| Hedge Fund Portfolio Selection with Higher‐order Moments: A Nonparametric Mean–Variance–Skewness–Kurtosis Efficient Frontier E Jurczenko, B Maillet, P Merlin Multi‐moment Asset Allocation and Pricing Models, 51-66, 2012 | 93 | 2012 |
| Multi-moment asset allocation and pricing models E Jurczenko, B Maillet John Wiley & Sons, 2006 | 77 | 2006 |
| The three-moment CAPM: Theoretical foundations and an asset pricing models comparison in an unified framework E Jurczenko, B Maillet Developments in Forecast Combination and Portfolio Choice, 239-273, 2001 | 64 | 2001 |
| Moment component analysis: An illustration with international stock markets E Jondeau, E Jurczenko, M Rockinger Journal of Business & Economic Statistics 36 (4), 576-598, 2018 | 63 | 2018 |
| A note on skewness and kurtosis adjusted option pricing models under the martingale restriction E Jurczenko, B Maillet*, B Negréa Quantitative Finance 4 (5), 479-488, 2004 | 48 | 2004 |
| The four‐moment capital asset pricing model: between asset pricing and asset allocation E Jurczenko, B Maillet Multi‐moment Asset Allocation and Pricing Models, 113-163, 2012 | 47 | 2012 |
| Generalized risk-based investing E Jurczenko, T Michel, J Teiletche Available at SSRN 2205979, 2013 | 38 | 2013 |
| Theoretical Foundations of Asset Allocation and Pricing Models with Higher‐order Moments E Jurczenko, B Maillet Multi‐moment Asset Allocation and Pricing Models, 1-36, 2012 | 34 | 2012 |
| The four-moment capital asset pricing model: some basic results E Jurczenko, B Maillet Chambre de Commerce et d'Industrie de Paris, 2003 | 28 | 2003 |
| Multi-moment approximate option pricing models: A general comparison (part 1) E Jurczenko, BB Maillet, B Negrea Available at SSRN 3175801, 2002 | 28 | 2002 |
| Risk-based and factor investing E Jurczenko Elsevier, 2015 | 26 | 2015 |
| A caviar modelling for a simple time-varying proportion portfolio insurance strategy B Hamidi, E Jurczenko, B Maillet Bankers, Markets & Investors 102, 4-21, 2009 | 26 | 2009 |
| Active risk-based investing E Jurczenko, J Teiletche SSRN, 2019 | 21 | 2019 |
| Factor investing: From traditional to alternative risk premia E Jurczenko Elsevier, 2017 | 18 | 2017 |
| The approximate option pricing model: performances and dynamic properties G Capelle-Blancard, E Jurczenko, B Maillet Journal of Multinational Financial Management 11 (4-5), 427-443, 2001 | 15 | 2001 |
| Machine learning for asset management: new developments and financial applications E Jurczenko John Wiley & Sons, 2020 | 14 | 2020 |
| Multi-moment asset allocation and pricing models M Rubinstein John Wiley & Sons, 2006 | 14 | 2006 |
| Skewness and kurtosis implied by option prices: a second comment E Jurczenko, B Maillet, B Negrea Financial Markets Group, The London School of Economics and Political Science, 2002 | 14 | 2002 |
| Expected Shortfall asset allocation: A multi-dimensional risk-budgeting framework E Jurczenko, J Teiletche The Journal of Alternative Investments 22 (2), 7-22, 2019 | 12 | 2019 |
| A unified framework for risk-based investing E Jurczenko, M Thierry, J Teiletche Journal of Investments Strategies, 2015 | 12 | 2015 |
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