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Michel Denault

Professor,  Department of Decision Sciences


Michel Denault

Contact information

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

Email: michel.denault@hec.ca
Phone: 514 340-7161
Secretary: 514 340-6472
Fax: 514 340-6736
Office: 4.836

Personal page

Other title(s)

Education

  • M.Math., University of Waterloo
  • Ph.D. (Operations Research), McGill University

Expertise

  • Financial engineering
  • Risk management
  • Energy derivatives
  • Environmental finance

This publication selection covers the last five years.


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Journal articles (3)


DENAULT, Michel, SIMONATO, Jean-Guy; « Dynamic portfolio choices by simulation-and-regression: Revisiting the issue of value function vs portfolio weight recursions », Computers & Operations Research, vol. 79, 2017, p. 174-189.

DENAULT, Michel, DELAGE, Erick, SIMONATO, Jean-Guy; « Dynamic portfolio choice: a simulation-and-regression approach », Optimization and Engineering, vol. 18, no 2, 2017, p. 396-406.

DENAULT, Michel, SIMONATO, Jean-Guy, STENTOFT, Lars; « A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables », Computers & Operations Research, vol. 40, no 11, Novembre 2013, p. 2760-2769.



This selection of supervision activities covers the last five years.

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Master's thesis direction – MSc in Management (1)

In codirection with : SIMONATO, Jean-Guy
Contrôle optimal d'un système hydro-électrique par simulations et régressions, by Jean-Philippe Olivier-Meunier
September 2016

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Supervised project supervision – MSc in Management (3)

Optimisation des ventes d'un système hydroélectrique. Une approche d'optimisation linéaire par classes. , by Toussida Dabilgou
September 2017

Rendement total , by Sophie Chaudru De Raynal
March 2015

Modèle de prévision des prix horaires de l'électricité dans plusieurs marchés nord-américains , by Marie-Emmanuelle Juste
March 2015


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