| Risk-sensitive benchmarked asset management M Davis, S Lleo Quantitative Finance 8 (4), 415-426, 2008 | 76 | 2008 |
| Risk-sensitive investment management MHA Davis, S Lleo World Scientific, 2014 | 56 | 2014 |
| Jump-diffusion risk-sensitive asset management I: diffusion factor model M Davis, S Lleo SIAM Journal on Financial Mathematics 2 (1), 22-54, 2011 | 43 | 2011 |
| Jump-diffusion risk-sensitive asset management II: jump-diffusion factor model M Davis, S Lleo SIAM Journal on Control and Optimization 51 (2), 1441-1480, 2013 | 41 | 2013 |
| Stock market crashes in 2007–2009: were we able to predict them? S Lleo, WT Ziemba Quantitative Finance 12 (8), 1161-1187, 2012 | 39 | 2012 |
| Black–Litterman in continuous time: the case for filtering M Davis, S Lleo Quantitative Finance Letters 1 (1), 30-35, 2013 | 37 | 2013 |
| Does the bond‐stock earnings yield differential model predict equity market corrections better than high P/E models? S Lleo, WT Ziemba Financial Markets, Institutions & Instruments 26 (2), 61-123, 2017 | 34 | 2017 |
| Risk management: A review S Lleo Research Foundation Literature Review 4 (1), 1-51, 2009 | 33 | 2009 |
| Stock market crashes: predictable and unpredictable and what to do about them WT Ziemba, M Zhitlukhin, S Lleo World Scientific, 2017 | 24 | 2017 |
| Some historical perspectives on the bond-stock earnings yield model for crash prediction around the world S Lleo, WT Ziemba International Journal of Forecasting 31 (2), 399-425, 2015 | 22 | 2015 |
| The Swiss black swan bad scenario: Is Switzerland another casualty of the Eurozone crisis? S Lleo, WT Ziemba International Journal of Financial Studies 3 (3), 351-380, 2015 | 20 | 2015 |
| Fractional Kelly strategies for benchmarked asset management M Davis, S Lleo The Kelly Capital Growth Investment Criterion: Theory and Practice, 385-407, 2011 | 20 | 2011 |
| Fractional Kelly strategies in continuous time: Recent developments M Davis, S Lleo Handbook of the Fundamentals of Financial Decision Making: Part II, 753-787, 2013 | 19 | 2013 |
| Debiased expert forecasts in continuous-time asset allocation M Davis, S Lleo Journal of Banking & Finance 113, 105759, 2020 | 18 | 2020 |
| Can Warren Buffett forecast equity market corrections? S Lleo, WT Ziemba The European Journal of Finance 25 (4), 369-393, 2019 | 17* | 2019 |
| Predicting Chinese stock market crashes S Lleo, WT Ziemba The Journal of Portfolio Management 44 (5), 125-135, 2018 | 14* | 2018 |
| Risk‐sensitive benchmarked asset management with expert forecasts MHA Davis, S Lleo Mathematical Finance 31 (4), 1162-1189, 2021 | 12 | 2021 |
| The bond-stock earnings yield differential model: additional applications and other models for stock market crash prediction S Lleo, WT Ziemba Quantitative Finance Letters 4 (1), 26-34, 2016 | 12 | 2016 |
| Risk sensitive investment management with affine processes: a viscosity approach M Davis, S Lleo Recent Advances In Financial Engineering 2009, 1-41, 2010 | 12 | 2010 |
| Combining standard and behavioral portfolio theories: a practical and intuitive approach A Alles Rodrigues, S Lleo Quantitative Finance 18 (5), 707-717, 2018 | 11 | 2018 |
Grzegorz AndruszkiewiczImperial College LondonBestätigte E-Mail-Adresse bei ic.ac.uk
