Emmanuel Jurczenko
Clinical Professor
Finance
Hotel school of Lausanne
Switzerland
Biography
Dr. Emmanuel Jurczenko is an Clinical Professor at Ecole Hôtelière de Lausanne, he received PhD in Economics. And he has published numerous research papers in academic and professional journals in addition to several books on portfolio construction, risk-based and factor investing and alternative investments.
Research Interest
Portfolio management, Systematic management, Alternative funds and private equity, Portfolio management, Systematic management and alternative funds.
Publications
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Capelle-Blancard G., E. Jurczenko and B. Maillet (2001). The Approximate Option Pricing Model : Performances and Dynamic Properties, Journal of Multinational Financial Management.
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E. Jurczenko, B. Maillet and B. Negréa (2004). A Note on Skewness and Kurtosis Adjusted Option Pricing Models under Martingale Restriction, Quantitative finance.
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Jurczenko E. and B. Maillet, (2006). Multi-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, 236 pages.
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B. Hamidi, E. Jurczenko and B. Maillet (2009). A CAViaR Time Varying Proportion Portfolio Insurance, Bankers, Markets and Investors.
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E. jurczenko Editor (2015). Risk-Based and Factor Investing, Elsevier/ISTE.
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E. Jurczenko, T. Michel and J. Teiletche (2015). Generalized Risk Based Investing, Journal of Investment Strategies.
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Gunther Capelle-Blancard, Emmanuel Jurczenko, Bertrand Maillet (2001), “The approximate option pricing model: performances and dynamic propertiesâ€, Journal of Multinational Financial Management, 11, 427-443.
