Formation
- 2010 : Ph.D. in Operations Research, Columbia University, USA
- 2009 : Ph.D. in Applied Mathematics, Ecole Polytechnique, France
- 2005 : MSc in Probability and Finance, University Pierre et Marie Curie (Paris VI), France
- 2005 : MSc in Engineering, ENSTA, France
Expériences Professionnelles
Expérience académique :
- 2021 - maintenant, Associate Professor, IÉSEG School of Management, , France
- 2020 - 2020, Adjunct Professor, EDHEC Business School, Nice, France
- 2011 - 2015, Adjunct Professor, EDHEC Business School, Nice, France
- 2010 - 2015, Senior Research Engineer, EDHEC Business School, Nice, France
Expérience en entreprise :
- 2015 - 2020, Head of Research, Fundvisory, Paris, France
- 2005 - 2005, Quantitative Researcher, HSBC France, Paris, France
Articles publiés dans des revues à comité de lecture
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Deguest R., Martellini L., Milhau V., (2022). An Empirical Analysis of the Benefits of Corporate Bond Portfolio Optimization in the Presence of Duration Constraints, Journal of Fixed Income, 31 (4) 50-82.
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Deguest R., Martellini L., Meucci A., (2022). Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions, The Journal of Portfolio Management, 48 (4) 108-135.
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Deguest R., Fabozzi F., Martellini L., Milhau V., (2018). Bond Portfolio Optimization in the Presence of Duration Constraints, Journal of Fixed Income, 28 (1) 6-26.
Afficher tout
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Deguest R., Martellini L., Milhau V., (2018). A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems, Management Science, 64 (9) 4333-4347.
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Meucci A., Santangelo A., Deguest R., (2015). Risk budgeting and diversification based on optimized uncorrelated factors, Risk, 11 (29) 70-75.
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Deguest R., Martellini L., Milhau V., (2015). Mass Customization in Life-Cycle Investing Strategies with Income Risk, Bankers, Markets & Investors (Banque & Marchés), Issue (139) 28-44.
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Deguest R., Martellini L., Milhau V., (2014). Hedging versus Insurance: Long-Horizon Investing with Short-Term Constraints, Bankers, Markets & Investors (Banque & Marchés), Special Issue (March-April) 33-47.
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Cont R., Deguest R., (2013). Equity correlations implied by index options: estimation and model uncertainty analysis, Mathematical Finance, 23 (3) 496-530.
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Cont R., Deguest R., He X., (2013). Loss-based risk measures, Statistics & Risk Modeling, 30 (2) 133-167.
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Cont R., Deguest R., Scandolo G., (2010). Robustness and sensitivity analysis of risk measurement procedures, Quantitative Finance, 10 (6) 593-606.
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Cont R., Deguest R., Kan Y. H., (2010). Default intensities implied by CDO spreads: inversion formula and model calibration, SIAM Journal on Financial Mathematics, 1 (1) 555-585.
Ouvrages
- Deguest R., Martellini L., Milhau V., (2021) Goal-Based Investing: Theory and Practice, World Scientific Publishing, Singapore.
Chapitres de livres
- Amenc N., Deguest R., Goltz F., Lodh A., Martellini L., Shirbini E., (2015), Designing Multi-Factor Equity Portfolios, in: Risk-Based and Factor Investing.
Proceedings dans des conférences à comité de lecture
- Coquelin P.-A., Deguest R., Munos R., (2009), Sensitivity analysis in HMMs with application to likelihood maximization, in: NIPS'09: Proceedings of the 22nd International Conference on Neural Information Processing Systems Curran Associates Inc., pp..
- Coquelin P.-A., Deguest R., Munos R., (2008), Particle Filter-based Policy Gradient in POMDPs, in: NIPS'08: Proceedings of the 21st International Conference on Neural Information Processing Systems Curran Associates Inc., pp..
Enseignement
Grande Ecole (Master cycle) :
- Econometrics - time series
MSc in Finance :
- Options, futures and swaps 1
- Advanced portfolio diversification
Post graduate program :
