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Charles-Olivier Amédée-Manesme

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2022
[j4]
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Charles-Olivier Amédée-Manesme, Fabrice Barthélémy:
Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion. Ann. Oper. Res. 313(2): 691-712 (2022)
2019
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Charles-Olivier Amédée-Manesme, Fabrice Barthélémy, Philippe Bertrand, Jean-Luc Prigent:
Mixed-asset portfolio allocation under mean-reverting asset returns. Ann. Oper. Res. 281(1-2): 65-98 (2019)
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Charles-Olivier Amédée-Manesme, Fabrice Barthélémy, Didier Maillard:
Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to VaR and CVaR. Ann. Oper. Res. 281(1-2): 423-453 (2019)
2018
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Charles-Olivier Amédée-Manesme, Fabrice Barthélémy:
Ex-ante real estate Value at Risk calculation method. Ann. Oper. Res. 262(2): 257-285 (2018)

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