Michel Denault

Professor, Department of Decision Sciences

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email : michel.denault@hec.ca
Phone : 514 340-7161
Secretary: 514 340-6472
Fax : 514 340-6736
Office : 4.317

Personal page

Education

M.Math., University of Waterloo
Ph.D. (Operations Research), McGill University

Expertise

Financial engineering
Risk management
Energy derivatives
Environmental finance

This publication selection covers the last five years.

Journal articles (3)

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.

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.

MITJANA, Florian, DENAULT, Michel, DEMEESTER, Kenjy; « Managing chance-constrained hydropower with reinforcement learning and backoffs », Advances in Water Resources , vol. 169, 2022, p. 1-15.

This selection of supervision activities covers the last five years.

Master's thesis direction – MSc in Management (3)

In codirection with : SIMONATO, Jean-Guy
Goal-Based Wealth Management by Reinforcement Learning, by Ioannis Volakakis
March 2024

In codirection with : SIMONATO, Jean-Guy
Reinforcement Learning Algorithms for a Dynamic Goal-Based Wealth Management Problem, by Maxence Prémont
November 2021

In codirection with : CÔTÉ, Pascal
Contrôle optimal d'options réelles par apprentissage par renforcement: application à la gestion hydroélectrique, by Mael Veron
September 2019

Supervised project supervision – MSc in Management (3)

Portfolio Investment during summer internship in Fosun Group , by Hourong Kong
March 2022

Utilisation des techniques d'apprentissage automatique et d'apprentissage profond pour l'estimation des prix locaux marginaux de l'énergie aux marchés de la veille et temps réel de PJM , by Melany Delgado
September 2020

In codirection with : PINEAU, Pierre-Olivier
Analyse du marché de l'électricité en France et évaluation des droits de transmission physique entre la France et l'Allemagne , by David Landry
November 2019