Romain DEGUEST

Romain DEGUEST
Associate Professor
Ph.D. in Operations Research - Columbia University
Filière : Finance
Membre du LEM
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
  • 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.
  • 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.
  • Meucci A., Santangelo A., Deguest R., (2015). Risk budgeting and diversification based on optimized uncorrelated factors, Risk, 11 (29) 70-75.
Afficher tout
  • 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.
  • 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.
  • Cont R., Deguest R., (2013). Equity correlations implied by index options: estimation and model uncertainty analysis, Mathematical Finance, 23 (3) 496-530.
  • Cont R., Deguest R., He X., (2013). Loss-based risk measures, Statistics & Risk Modeling, 30 (2) 133-167.
  • Cont R., Deguest R., Scandolo G., (2010). Robustness and sensitivity analysis of risk measurement procedures, Quantitative Finance, 10 (6) 593-606.
  • 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.
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..
Domaines de Recherche
  • Portfolio construction
  • Asset allocation
  • Asset pricing
  • Risk measures
  • Model calibration
  • Monte Carlo methods
  • Fintechs
Enseignement
Programme Grande Ecole :
  • Financial engineering
  • Private equity
MSc in Finance :
  • Advanced portfolio diversification