MS1 en-us
MS2 Professor (m)
MS3 Professor (m)
MS4 Professor
MS2 Professor (m)
MS3 Professor (m)
MS4 Professor
Jean-Guy Simonato
Professor, Department of Finance
Contact information
HEC Montréal3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7
Email : jean-guy.simonato@hec.ca
Phone : 514 340-6807
Secretary: 514 340-6823
Fax : 514 340-5632
Office : 4.205
Personal page
Education
- M.Sc., HEC Montréal
- Ph.D.(finance), McGill
Expertise
- Fixed Interest Securities
- Derivative Products
- Applying Econometrics to Financial Problems
This publication selection covers the last five years.
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Journal articles (7)
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.
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.
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.
SIMONATO, Jean-Guy;
« American option pricing under GARCH with non-normal innovations »,
Optimization and Engineering, vol. 20, no 3, 2019, p. 853-880.
SIMONATO, Jean-Guy;
« Dynamic asset allocation with event risk, transaction costs and predictable returns »,
Mathematics and Financial Economics, vol. 12, no 4, 2018, p. 561-587.
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Book chapters (1)
SIMONATO, Jean-Guy;
« New Warrant Issues Valuation with Leverage and Equity Model Errors »,
World Scientific Reference on Contingent Claims Analysis in Corporate Finance. Volume 1: Foundations of CCA and Equity Valuation, World Scientific Publishing Co., 2019, p. 329-359.
This selection of supervision activities covers the last five years.
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Dissertation direction – PhD in Administration (1)
In codirection with : DENAULT, Michel
Solving Optimal Portfolio Choice Problems with Predictable Returns by Dynamic Programming Methods, by Si Yang Wu
October 2018
Solving Optimal Portfolio Choice Problems with Predictable Returns by Dynamic Programming Methods, by Si Yang Wu
October 2018
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Master's thesis direction – MSc in Management (2)
In codirection with : DENAULT, Michel
Goal-Based Wealth Management by Reinforcement Learning, by Ioannis Volakakis
March 2024
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
Reinforcement Learning Algorithms for a Dynamic Goal-Based Wealth Management Problem, by Maxence Prémont
November 2021
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Supervised project supervision – MSc in Management (8)
Construction de la courbe souveraine de taux d'intérêt U.S. , by Anthony Tremblay
May 2024
May 2024
Application des options réelles en contexte d'expansion de capacité pour Hydro-Québec , by Benjamin Lies
August 2023
August 2023
Direct Versus Iterated Multiperiod Value-at-Risk Forecasts: the NGARCH Case , by Navneet Singh
August 2023
August 2023
Décomposition du momentum pour diminuer le risque d'effondrement , by Mathieu Watier
August 2023
August 2023
Validation of Probability of Default and Loss Given Default Parameters of a Portfolio of Retail Loans , by Guillaume St-Arnaud
September 2021
September 2021
Mise en œuvre de l'approche « Goals-Based Wealth Management » de Das et al. (2018) , by Nicolas Vin
September 2021
September 2021
Validation of Loss Given Default for a Portfolio of Sovereign Debt , by Louis Gendreau
September 2021
September 2021
Les 5 facteurs Fama-French au Canada , by Ludovic Desharnais-Gervais
September 2020
September 2020
Fall 2024
FINA 60211A
Winter 2024
FINA 20210
Fall 2023
FINA 20210
Winter 2023
FINA 20210
Fall 2022
FINA 60211A