Sébastien LLEOFinance PhD (Authorization to supervise research), Social Science and Humanities Thesis: Optimal portfolio selection - from risk-sensitive control to behavioural finance and data science Email: firstname.lastname@example.org
- Investment management, Stochastic control and stochastic analysis, Stochastic portfolio optimization models for asset managers, pension funds and insurance companies, Financial data science, statistical learning and machine learning, Behavioral finance, Financial risk management, Derivatives pricingBiography:
Sébastien Lleo is Associate Professor of Finance and Head of the MSc in Risk and Financial Technologiesat NEOMA Business School (France). He is also a tutor on the Certificate in Quantitative Financeat FitchLearning (UK), and a member of the Steering Group of the CQF Institute. Previously, Sébastien served as Director of the Doctoral School at NEOMA Business Schoolfor five years, during which he developed the PhD in Management and a DBA in partnership with Shanghai Jiaotong University. Before joining NEOMA, Sébastien was a Research Associate at Imperial College London (UK), worked over seven years in the investment industry in Canada and consulted on risk management and asset allocation in both Canada and the UK. He also held a visiting position at the Frankfurt School of Finance and Management (Germany), and was the lead researcher on the RISK PERFORM project, jointly funded by Région Champagne Ardennes and the European Union. Sébastien’s main research interests include investment management, stochastic control and stochastic analysis, data science and machine learning, behavioural finance, risk management and asset pricing. Selected articles appeared in SIAM Journal of Control and Optimization,Quantitative Finance, SIAM Journal on Financial Mathematics, International Journal of Forecasting, Financial Markets, Institutions & Instrumentsand Journal of Portfolio Management. Sébastien is Book Review Editor for Quantitative Finance. He is also the author of several book chapters, a monograph on risk management commissioned by the Research Foundation of the CFA Institute and the coauthor of two books: Risk-Sensitive Investment Managementwith M. Davis, and Stock Market Crashes Predictable and Unpredictable and What to do About Themwith W. T. Ziemba and M. Zhitlukhin. He presented his research at leading conferences and seminars in Europe, North America and Asia Pacific. Sébastien holds a PhD in Mathematics from Imperial College London (UK), MBA from University of Ottawa (Canada), and MSc in Management from the Ecole Supérieure de Commerce de Reims (now NEOMA Business School, France). He is also a CFA Charterholder, a Certified Financial Risk Manager, a Professional Risk Manager, and a CQF alumnus.