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6-8 avenue de la Porte de Champerret, 75017 Paris, France

You can download my CV here.

Asset pricing, portfolio choice, behavioral economics and finance, decision theory

Systematic Skewness and Stock Returns (SSRN); Review of Asset Pricing Studies, forthcoming.
Crowding and Tail Risk in Momentum Returns (SSRN), with Pedro Barroso and Roger M. Edelen; Journal of Financial and Quantitative Analysis, 2022, Volume 57, Issue 4, 1313-1342.
Time-Varying State Variable Risk Premia in the ICAPM (SSRN), with Pedro Barroso and Martijn Boons; Journal of Financial Economics, 2021, Volume 139, Issue 2, 428-451.
Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds (SSRN), with Frans de Roon; Management Science, 2020, Volume 66, Issue 12, 5969-5989.
- Matlab functions for the tests are available for download here.
Stereotypes, Underconfidence and Decision-Making with an Application to Gender and Math (SSRN), with Elyès Jouini and Clotilde Napp; Journal of Economic Behavior & Organization, 2018, Volume 148, 34-45.
A Simple Skewed Distribution with Asset Pricing Applications (SSRN, BusinessThink, Correction), with Frans de Roon; Review of Finance, 2017, Volume 21, Issue 6, 2169-2197.
- Matlab and Excel functions for the distribution are available for download here.
On Portfolio Choice with Savoring and Disappointment (SSRN), with Elyès Jouini and Clotilde Napp; Management Science, 2014, Volume 60, Issue 3, 796-804.

Beta Horizons, with Frans de Roon
First-Order Prudence and its Implications for Precautionary Savings and the Risk-Free Rate, with Sebastian Ebert
Skewness Preferences in Choice under Risk, with Sebastian Ebert
- The online appendix that contains the complete characterizations of skewness preferences in leading theories of choice under risk (including propect theory) and many additional results is available here.
Two Skewed Risks, with Arthur Beddock