Serge Darolles

Publication Activity (10 Years)

Years Active: 2011-2019
Publications (10 Years): 1

Top Topics

Gaussian Markov Random Field

Maximum Entropy

Learning Scheme

Portfolio Selection

Top Venues

Int. J. Approx. Reason.

J. Multivar. Anal.

Publications

Serge Darolles, Gaëlle Le Fol, Yang Lu, Ran Sun
Bivariate integer-autoregressive process with an application to mutual fund flows. J. Multivar. Anal. 173 (2019)
Serge Darolles, Christian Gouriéroux
Performance fees and hedge fund return dynamics. Int. J. Approx. Reason. 65 (2015)
Serge Darolles, Christian Gouriéroux
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme. TES (2014)
Serge Darolles, Christian Gouriéroux
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark Scheme. TES (2014)
Emmanuelle Jay, Patrick Duvaut, Serge Darolles, Christian Gouriéroux
-regularization of the Kalman Filter for exogenous outlier removal: Application to hedge funds analysis. CAMSAP (2011)
Emmanuelle Jay, Patrick Duvaut, Serge Darolles, Arnaud Chrétien
Multifactor Models. IEEE Signal Process. Mag. 28 (5) (2011)