I co-organize the CMAP - CREST Quantitative Sustainable Economics and Finance (QSEF) seminar, a monthly in-person seminar series, hosted by CMAP (Ecole Polytechnique) and CREST (Ecole Polytechnique and ENSAE), featuring research presentations that address sustainable (including green) economics and finance issues through quantitative approaches, along with Patricia Crifo, Emmanuel Gobet, Peter Tankov, and Gauthier Vermandel.

Working papers

• When Green Investors Are Green Consumers (with Maxime Sauzet), Reject and Resubmit, Review of Financial Studies

Presentations (including scheduled): UC Berkeley Macro Lunch, Boston College - Boston University Green Line Macro Meeting, Yale Junior Finance Conference, HEC - HKUST Sustainable Finance seminar, Banque de France, Maastricht University, Ecole Polytechnique, Université Paris 1 - Panthéon Sorbonne, RCN seminar, University of Oxford, Paris December Finance meeting (2022), Green Finance Research Advances (2023), International Congress on Industrial and Applied Mathematics (2023), MFA (2023), Finance Down Under (2023), SFS Cavalcade (2023), EFA (2023), London-Paris Bachelier workshop, Colorado Finance Summit (2023).

• Empirical Asset Pricing with Score-Driven Conditional Betas (with Thomas Giroux and Julien Royer), Revise and Resubmit, Journal of Financial Econometrics

Publications

• Climate Impact Investing (with Tiziano De Angelis and Peter Tankov) [SSRN], Management Science (forthcoming)

Research Prize Finalist, European Investment Forum - University of Cambridge (2021)

• A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from environmental integration and sin stock exclusion [SSRN], Review of Finance, 2022

Best Paper Award, Paris December Meeting (2020).

• The effect of pro-environmental preferences on bond prices: Evidence from green bonds [SSRN], Journal of Banking and Finance, 2019

#1 most cited article published by the JBF over three years (2019-2022). Winner of the SUERF/UniCredit Foundation & Universities Research Prize (2018); Best Paper Award, International Conference on Finance (2018); Best Paper Award, International Conference on Energy, Finance and the Macroeconomy (2017).

Other studies

Publications in actuarial sciences and operations research

Optimal asset allocation with liquidity and withdrawal risks (with Areski Cousin, Ying Jiao, and Christian Robert), Risks, 2022

Asset allocation strategies in the presence of liability constraints (with Areski Cousin, Ying Jiao, and Christian Robert), Insurance: Mathematics and Economics, 2016

Publications in French

Indicateurs environnementaux : caractéristiques d'une mesure agrégée pertinente (with Jean-Guillaume Peladan, Julie Raynaud, and Peter Tankov), Revue d'Economie Financière (special issue on Climate Finance), 2020

Le cancer du rein sporadique du sujet jeune : étude des particularités cliniques et anatomopathologiques d'une cohorte bicentrique  (with Jérémy Cohen, Olivier Timsit, Morgan Rouprêt, Virginie Verkarre, Eva Comperat, Arnaud Mejean, and Olivier Bitker), Progrès en Urologie, 2018

Autour des taux d’intérêt écologiques (with Olivier Guéant and Jean-Michel Lasry), Cahiers de la Chaire Finance et Développement Durable, n°3, October 2007

Professional and policy papers

Socially Responsible Investing Strategies under Pressure: Evidence from the COVID-19 Crisis, (with Gunther Capelle-Blancard and Adrien Desroziers), Journal of Portfolio Management, 2021

Is the EIB paving the way for a “Green Premium”?, Natixis Research Report, p6-7, April 2017

Evaluation de la gestion d'actifs d’un investisseur institutionnel, Groupama Asset Management Research Paper, Sept. 2016

La volatilité des ratios de Solvabilité 2 à l’épreuve des variations de marché : quelles solutions? (with Claire Bourgeois and Réda Jabrazko) ITEMS, n°2, June 2015

Equities: an attractive asset class for an institutional investor in the current environment, The letter Funds & Strategy n°136, 2014

The interest of simulating liabilities to optimize the asset allocation of an insurance company, The letter Funds & Strategy n°131, 2013

The advantage of introducing convexity into the assets of a life insurer, The letter Funds & Strategy n°128, 2013

Controling the volatility of an insurance company solvency, The letter Funds & Strategy n°115, 2012

The interest of hedging techniques under Solvency II, The letter Funds & Strategy n°114, 2012

Growing interest in diversifying asset classes, The letter Funds & Strategy n°113, 2012

Jean-Baptiste Olive (1848-1936) : Calanque d'En-Vau and L'entrée du port de Marseille.