors. e It comprises fundamental data for 1206 …
aggregation of fields from numerous data vendors. e It comprises fundamental data for 1206 …
Approximate NORTA simulations for virtual sample generation
G Coqueret - Expert Systems with Applications, 2017 - Elsevier
We introduce an approximate variant of the NORTA method which aims at generating structured
data from a given prior sample. The technique accommodates for any combinations of …
data from a given prior sample. The technique accommodates for any combinations of …
Forking paths in empirical studies
G Coqueret - Available at SSRN 3999379, 2023 - papers.ssrn.com
We propose a theoretical framework that characterizes the diversity of outcomes in empirical
studies, depending on the nature and number of design choices that researchers make. We …
studies, depending on the nature and number of design choices that researchers make. We …