MAILLARD Didier

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Working Paper 15.09.2020 Retirement Savings: The Tax Issue
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Providing for retirement is a prominent motivation for saving.

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Working Paper 4.10.2018 Tail Risk Adjusted Sharpe Ratio

The Sharpe Ratio has become a standard measure of portfolio management performance, taking into account the risk side. In that framework, the consideration of r...

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Working Paper 14.06.2016 Asset Allocation under (one's own) Sovereign Default Risk

The Greek drama of the late 2000s has returned sovereign risk awareness to centre stage.

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Working Paper 14.01.2015 Option Pricing under Skewness and Kurtosis using a Cornish Fisher Expa...
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This paper revisits the pricing of options, in a context of financial stress, when the underlying asset’s returns displays skewness and excess kurtosis.

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Working Paper 16.12.2014 Modelling Tail Risk in a Continuous Space
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Non normal distributions are a fact of life. In the financial world, many distributions display tail risk, i.e. (negative) skewness and excess kurtosis.

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Working Paper 15.12.2011 The Management of Retirement Savings revisited

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