Jean-Guy Simonato

This publication selection covers the last five years.

Journal articles (5)

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 .

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 .

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 .

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 .

This selection of supervision activities covers the last five years.

Thesis direction – Master of Science 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 direction – Master of Science in Management (10)

The Relevance of the TSX Venture Data in Cross-Section Analyses of the Canadian Stock Market, by Shaghayegh Hossein Ghanemi

October 2024

Analyse des fonds à cycle de vie disponibles sur le marché, by Nicolas Therrien

September 2024

Construction de la courbe souveraine de taux d'intérêt U.S., by Anthony Tremblay

May 2024

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