hec.ca > Faculty

Jean-Guy Simonato

Professor,  Department of Finance

Jean-Guy Simonato

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email : jean-guy.simonato@hec.ca
Phone : 514 340-6807
Secretary: 514 340-6823
Fax : 514 340-5632
Office : 4.205

Personal page

Education

  • M.Sc., HEC Montréal
  • Ph.D.(finance), McGill

Expertise

  • Fixed Interest Securities
  • Derivative Products
  • Applying Econometrics to Financial Problems

This publication selection covers the last five years.


+

Journal articles (7)

SIMONATO, Jean-Guy, DENAULT, Michel; « Multiperiod portfolio allocation: A study of volatility clustering, non-normalities and predictable returns », The North American Journal of Economics and Finance, vol. 68, 2023, p. 1-21.

SIMONATO, Jean-Guy; « Maximizing the Probability to Reach the Goal: An Exploration Exercise in Goal-Based Wealth Management », Journal of Portfolio Management, vol. 49, no 5, 2023, p. 189-207.

FORTIN, Alain Philippe, SIMONATO, Jean-Guy, DIONNE, Georges; « Forecasting expected shortfall: Should we use a multivariate model for stock market factors? », International Journal of Forecasting, vol. 39, no 1, 2023, p. 314-331.

DENAULT, Michel, SIMONATO, Jean-Guy; « A note on a dynamic goal-based wealth management problem », Finance Research Letters, vol. 46, no Part B, 2022, p. 1-8.

LALANCETTE, Simon, SIMONATO, Jean-Guy; « Portfolios of value and momentum: disappointment aversion and non-normalities », Quantitative Finance, vol. 22, no 7, 2022, p. 1247-1263.

SIMONATO, Jean-Guy; « American option pricing under GARCH with non-normal innovations », Optimization and Engineering, vol. 20, no 3, 2019, p. 853-880.

SIMONATO, Jean-Guy; « Dynamic asset allocation with event risk, transaction costs and predictable returns », Mathematics and Financial Economics, vol. 12, no 4, 2018, p. 561-587.

+

Book chapters (1)

SIMONATO, Jean-Guy; « New Warrant Issues Valuation with Leverage and Equity Model Errors », World Scientific Reference on Contingent Claims Analysis in Corporate Finance. Volume 1: Foundations of CCA and Equity Valuation, World Scientific Publishing Co., 2019, p. 329-359.


This selection of supervision activities covers the last five years.

+

Dissertation direction – PhD in Administration (1)
In codirection with : DENAULT, Michel
Solving Optimal Portfolio Choice Problems with Predictable Returns by Dynamic Programming Methods, by Si Yang Wu
October 2018

+

Master's thesis direction – MSc in Management (2)
In codirection with : DENAULT, Michel
Goal-Based Wealth Management by Reinforcement Learning, by Ioannis Volakakis
March 2024

In codirection with : DENAULT, Michel
Reinforcement Learning Algorithms for a Dynamic Goal-Based Wealth Management Problem, by Maxence Prémont
November 2021

+

Supervised project supervision – MSc in Management (7)
Application des options réelles en contexte d'expansion de capacité pour Hydro-Québec , by Benjamin Lies
August 2023

Décomposition du momentum pour diminuer le risque d'effondrement , by Mathieu Watier
August 2023

Direct Versus Iterated Multiperiod Value-at-Risk Forecasts: the NGARCH Case , by Navneet Singh
August 2023

Mise en œuvre de l'approche « Goals-Based Wealth Management » de Das et al. (2018) , by Nicolas Vin
September 2021

Validation of Loss Given Default for a Portfolio of Sovereign Debt , by Louis Gendreau
September 2021

Validation of Probability of Default and Loss Given Default Parameters of a Portfolio of Retail Loans , by Guillaume St-Arnaud
September 2021

Les 5 facteurs Fama-French au Canada , by Ludovic Desharnais-Gervais
September 2020