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Jules SADEFO KAMDEM

Personal Details

First Name:Jules
Middle Name:
Last Name:Sadefo Kamdem
Suffix:
RePEc Short-ID:psa158
[This author has chosen not to make the email address public]
Faculté d'économie (Université de Montpellier) Avenue Raymond Dugrand Site de Richter 34000 Montpellier cedex 2
0434432528

Affiliation

Montpellier Recherche en Économie (MRE)
Université de Montpellier

Montpellier, France
http://mre.edu.umontpellier.fr/
RePEc:edi:mrempfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Moustapha Pemy & Jules Sadefo Kamdem, 2024. "Dynamic optimal hedging with futures in portfolio context," Post-Print hal-04591643, HAL.
  2. Fredy Pokou & Jules Sadefo Kamdem & François Benhmad, 2024. "Deep reinforcement learning for an empirical approach to Value-at-Risk," Working Papers hal-04591658, HAL.
  3. Babel Raïssa Guemdjo Kamdem & Jules Sadefo Kamdem & Carlos Ogouyandjou, 2024. "An abelian way approach to study random extended intervals and their ARMA processes," Post-Print hal-04506343, HAL.
  4. Eric Djeutcha & Jules Sadefo Kamdem, 2024. "Analysis of replacement investment decisions under maintenance and operating costs uncertainty using MMFBM," Working Papers hal-04591651, HAL.
  5. Frédy Valé Manuel Pokou & Jules Sadefo Kamdem & François Benhmad, 2023. "Empirical Performance of an ESG Assets Portfolio from US Market," Post-Print hal-04312348, HAL.
  6. Jules Sadefo Kamdem & Passy Miano Mukami & James Njong, 2023. "Time-frequency analysis and machine learning models for carbon market forecasting," Post-Print hal-04134564, HAL.
  7. Frédy Valé Manuel Pokou & Jules Sadefo Kamdem & François Benhmad, 2023. "Hybridization of ARIMA with Learning Models for Forecasting of Stock Market Time Series," Post-Print hal-04312314, HAL.
  8. Jules Sadefo Kamdem, 2023. "Risk-Adjusted Performance And Semi-Moments Of Non-Gaussian Portfolio Returns Distributions," Working Papers hal-04134833, HAL.
  9. Mohamed Awada & Moustapha Badran & Imtynan Khalifeh & Jules Sadefo Kamdem, 2023. "Energy supply, public debt, and economic growth: Causality analysis for a panel of OECD European countries," Post-Print hal-04134679, HAL.
  10. Jules Sadefo-Kamdem & David Akame, 2022. "Uncertain outcomes and climate change policy using Expo-Power Utility Function," Post-Print hal-02945750, HAL.
  11. Gaston Clément Nyassoke Titi & Jules Sadefo-Kamdem & Louis Aimé Fono, 2022. "Optimal Renewable Resource Harvesting model using price and biomass stochastic variations: A Utility Based Approach," Post-Print hal-03169348, HAL.
  12. Jules Sadefo Kamdem & Danielle Selambi, 2022. "Cyber-Risk Forecasting using Machine Learning Models and Generalized Extreme Value Distributions," Working Papers hal-03814979, HAL.
  13. Nyassoke Titi Gaston Clément & Jules Sadefo-Kamdem & Louis Aimé Fono, 2022. "Dynamic Optimal Hedge Ratio Design when Price and Production are stochastic with Jump," Post-Print hal-02417401, HAL.
  14. Jules Sadefo-Kamdem & Alfred Mbairadjim Moussa, 2022. "A fuzzy multifactor asset pricing model," Post-Print hal-03325600, HAL.
  15. Eric Djeutcha & Jules Sadefo Kamdem, 2022. "Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model," Post-Print hal-03675886, HAL.
  16. Mamadou-Diéne Diop & Jules Sadefo Kamdem, 2022. "Multiscale Agricultural Commodities Forecasting using Wavelet-SARIMA Process," Post-Print hal-03416349, HAL.
  17. Ibrahima Bah & Jules Sadefo-Kamdem & Abdou Salam Diallo, 2022. "The Implications of oil market volatility on the credit risk of some oil-exporting countries," Post-Print hal-02922834, HAL.
  18. Jules Sadefo-Kamdem & Salomey Osei & Berthine Nyunga Mpinda, 2021. "Learning models for forecasting COVID-19 spread in Africa," Post-Print hal-03329535, HAL.
  19. Eric Djeutcha & Jules Sadefo-Kamdem, 2021. "Local and implied volatilities with the Mixed-Modified-Fractional-Dupire Model," Post-Print hal-03324320, HAL.
  20. Jules Sadefo-Kamdem & Babel Raïssa Guemdjo Kamdem & Carlos Ougouyandjou, 2021. "S-ARMA model and Wold decomposition for covariance stationary interval-valued time series processes," Post-Print hal-02901595, HAL.
  21. Eric Djeutcha & Jules Sadefo-Kamdem, 2021. "Bull Spread Option pricing using a mixed modified fractional process with stochastic volatility and interest rates," Post-Print hal-03327512, HAL.
  22. Berthine Nyunga Mpinda & Jules Sadefo-Kamdem & Salomey Osei & Jeremiah Fadugba, 2021. "Accuracies of Model Risks in Finance using Machine Learning," Working Papers hal-03191437, HAL.
  23. Wilna Lesperance & Jules Sadefo Kamdem & Laurent Linguet, 2021. "Economic Analysis of a Grid-Connected PV Plant : A Case Study in French Guiana," Post-Print hal-03702381, HAL.
  24. Thierry Kamga Tadie & Claude Essomba Ambassa & Louis Aimé Fono & Jules Sadefo-Kamdem, 2021. "Criteria for choosing the method of leasing finances in Small and Medium Enterprises (SMEs) in Cameroon [Critères de choix du mode de financement par crédit-bail dans les Petites et Moyennes Entrep," Post-Print hal-03131640, HAL.
  25. Salomey Osei & Berthine Nyunga Mpinda & Jules Sadefo-Kamdem & Jeremiah Fadugba, 2021. "Accuracies of some Learning or Scoring Models for Credit Risk Measurement," Working Papers hal-03194081, HAL.
  26. Eric Djeutcha & Jules Sadefo-Kamdem & Louis Aimé Fono, 2021. "Mixed Modified Fractional Merton model of the bear spread Basket put option using the multidimensional Mellin transform," Working Papers hal-03330043, HAL.
  27. Babel Raïssa Guemdjo Kamdem & Jules Sadefo-Kamdem & Carlos Ogouyandjou, 2021. "An Abelian Group way to study Random Extended Intervals and their ARMA Processes," Working Papers hal-03174631, HAL.
  28. Ayad Assoil & Ndéné Ka & Jules Sadefo-Kamdem, 2021. "Analysis of the Dynamic Relationship between Liquidityproxies and returns on French CAC 40 index," Post-Print hal-03282991, HAL.
  29. Mehdi Jamaï Mouhtadi & Jules Sadefo-Kamdem, 2021. "The Co-Evolution of Energy Intensity and Carbon Emissions in Morocco," Post-Print hal-02922967, HAL.
  30. Wilna Lesperance & Laurent Linguet & Jules Sadefo Kamdem, 2020. "A root mean square fuzzy pay-off approach for real options valuation of energy projects," Post-Print hal-03675936, HAL.
  31. Justin Dzuche & Christian Deffo Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono, 2020. "On two dominances of fuzzy variables based on a parametrized fuzzy measure and application to portfolio selection with fuzzy return," Post-Print hal-03010279, HAL.
  32. Justin Dzuche & Christian Deffo Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono, 2020. "The First Moments and Semi-Moments of Fuzzy Variables Based on an Optimism-Pessimism Measure with Application for Portfolio Selection," Post-Print hal-02920346, HAL.
  33. Jules Sadefo-Kamdem & David Akame, 2020. "Willingness To Pay Of An Expo-Power Utility Decision Maker To Limit Climate Change," Working Papers hal-02465195, HAL.
  34. Jules Sadefo-Kamdem & Rose Bandolo Essomba & James Njong Berinyuy, 2020. "Deep learning models for forecasting and analyzing the implications of COVID-19 spread on some commodities markets volatilities," Post-Print hal-02921304, HAL.
  35. Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2020. "Agricultural Production Decision using Jumps and Seasonal Volatility in commodities prices dynamics," Working Papers hal-02465046, HAL.
  36. Yris Fondja Wandji & Jules Sadefo-Kamdem, 2020. "Hydropower rent in Africa : An evaluation by optimization of the total costs of production [La rente hydroélectrique en Afrique : une évaluation avec taxation et optimisation des coûts totaux de pr," Post-Print hal-03024772, HAL.
  37. Gaston Clément Nyassoke Titi & Jules Sadefo-Kamdem & Louis Aimé Fono, 2020. "Fishery Management in a Regime Switching Environment: Utility Based Approach," Working Papers hal-02433395, HAL.
  38. Jules Sadefo-Kamdem & Zoulkiflou Moumouni, 2020. "Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty," Post-Print hal-02920323, HAL.
  39. Willy Kamdem & David Kamdem & Jules Sadefo-Kamdem & Louis Aimé Fono, 2020. "Risk Aversion and Optimal Hedge Ratio in Commodities Futures Markets," Post-Print hal-02922890, HAL.
  40. Babel Raïssa Guemdjo Kamdem & Jules Sadefo-Kamdem & Carlos Ougouyandjou, 2020. "On Random Extended Intervals and their ARMA Processes," Working Papers hal-03169516, HAL.
  41. Justin Dzuche & Christian Deffo Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono, 2019. "On the first moments and semi-moments of fuzzy variables based on a new measure and application for portfolio selection with fuzzy returns," Working Papers hal-02433463, HAL.
  42. Mehdi Jamaï Mouhtadi & Jules Sadefo-Kamdem, 2019. "Economic Growth, Energy Consumption, And Transition In Morocco," Post-Print hal-02920459, HAL.
  43. Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2019. "New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies," Working Papers hal-02417459, HAL.
  44. Justin Dzuche & Christian Deffo Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono, 2019. "On Two Dominances of Fuzzy Variables based on a Parametric Fuzzy Measure and Application to Portfolio Selection with Fuzzy Return," Working Papers hal-02433438, HAL.
  45. Jules Sadefo-Kamdem, 2019. "Optimal harvesting of a regime-switching stochastic growing renewable resource: A Utility Theory Approach," Post-Print hal-02938057, HAL.
  46. Yris Fondja Wandji & Jules Sadefo-Kamdem, 2019. "La rente hydroélectrique en Afrique : une évaluation avec taxation et optimisation des coûts totaux de production," Post-Print hal-02938738, HAL.
  47. Christian Deffo Tassak & Louis Aimé Fono & Jules Sadefo-Kamdem, 2019. "Fuzzy lower partial moment and Mean-risk Dominance: An application for poverty Measurement," Working Papers hal-02433422, HAL.
  48. Wilna Lesperance & Jules Sadefo-Kamdem & Laurent Linguet & Tommy Albarelo, 2018. "Renewable Energy in French Guiana: Prospects towards a Sustainable Development Scenario," Post-Print hal-02901631, HAL.
  49. Jules Sadefo-Kamdem, 2018. "Optimal Fishery Stopping Time Harvesting with a Regime Switching or Jump In Biomass Variation," Post-Print hal-02938114, HAL.
  50. Christian Deffo Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono & Nicolas Gabriel Andjiga, 2018. "Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns," Post-Print hal-02901704, HAL.
  51. Jules Sadefo-Kamdem & Justin Dzuche & Christian Deffo Tassak, 2017. "Expected value and variance of a fuzzy variable based on a new fuzzy measure," Post-Print hal-02938085, HAL.
  52. Jules Sadefo-Kamdem & Jules Sadefo Kamdem, 2017. "Real option approach for optimal fishery harvesting with jumps in stock dynamics," Post-Print hal-02938746, HAL.
  53. Jules Sadefo-Kamdem & Ange Nsouadi & Michel Terraza, 2016. "Time-Frequency Analysis of the Relationship Between EUA and CER Carbon Markets," Post-Print hal-02901719, HAL.
  54. Ange Nsouadi & Jules Sadefo Kamdem & Michel Terraza, 2015. "Analyse temps-fréquence du co-mouvement entre le marché européen du CO2 et les autres marchés de l'énergie," Working Papers 15-08, LAMETA, Universtiy of Montpellier, revised May 2015.
  55. A. Mbairadjim Moussa & J. Sadefo Kamdem & M. Terraza, 2014. "Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns," Post-Print hal-02901791, HAL.
  56. Hervé Tchouamani & Jules Sadefo-Kamdem, 2014. "Time Series Analysis Intervals and Energy Economics Forecast [Analyse des séries temporelles intervalles et prévision en économie de l'énergie]," Post-Print hal-02939136, HAL.
  57. A. Mbairadjim Moussa & J. Sadefo Kamdem & A.F. Shapiro & M. Terraza, 2014. "CAPM with fuzzy returns and hypothesis testing," Post-Print hal-02901727, HAL.
  58. Jules Sadefo-Kamdem, 2014. "Generalized Integral Transforms with the Homotopy Perturbation Method," Post-Print hal-02901783, HAL.
  59. Ange Nsouadi & Jules Sadefo Kamdem & Michel Terraza, 2013. "Analyse temps-fréquence de la relation entre les prix du quota et du crédit carbone," Working Papers 13-12, LAMETA, Universtiy of Montpellier, revised Nov 2013.
  60. Pauline Mornet & Claudio Zoli & Stéphane Mussard & Jules Sadefo-Kamdem & Françoise Seyte & Michel Terraza, 2013. "The (α, β)-multi-level α-Gini decomposition with an illustration to income inequality in France in 2005," Post-Print hal-02901811, HAL.
  61. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Arnold F. Shapiro & Michel Terraza, 2012. "Capital asset pricing model with fuzzy returns and hypothesis testing," Working Papers 12-33, LAMETA, Universtiy of Montpellier, revised Sep 2012.
  62. Alfred Mbairadjim Moussa & Jules Sadefo-Kamdem & Michel Terraza, 2012. "Moments partiels crédibilistes et application à l’évaluation de la performance des fonds spéculatifs," Post-Print hal-02938781, HAL.
  63. Jules Sadefo-Kamdem, 2012. "A nice estimation of Gini index and power Pen's parade," Post-Print hal-02901877, HAL.
  64. Jules Sadefo-Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Post-Print hal-02901914, HAL.
  65. J. Sadefo Kamdem & A. Mbairadjim Moussa & M. Terraza, 2012. "Fuzzy risk adjusted performance measures: Application to hedge funds," Post-Print hal-02901867, HAL.
  66. Christian Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono, 2012. "Dominances on fuzzy variables based on credibility measure," Working Papers hal-00796215, HAL.
  67. Alfred Mbairadjim Moussa & Jules Sadefo-Kamdem & Michel Terraza, 2012. "Bivariate adaptive fuzzy-GARCH model applied to forecasting the dynamic conditional correlation of financial stocks using particle swarm optimization," Post-Print hal-02938876, HAL.
  68. Louis Aimé Fono & Jules Sadefo-Kamdem & Christian Deffo Tassak, 2011. "Kurtosis And Semi-Kurtosis For Portfolio Selection With Fuzzy Returns," Post-Print hal-02938898, HAL.
  69. Louis Aimé Fono & Jules Sadefo-Kamdem & Christian Tassak, 2011. "Moments and Semi-Moments for fuzzy portfolios selection," Working Papers hal-00567012, HAL.
  70. Jules Sadefo-Kamdem, 2011. "Integral Transforms With The Homotopy Perturbation Method And Some Applications," Working Papers hal-00580023, HAL.
  71. Jules Sadefo-Kamdem, 2011. "Downside Risk And Kappa Index Of Non-Gaussian Portfolio With Lpm," Working Papers hal-00733043, HAL.
  72. Jules Sadefo-Kamdem, 2011. "Businesses Risks Aggregation with Copula," Post-Print hal-02942988, HAL.
  73. Jules Sadefo-Kamdem, 2011. "Gini Index and Polynomial Pen's Parade," Working Papers hal-00582625, HAL.
  74. Jules Sadefo-Kamdem, 2011. "Coefficient of variation and Power Pen's parade computation," Working Papers hal-00586518, HAL.
  75. Stéphane Mussard & Jules Sadefo Kamdem & Françoise Seyte & Michel Terraza, 2010. "Quadratic Pen's Parade and the Computation of the Gini index," Cahiers de recherche 10-18, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
  76. J. Sadefo Kamdem, 2010. "Sharp estimates for the CDF of quadratic forms of MPE random vectors," Post-Print hal-02935500, HAL.
  77. Raymond BRUMMELHUIS & Jules Sadefo-Kamdem, 2009. "Var For Quadratic Portfolio'S With Generalized Laplace Distributed Returns," Working Papers 09-06, LAMETA, Universtiy of Montpellier, revised Jun 2009.
  78. Zhijun Qiao & Jules Sadefo Kamdem, 2009. "Decomposition method for the b-balanced shallow water equation," Post-Print hal-02938637, HAL.
  79. J. Sadefo Kamdem & Zhijun Qiao, 2007. "Decomposition method for the Camassa–Holm equation," Post-Print hal-02938583, HAL.
  80. Jules Sadefo Kamdem, 2007. "VaR and ES for linear portfolios with mixture of elliptic distributions risk factors," Post-Print hal-02938574, HAL.
  81. Jules Sadefo Kamdem, 2006. "Option pricing with Levy process using Mellin Transform," Post-Print hal-02939009, HAL.
  82. SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolis with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403003, University Library of Munich, Germany.
  83. Jules Sadefo Kamdem, 2004. "VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors," Papers math/0402456, arXiv.org.
  84. Jules SADEFO KAMDEM, 2004. "Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors," Computing in Economics and Finance 2004 12, Society for Computational Economics.
  85. SADEFO KAMDEM Jules, 2004. "VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors," Risk and Insurance 0406001, University Library of Munich, Germany.
  86. Jules Sadefo Kamdem & Alan Genz, 2003. "Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options," Papers math/0309276, arXiv.org.
  87. Jules Sadefo Kamdem, 2003. "Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors," Papers math/0309211, arXiv.org.

    repec:hal:journl:hal-02922958 is not listed on IDEAS

Articles

  1. Fredy Pokou & Jules Sadefo Kamdem & François Benhmad, 2024. "Empirical Performance of an ESG Assets Portfolio from US Market," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1569-1638, September.
  2. Frédy Pokou & Jules Sadefo Kamdem & François Benhmad, 2024. "Hybridization of ARIMA with Learning Models for Forecasting of Stock Market Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1349-1399, April.
  3. Eric Djeutcha & Jules Sadefo Kamdem, 2024. "Pricing for a vulnerable bull spread options using a mixed modified fractional Hull–White–Vasicek model," Annals of Operations Research, Springer, vol. 334(1), pages 101-131, March.
  4. Mamadou-Diéne Diop & Jules Sadefo Kamdem, 2023. "Multiscale Agricultural Commodities Forecasting Using Wavelet-SARIMA Process," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(1), pages 1-40, March.
  5. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem, 2022. "A fuzzy multifactor asset pricing model," Annals of Operations Research, Springer, vol. 313(2), pages 1221-1241, June.
  6. Gaston Clément Nyassoke Titi & Jules Sadefo Kamdem & Louis Aimé Fono, 2022. "Optimal renewable resource harvesting model using price and biomass stochastic variations: a utility based approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 95(2), pages 297-326, April.
  7. Sadefo Kamdem Jules & Akame David, 2022. "Uncertain Outcomes and Climate Change Policy Using an Expo-Power Utility Function," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 22(1), pages 17-50, January.
  8. Nyassoke Titi Gaston Clément & Sadefo Kamdem Jules & Fono Louis Aimé, 2022. "Dynamic optimal hedge ratio design when price and production are stochastic with jump," Annals of Finance, Springer, vol. 18(3), pages 419-428, September.
  9. Justin Dzuche & Christian Deffo Tassak & Jules Sadefo Kamdem & Louis Aimé Fono, 2021. "On two dominances of fuzzy variables based on a parametrized fuzzy measure and application to portfolio selection with fuzzy return," Annals of Operations Research, Springer, vol. 300(2), pages 355-368, May.
  10. Jules Sadefo Kamdem & Babel Raïssa Guemdjo Kamdem & Carlos Ougouyandjou, 2021. "S-ARMA Model and Wold Decomposition for Covariance Stationary Interval-Valued Time Series Processes," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 17(01), pages 191-213, March.
  11. Ayad Assoil & Ndéné Ka & Jules Sadefo-Kamdem, 2021. "Analysis of the dynamic relationship between liquidity proxies and returns on the French CAC 40 index," SN Business & Economics, Springer, vol. 1(10), pages 1-23, October.
  12. Djeutcha, Eric & Kamdem, Jules Sadefo, 2021. "Local and implied volatilities with the mixed-modified-fractional-Dupire model," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
  13. Jules Sadefo Kamdem & Zoulkiflou Moumouni, 2020. "Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 631-655, September.
  14. Yris D. FONDJA WANDJI & Jules SADEFO KAMDEM, 2020. "La rente hydroélectrique en Afrique : Une évaluation avec taxation et optimisation des coûts totaux de production," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 52, pages 147-170.
  15. Sadefo Kamdem, Jules & Bandolo Essomba, Rose & Njong Berinyuy, James, 2020. "Deep learning models for forecasting and analyzing the implications of COVID-19 spread on some commodities markets volatilities," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
  16. Justin Dzuche & Christian Deffo Tassak & Jules Sadefo Kamdem & Louis Aimé Fono, 2020. "The First Moments and Semi-Moments of Fuzzy Variables Based on an Optimism-Pessimism Measure with Application for Portfolio Selection," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 271-290, July.
  17. Willy Kamdem & Jules Sadefo Kamdem & David Kamdem & Louis aimé Fono, 2020. "Risk Aversion and Optimal Hedge Ratio in Commodities Futures Markets," Economics Bulletin, AccessEcon, vol. 40(1), pages 587-600.
  18. Christian Deffo Tassak & Jules Sadefo Kamdem & Louis Aimé Fono & Nicolas Gabriel Andjiga, 2017. "Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(12), pages 1491-1502, December.
  19. Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Terraza, M., 2014. "Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns," Economic Modelling, Elsevier, vol. 39(C), pages 247-256.
  20. Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Shapiro, A.F. & Terraza, M., 2014. "CAPM with fuzzy returns and hypothesis testing," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 40-57.
  21. Mornet, Pauline & Zoli, Claudio & Mussard, Stéphane & Sadefo-Kamdem, Jules & Seyte, Françoise & Terraza, Michel, 2013. "The (α, β)-multi-level α-Gini decomposition with an illustration to income inequality in France in 2005," Economic Modelling, Elsevier, vol. 35(C), pages 944-963.
  22. Sadefo Kamdem, Jules, 2012. "A nice estimation of Gini index and power Pen's parade," Economic Modelling, Elsevier, vol. 29(4), pages 1299-1304.
  23. Sadefo Kamdem, Jules & Tassak Deffo, Christian & Fono, Louis Aimé, 2012. "Moments and semi-moments for fuzzy portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 517-530.
  24. Jules Sadefo Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Annals of Finance, Springer, vol. 8(1), pages 123-150, February.
  25. Sadefo Kamdem, J. & Mbairadjim Moussa, A. & Terraza, M., 2012. "Fuzzy risk adjusted performance measures: Application to hedge funds," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 702-712.
  26. Sadefo Kamdem, 2011. "Businesses Risks Aggregation with Copula," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(2), pages 58-72, July.
  27. Stéphane Mussard & J. Sadefo Kamdem & Françoise Seyte & Michel Terraza, 2011. "Quadratic Pen'S Parade And The Computation Of The Gini Index," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 57(3), pages 583-587, September.
  28. Sadefo Kamdem, J., 2010. "Sharp estimates for the CDF of quadratic forms of MPE random vectors," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1755-1771, September.
  29. Sadefo Kamdem, J., 2009. "[Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 325-336, June.
  30. Sadefo Kamdem, J. & Genz, A., 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3389-3407, March.
  31. Kamdem, J. Sadefo & Qiao, Zhijun, 2007. "Decomposition method for the Camassa–Holm equation," Chaos, Solitons & Fractals, Elsevier, vol. 31(2), pages 437-447.
  32. Jules Sadefo Kamdem, 2005. "Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(05), pages 537-551.

Chapters

  1. Alfred M. Mbairadjim & Jules Sadefo Kamdem & Michel Terraza, 2013. "Hedge Funds Risk-adjusted Performance Evaluation: A Fuzzy Set Theory-Based Approach," Palgrave Macmillan Books, in: Virginie Terraza & Hery Razafitombo (ed.), Understanding Investment Funds, chapter 3, pages 57-71, Palgrave Macmillan.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Gaston Clément Nyassoke Titi & Jules Sadefo-Kamdem & Louis Aimé Fono, 2022. "Optimal Renewable Resource Harvesting model using price and biomass stochastic variations: A Utility Based Approach," Post-Print hal-03169348, HAL.

    Cited by:

    1. Sabarathinam Srinivasan & Suresh Kumarasamy & Zacharias E. Andreadakis & Pedro G. Lind, 2023. "Artificial Intelligence and Mathematical Models of Power Grids Driven by Renewable Energy Sources: A Survey," Energies, MDPI, vol. 16(14), pages 1-56, July.

  2. Jules Sadefo-Kamdem & Babel Raïssa Guemdjo Kamdem & Carlos Ougouyandjou, 2021. "S-ARMA model and Wold decomposition for covariance stationary interval-valued time series processes," Post-Print hal-02901595, HAL.

    Cited by:

    1. Babel Raïssa Guemdjo Kamdem & Jules Sadefo-Kamdem & Carlos Ogouyandjou, 2021. "An Abelian Group way to study Random Extended Intervals and their ARMA Processes," Working Papers hal-03174631, HAL.
    2. Babel Raïssa Guemdjo Kamdem & Jules Sadefo-Kamdem & Carlos Ougouyandjou, 2020. "On Random Extended Intervals and their ARMA Processes," Working Papers hal-03169516, HAL.

  3. Ayad Assoil & Ndéné Ka & Jules Sadefo-Kamdem, 2021. "Analysis of the Dynamic Relationship between Liquidityproxies and returns on French CAC 40 index," Post-Print hal-03282991, HAL.

    Cited by:

    1. Boumediene Souiki & Françoise Seyte, 2024. "Liquidity on Eurozone stock markets: A non-linear approach," Economics Bulletin, AccessEcon, vol. 44(1), pages 321-340.
    2. Stephanos Papadamou & Alexandros Koulis & Constantinos Kyriakopoulos & Athanasios P. Fassas, 2022. "Cannabis Stocks Returns: The Role of Liquidity and Investors’ Attention via Google Metrics," IJFS, MDPI, vol. 10(1), pages 1-11, January.

  4. Justin Dzuche & Christian Deffo Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono, 2020. "On two dominances of fuzzy variables based on a parametrized fuzzy measure and application to portfolio selection with fuzzy return," Post-Print hal-03010279, HAL.

    Cited by:

    1. Jules Sadefo-Kamdem & Alfred Mbairadjim Moussa, 2022. "A fuzzy multifactor asset pricing model," Post-Print hal-03325600, HAL.

  5. Jules Sadefo-Kamdem & Rose Bandolo Essomba & James Njong Berinyuy, 2020. "Deep learning models for forecasting and analyzing the implications of COVID-19 spread on some commodities markets volatilities," Post-Print hal-02921304, HAL.

    Cited by:

    1. Yishun Liu & Chunhua Yang & Keke Huang & Weiping Liu, 2023. "A Multi-Factor Selection and Fusion Method through the CNN-LSTM Network for Dynamic Price Forecasting," Mathematics, MDPI, vol. 11(5), pages 1-20, February.
    2. Capitani, Daniel Henrique Dario & Gaio, Luiz Eduardo, 2023. "Volatility Transmissionin Agricultural Markets: Evidence from the Russia-Ukraine Conflict," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 11(2), April.
    3. Maghyereh, Aktham & Abdoh, Hussein & Awartani, Basel, 2022. "Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?," Journal of Commodity Markets, Elsevier, vol. 26(C).
    4. Iuga, Iulia Cristina & Mudakkar, Syeda Rabab & Dragolea, Larisa Loredana, 2024. "Agricultural commodities market reaction to COVID-19," Research in International Business and Finance, Elsevier, vol. 69(C).
    5. Ran Lu & Hongjun Zeng, 2022. "VIX and major agricultural future markets: dynamic linkage and time-frequency relations around the COVID-19 outbreak," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 40(2), pages 334-353, September.
    6. Frédy Pokou & Jules Sadefo Kamdem & François Benhmad, 2024. "Hybridization of ARIMA with Learning Models for Forecasting of Stock Market Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1349-1399, April.
    7. Daniel Stefan Armeanu & Stefan Cristian Gherghina & Jean Vasile Andrei & Camelia Catalina Joldes, 2023. "Evidence from the nonlinear autoregressive distributed lag model on the asymmetric influence of the first wave of the COVID-19 pandemic on energy markets," Energy & Environment, , vol. 34(5), pages 1433-1470, August.
    8. Francesco Piccialli & Vincenzo Schiano Cola & Fabio Giampaolo & Salvatore Cuomo, 2021. "The Role of Artificial Intelligence in Fighting the COVID-19 Pandemic," Information Systems Frontiers, Springer, vol. 23(6), pages 1467-1497, December.
    9. Borgards, Oliver & Czudaj, Robert L. & Hoang, Thi Hong Van, 2021. "Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact," Resources Policy, Elsevier, vol. 71(C).
    10. Cao, Yan & Cheng, Sheng, 2021. "Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices," Resources Policy, Elsevier, vol. 74(C).
    11. Hong Shen & Qi Pan & Lili Zhao & Pin Ng, 2022. "Risk Contagion between Global Commodities from the Perspective of Volatility Spillover," Energies, MDPI, vol. 15(7), pages 1-21, March.
    12. Juan Antonio Galán-Gutiérrez & Rodrigo Martín-García, 2022. "Fundamentals vs. Financialization during Extreme Events: From Backwardation to Contango, a Copper Market Analysis during the COVID-19 Pandemic," Mathematics, MDPI, vol. 10(4), pages 1-23, February.
    13. Dorota Zebrowska-Suchodolska & Andrzej Karpio & Krzysztof Kompa, 2021. "COVID-19 Pandemic: Stock Markets Situation in European Ex-Communist Countries," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 1106-1128.
    14. Jin, Lifu & Zheng, Bo & Ma, Jiahao & Zhang, Jiu & Xiong, Long & Jiang, Xiongfei & Li, Jiangcheng, 2022. "Empirical study and model simulation of global stock market dynamics during COVID-19," Chaos, Solitons & Fractals, Elsevier, vol. 159(C).
    15. Pavel Kotyza & Katarzyna Czech & Michał Wielechowski & Luboš Smutka & Petr Procházka, 2021. "Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?," Agriculture, MDPI, vol. 11(2), pages 1-16, January.
    16. Saâdaoui, Foued, 2023. "Skewed multifractal scaling of stock markets during the COVID-19 pandemic," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
    17. María del Carmen Valls Martínez & Pedro Antonio Martín Cervantes, 2021. "Testing the Resilience of CSR Stocks during the COVID-19 Crisis: A Transcontinental Analysis," Mathematics, MDPI, vol. 9(5), pages 1-24, March.

  6. Gaston Clément Nyassoke Titi & Jules Sadefo-Kamdem & Louis Aimé Fono, 2020. "Fishery Management in a Regime Switching Environment: Utility Based Approach," Working Papers hal-02433395, HAL.

    Cited by:

    1. Gaston Clément Nyassoke Titi & Jules Sadefo-Kamdem & Louis Aimé Fono, 2022. "Optimal Renewable Resource Harvesting model using price and biomass stochastic variations: A Utility Based Approach," Post-Print hal-03169348, HAL.

  7. Willy Kamdem & David Kamdem & Jules Sadefo-Kamdem & Louis Aimé Fono, 2020. "Risk Aversion and Optimal Hedge Ratio in Commodities Futures Markets," Post-Print hal-02922890, HAL.

    Cited by:

    1. Ismael Pérez-Franco & Esteban Otto Thomasz & Gonzalo Rondinone & Agustín García-García, 2022. "Feed price risk management for sheep production in Spain: a composite future cross-hedging strategy," Risk Management, Palgrave Macmillan, vol. 24(2), pages 137-163, June.
    2. William T. Smith, 2023. "The optimal hedge ratio: A closed-form solution, a conjecture, and a challenge," Economics Bulletin, AccessEcon, vol. 43(2), pages 748-758.
    3. William T. Smith, 2022. "The optimal hedge ratio: A solution, a conjecture, and a challenge," Economics Bulletin, AccessEcon, vol. 42(2), pages 877-888.

  8. Wilna Lesperance & Jules Sadefo-Kamdem & Laurent Linguet & Tommy Albarelo, 2018. "Renewable Energy in French Guiana: Prospects towards a Sustainable Development Scenario," Post-Print hal-02901631, HAL.

    Cited by:

    1. de Souza, T.A.Z. & Pinto, G.M. & Julio, A.A.V. & Coronado, C.J.R. & Perez-Herrera, R. & Siqueira, B.O.P.S. & da Costa, R.B.R. & Roberts, J.J. & Palacio, J.C.E., 2022. "Biodiesel in South American countries: A review on policies, stages of development and imminent competition with hydrotreated vegetable oil," Renewable and Sustainable Energy Reviews, Elsevier, vol. 153(C).
    2. Vladimír Krepl & Husam I. Shaheen & Ghaeth Fandi & Luboš Smutka & Zdenek Muller & Josef Tlustý & Tarek Husein & Safwan Ghanem, 2020. "The Role of Renewable Energies in the Sustainable Development of Post-Crisis Electrical Power Sectors Reconstruction," Energies, MDPI, vol. 13(23), pages 1-31, November.

  9. Christian Deffo Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono & Nicolas Gabriel Andjiga, 2018. "Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns," Post-Print hal-02901704, HAL.

    Cited by:

    1. Justin Dzuche & Christian Deffo Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono, 2019. "On Two Dominances of Fuzzy Variables based on a Parametric Fuzzy Measure and Application to Portfolio Selection with Fuzzy Return," Working Papers hal-02433438, HAL.
    2. Justin Dzuche & Christian Deffo Tassak & Jules Sadefo Kamdem & Louis Aimé Fono, 2021. "On two dominances of fuzzy variables based on a parametrized fuzzy measure and application to portfolio selection with fuzzy return," Annals of Operations Research, Springer, vol. 300(2), pages 355-368, May.
    3. Irina Georgescu & Louis Aimé Fono, 2019. "A Portfolio Choice Problem in the Framework of Expected Utility Operators," Mathematics, MDPI, vol. 7(8), pages 1-16, July.
    4. Christian Deffo Tassak & Louis Aimé Fono & Jules Sadefo-Kamdem, 2019. "Fuzzy lower partial moment and Mean-risk Dominance: An application for poverty Measurement," Working Papers hal-02433422, HAL.

  10. Jules Sadefo-Kamdem & Justin Dzuche & Christian Deffo Tassak, 2017. "Expected value and variance of a fuzzy variable based on a new fuzzy measure," Post-Print hal-02938085, HAL.

    Cited by:

    1. Justin Dzuche & Christian Deffo Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono, 2019. "On the first moments and semi-moments of fuzzy variables based on a new measure and application for portfolio selection with fuzzy returns," Working Papers hal-02433463, HAL.

  11. Jules Sadefo-Kamdem & Ange Nsouadi & Michel Terraza, 2016. "Time-Frequency Analysis of the Relationship Between EUA and CER Carbon Markets," Post-Print hal-02901719, HAL.

    Cited by:

    1. Tang, Ling & Wang, Haohan & Li, Ling & Yang, Kaitong & Mi, Zhifu, 2020. "Quantitative models in emission trading system research: A literature review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 132(C).
    2. Lyu, Chenyan & Scholtens, Bert, 2024. "Integration of the international carbon market: A time-varying analysis," Renewable and Sustainable Energy Reviews, Elsevier, vol. 191(C).
    3. Zheng, Yan & Yin, Hua & Zhou, Min & Liu, Wenhua & Wen, Fenghua, 2021. "Impacts of oil shocks on the EU carbon emissions allowances under different market conditions," Energy Economics, Elsevier, vol. 104(C).
    4. Vellachami, Sanggetha & Hasanov, Akram Shavkatovich & Brooks, Robert, 2023. "Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach," International Review of Financial Analysis, Elsevier, vol. 89(C).

  12. A. Mbairadjim Moussa & J. Sadefo Kamdem & M. Terraza, 2014. "Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns," Post-Print hal-02901791, HAL.

    Cited by:

    1. Jules Sadefo-Kamdem & Babel Raïssa Guemdjo Kamdem & Carlos Ougouyandjou, 2021. "S-ARMA model and Wold decomposition for covariance stationary interval-valued time series processes," Post-Print hal-02901595, HAL.
    2. Jules Sadefo-Kamdem & Alfred Mbairadjim Moussa, 2022. "A fuzzy multifactor asset pricing model," Post-Print hal-03325600, HAL.
    3. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," JRFM, MDPI, vol. 10(1), pages 1-14, February.
    4. Qasim Noor & Tabasam Rashid & Syed Muhammad Husnine, 2021. "An extended TDM method under probabilistic interval-valued hesitant fuzzy environment for stock selection," PLOS ONE, Public Library of Science, vol. 16(5), pages 1-24, May.
    5. Zhao, Lu-Tao & Wang, Dai-Song & Ren, Zhong-Yuan, 2024. "The impact of joint events on oil price volatility: Evidence from a dynamic graphical news analysis model," Economic Modelling, Elsevier, vol. 130(C).
    6. Babel Raïssa Guemdjo Kamdem & Jules Sadefo-Kamdem & Carlos Ougouyandjou, 2020. "On Random Extended Intervals and their ARMA Processes," Working Papers hal-03169516, HAL.
    7. Jaworski, Piotr & Liberadzki, Kamil & Liberadzki, Marcin, 2017. "How does issuing contingent convertible bonds improve bank's solvency? A Value-at-Risk and Expected Shortfall approach," Economic Modelling, Elsevier, vol. 60(C), pages 162-168.
    8. Evangelos Vasileiou, 2022. "Inaccurate Value at Risk Estimations: Bad Modeling or Inappropriate Data?," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1155-1171, March.
    9. Pablo J. Villacorta & Laura González-Vila Puchades & Jorge de Andrés-Sánchez, 2021. "Fuzzy Markovian Bonus-Malus Systems in Non-Life Insurance," Mathematics, MDPI, vol. 9(4), pages 1-23, February.

  13. A. Mbairadjim Moussa & J. Sadefo Kamdem & A.F. Shapiro & M. Terraza, 2014. "CAPM with fuzzy returns and hypothesis testing," Post-Print hal-02901727, HAL.

    Cited by:

    1. Jules Sadefo-Kamdem & Babel Raïssa Guemdjo Kamdem & Carlos Ougouyandjou, 2021. "S-ARMA model and Wold decomposition for covariance stationary interval-valued time series processes," Post-Print hal-02901595, HAL.
    2. Chikashi Tsuji, 2017. "A Non-linear Estimation of the Capital Asset Pricing Model: The Case of Japanese Automobile Industry Firms," Applied Finance and Accounting, Redfame publishing, vol. 3(2), pages 20-26, August.
    3. Jules Sadefo-Kamdem & Alfred Mbairadjim Moussa, 2022. "A fuzzy multifactor asset pricing model," Post-Print hal-03325600, HAL.
    4. Pedro Antonio Martín-Cervantes & María del Carmen Valls Martínez, 2023. "Unraveling the relationship between betas and ESG scores through the Random Forests methodology," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-29, September.
    5. Shvedov, Alexey, 2016. "Estimating the means and the covariances of fuzzy random variables," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 42, pages 121-138.
    6. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," JRFM, MDPI, vol. 10(1), pages 1-14, February.
    7. Babel Raïssa Guemdjo Kamdem & Jules Sadefo-Kamdem & Carlos Ougouyandjou, 2020. "On Random Extended Intervals and their ARMA Processes," Working Papers hal-03169516, HAL.
    8. Brychykova, A., 2019. "Capital Asset Pricing Model Using Fuzzy Data and Application for the Russian Stock Market," Journal of the New Economic Association, New Economic Association, vol. 43(3), pages 58-77.
    9. Leandro Maciel & Fernando Gomide & Rosangela Ballini, 2016. "Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 379-398, October.

  14. Ange Nsouadi & Jules Sadefo Kamdem & Michel Terraza, 2013. "Analyse temps-fréquence de la relation entre les prix du quota et du crédit carbone," Working Papers 13-12, LAMETA, Universtiy of Montpellier, revised Nov 2013.

    Cited by:

    1. Ange Nsouadi & Jules Sadefo Kamdem & Michel Terraza, 2015. "Analyse temps-fréquence du co-mouvement entre le marché européen du CO2 et les autres marchés de l'énergie," Working Papers 15-08, LAMETA, Universtiy of Montpellier, revised May 2015.

  15. Pauline Mornet & Claudio Zoli & Stéphane Mussard & Jules Sadefo-Kamdem & Françoise Seyte & Michel Terraza, 2013. "The (α, β)-multi-level α-Gini decomposition with an illustration to income inequality in France in 2005," Post-Print hal-02901811, HAL.

    Cited by:

    1. Sun, Chuanwang & Zhang, Yifan & Peng, Shuijun & Zhang, Wencheng, 2015. "The inequalities of public utility products in China: From the perspective of the Atkinson index," Renewable and Sustainable Energy Reviews, Elsevier, vol. 51(C), pages 751-760.
    2. Stéphane Mussard & Pauline Mornet, 2018. "A Note on α -Gini Measures," Post-Print hal-02132104, HAL.
    3. Mauro Mussini, 2017. "Decomposing Changes in Inequality and Welfare Between EU Regions: The Roles of Population Change, Re-Ranking and Income Growth," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 130(2), pages 455-478, January.
    4. M. Costa, 2019. "The evaluation of gender income inequality by means of the Gini index decomposition," Working Papers wp1130, Dipartimento Scienze Economiche, Universita' di Bologna.
    5. Christian Ahlin & Hyeok Jeong, 2021. "A conditional Gini: measure, estimation, and application," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 19(2), pages 363-384, June.
    6. Makdissi, Paul & Sylla, Daouda & Yazbeck, Myra, 2013. "Decomposing health achievement and socioeconomic health inequalities in presence of multiple categorical information," Economic Modelling, Elsevier, vol. 35(C), pages 964-968.

  16. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Arnold F. Shapiro & Michel Terraza, 2012. "Capital asset pricing model with fuzzy returns and hypothesis testing," Working Papers 12-33, LAMETA, Universtiy of Montpellier, revised Sep 2012.

    Cited by:

    1. Sadefo Kamdem, J. & Mbairadjim Moussa, A. & Terraza, M., 2012. "Fuzzy risk adjusted performance measures: Application to hedge funds," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 702-712.

  17. Jules Sadefo-Kamdem, 2012. "A nice estimation of Gini index and power Pen's parade," Post-Print hal-02901877, HAL.

    Cited by:

    1. Shao-Hsun Keng & Peter F. Orazem, 2019. "Performance pay, the marriage market and rising income inequality in Taiwan," Review of Economics of the Household, Springer, vol. 17(3), pages 969-992, September.

  18. Jules Sadefo-Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Post-Print hal-02901914, HAL.

    Cited by:

    1. Jules Sadefo Kamdem & Alan Genz, 2003. "Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options," Papers math/0309276, arXiv.org.
    2. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," JRFM, MDPI, vol. 10(1), pages 1-14, February.
    3. Hambuckers, Julien & Heuchenne, Cedric, 2017. "A robust statistical approach to select adequate error distributions for financial returns," LIDAM Reprints ISBA 2017031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

  19. J. Sadefo Kamdem & A. Mbairadjim Moussa & M. Terraza, 2012. "Fuzzy risk adjusted performance measures: Application to hedge funds," Post-Print hal-02901867, HAL.

    Cited by:

    1. Jules Sadefo-Kamdem & Babel Raïssa Guemdjo Kamdem & Carlos Ougouyandjou, 2021. "S-ARMA model and Wold decomposition for covariance stationary interval-valued time series processes," Post-Print hal-02901595, HAL.
    2. A. Mbairadjim Moussa & J. Sadefo Kamdem & M. Terraza, 2014. "Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns," Post-Print hal-02901791, HAL.
    3. Jules Sadefo-Kamdem & Alfred Mbairadjim Moussa, 2022. "A fuzzy multifactor asset pricing model," Post-Print hal-03325600, HAL.
    4. Babel Raïssa Guemdjo Kamdem & Jules Sadefo-Kamdem & Carlos Ougouyandjou, 2020. "On Random Extended Intervals and their ARMA Processes," Working Papers hal-03169516, HAL.
    5. A. Mbairadjim Moussa & J. Sadefo Kamdem & A.F. Shapiro & M. Terraza, 2014. "CAPM with fuzzy returns and hypothesis testing," Post-Print hal-02901727, HAL.
    6. Christian Biener & Martin Eling, 2013. "Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2012 Update," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 16(2), pages 219-231, September.

  20. Louis Aimé Fono & Jules Sadefo-Kamdem & Christian Tassak, 2011. "Moments and Semi-Moments for fuzzy portfolios selection," Working Papers hal-00567012, HAL.

    Cited by:

    1. Georgescu Irina & Kinnunen Jani, 2019. "How the Investor’s Risk Preferences Influence the Optimal Allocation in a Credibilistic Portfolio Problem," Journal of Systems Science and Information, De Gruyter, vol. 7(4), pages 317-329, August.
    2. Christian Deffo Tassak & Jules Sadefo Kamdem & Louis Aimé Fono & Nicolas Gabriel Andjiga, 2017. "Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(12), pages 1491-1502, December.
    3. Yue, Wei & Wang, Yuping, 2017. "A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 124-140.
    4. Yin-Yin Huang & I-Fei Chen & Chien-Liang Chiu & Ruey-Chyn Tsaur, 2021. "Adjustable Security Proportions in the Fuzzy Portfolio Selection under Guaranteed Return Rates," Mathematics, MDPI, vol. 9(23), pages 1-18, November.
    5. Liu, Yong-Jun & Zhang, Wei-Guo, 2013. "Fuzzy portfolio optimization model under real constraints," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 704-711.
    6. Justin Dzuche & Christian Deffo Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono, 2019. "On Two Dominances of Fuzzy Variables based on a Parametric Fuzzy Measure and Application to Portfolio Selection with Fuzzy Return," Working Papers hal-02433438, HAL.
    7. Justin Dzuche & Christian Deffo Tassak & Jules Sadefo Kamdem & Louis Aimé Fono, 2021. "On two dominances of fuzzy variables based on a parametrized fuzzy measure and application to portfolio selection with fuzzy return," Annals of Operations Research, Springer, vol. 300(2), pages 355-368, May.
    8. Chen, Wei, 2015. "Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 125-139.
    9. Christian Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono, 2012. "Dominances on fuzzy variables based on credibility measure," Working Papers hal-00796215, HAL.
    10. Justin Dzuche & Christian Deffo Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono, 2019. "On the first moments and semi-moments of fuzzy variables based on a new measure and application for portfolio selection with fuzzy returns," Working Papers hal-02433463, HAL.
    11. Irina Georgescu & Louis Aimé Fono, 2019. "A Portfolio Choice Problem in the Framework of Expected Utility Operators," Mathematics, MDPI, vol. 7(8), pages 1-16, July.
    12. Christian Deffo Tassak & Louis Aimé Fono & Jules Sadefo-Kamdem, 2019. "Fuzzy lower partial moment and Mean-risk Dominance: An application for poverty Measurement," Working Papers hal-02433422, HAL.
    13. Amritansu Ray & Sanat Kumar Majumder, 2018. "Multi objective mean–variance–skewness model with Burg’s entropy and fuzzy return for portfolio optimization," OPSEARCH, Springer;Operational Research Society of India, vol. 55(1), pages 107-133, March.
    14. Michał Boczek, 2015. "On some risk measures," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 37, pages 323-338.

  21. Jules Sadefo-Kamdem, 2011. "Downside Risk And Kappa Index Of Non-Gaussian Portfolio With Lpm," Working Papers hal-00733043, HAL.

    Cited by:

    1. Jules Sadefo Kamdem & Zoulkiflou Moumouni, 2020. "Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 631-655, September.
    2. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," JRFM, MDPI, vol. 10(1), pages 1-14, February.
    3. Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2019. "New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies," Working Papers hal-02417459, HAL.

  22. Jules Sadefo-Kamdem, 2011. "Businesses Risks Aggregation with Copula," Post-Print hal-02942988, HAL.

    Cited by:

    1. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," JRFM, MDPI, vol. 10(1), pages 1-14, February.

  23. Stéphane Mussard & Jules Sadefo Kamdem & Françoise Seyte & Michel Terraza, 2010. "Quadratic Pen's Parade and the Computation of the Gini index," Cahiers de recherche 10-18, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.

    Cited by:

    1. Shao-Hsun Keng & Peter F. Orazem, 2019. "Performance pay, the marriage market and rising income inequality in Taiwan," Review of Economics of the Household, Springer, vol. 17(3), pages 969-992, September.
    2. Sadefo Kamdem, Jules, 2012. "A nice estimation of Gini index and power Pen's parade," Economic Modelling, Elsevier, vol. 29(4), pages 1299-1304.

  24. J. Sadefo Kamdem, 2010. "Sharp estimates for the CDF of quadratic forms of MPE random vectors," Post-Print hal-02935500, HAL.

    Cited by:

    1. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," JRFM, MDPI, vol. 10(1), pages 1-14, February.

  25. Raymond BRUMMELHUIS & Jules Sadefo-Kamdem, 2009. "Var For Quadratic Portfolio'S With Generalized Laplace Distributed Returns," Working Papers 09-06, LAMETA, Universtiy of Montpellier, revised Jun 2009.

    Cited by:

    1. Jules Sadefo Kamdem & Alan Genz, 2003. "Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options," Papers math/0309276, arXiv.org.

  26. J. Sadefo Kamdem & Zhijun Qiao, 2007. "Decomposition method for the Camassa–Holm equation," Post-Print hal-02938583, HAL.

    Cited by:

    1. Abdel-Halim Hassan, I.H., 2008. "Comparison differential transformation technique with Adomian decomposition method for linear and nonlinear initial value problems," Chaos, Solitons & Fractals, Elsevier, vol. 36(1), pages 53-65.
    2. Elgazery, Nasser S., 2008. "Numerical solution for the Falkner–Skan equation," Chaos, Solitons & Fractals, Elsevier, vol. 35(4), pages 738-746.
    3. Jules Sadefo-Kamdem, 2011. "Integral Transforms With The Homotopy Perturbation Method And Some Applications," Working Papers hal-00580023, HAL.
    4. Ramos, J.I., 2009. "Piecewise-adaptive decomposition methods," Chaos, Solitons & Fractals, Elsevier, vol. 40(4), pages 1623-1636.
    5. Lv, Na & Mei, Jian-Qin & Zhang, Hong-Qing, 2012. "Differential form method for finding symmetries of a (2+1)-dimensional Camassa–Holm system based on its Lax pair," Chaos, Solitons & Fractals, Elsevier, vol. 45(4), pages 503-506.

  27. Jules Sadefo Kamdem, 2007. "VaR and ES for linear portfolios with mixture of elliptic distributions risk factors," Post-Print hal-02938574, HAL.

    Cited by:

    1. Jules Sadefo Kamdem & Alan Genz, 2003. "Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options," Papers math/0309276, arXiv.org.
    2. Jules Sadefo-Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Post-Print hal-02901914, HAL.
    3. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," JRFM, MDPI, vol. 10(1), pages 1-14, February.
    4. Hambuckers, Julien & Heuchenne, Cedric, 2017. "A robust statistical approach to select adequate error distributions for financial returns," LIDAM Reprints ISBA 2017031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2019. "New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies," Working Papers hal-02417459, HAL.
    6. SADEFO KAMDEM Jules, 2004. "VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors," Risk and Insurance 0406001, University Library of Munich, Germany.

  28. Jules Sadefo Kamdem, 2006. "Option pricing with Levy process using Mellin Transform," Post-Print hal-02939009, HAL.

    Cited by:

    1. Eric Djeutcha & Jules Sadefo Kamdem, 2022. "Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model," Post-Print hal-03675886, HAL.
    2. Eric Djeutcha & Jules Sadefo-Kamdem & Louis Aimé Fono, 2021. "Mixed Modified Fractional Merton model of the bear spread Basket put option using the multidimensional Mellin transform," Working Papers hal-03330043, HAL.

  29. SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolis with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403003, University Library of Munich, Germany.

    Cited by:

    1. SADEFO KAMDEM Jules, 2004. "VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors," Risk and Insurance 0406001, University Library of Munich, Germany.

  30. Jules SADEFO KAMDEM, 2004. "Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors," Computing in Economics and Finance 2004 12, Society for Computational Economics.

    Cited by:

    1. Jules Sadefo-Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Post-Print hal-02901914, HAL.
    2. SADEFO KAMDEM Jules, 2004. "Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors," Risk and Insurance 0403001, University Library of Munich, Germany.
    3. Arismendi, Juan C. & Broda, Simon, 2017. "Multivariate elliptical truncated moments," Journal of Multivariate Analysis, Elsevier, vol. 157(C), pages 29-44.
    4. Raymond BRUMMELHUIS & Jules Sadefo-Kamdem, 2009. "Var For Quadratic Portfolio'S With Generalized Laplace Distributed Returns," Working Papers 09-06, LAMETA, Universtiy of Montpellier, revised Jun 2009.
    5. SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolios with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403004, University Library of Munich, Germany.
    6. SADEFO KAMDEM Jules, 2004. "VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors," Risk and Insurance 0406001, University Library of Munich, Germany.

  31. Jules Sadefo Kamdem & Alan Genz, 2003. "Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options," Papers math/0309276, arXiv.org.

    Cited by:

    1. A. Mbairadjim Moussa & J. Sadefo Kamdem & M. Terraza, 2014. "Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns," Post-Print hal-02901791, HAL.
    2. Jules Sadefo-Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Post-Print hal-02901914, HAL.
    3. Raymond BRUMMELHUIS & Jules Sadefo-Kamdem, 2009. "Var For Quadratic Portfolio'S With Generalized Laplace Distributed Returns," Working Papers 09-06, LAMETA, Universtiy of Montpellier, revised Jun 2009.
    4. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," JRFM, MDPI, vol. 10(1), pages 1-14, February.
    5. Sadefo Kamdem, J., 2009. "[Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 325-336, June.
    6. Sadefo Kamdem, J., 2010. "Sharp estimates for the CDF of quadratic forms of MPE random vectors," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1755-1771, September.
    7. Abdoul Salam Diallo & Alfred Mbairadjim Moussa, 2014. "Addressing agent specific extreme price risk in the presence of heterogeneous data sources: A food safety perspective," Working Papers 14-15, LAMETA, Universtiy of Montpellier, revised Dec 2014.

  32. Jules Sadefo Kamdem, 2003. "Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors," Papers math/0309211, arXiv.org.

    Cited by:

    1. Jules Sadefo Kamdem & Alan Genz, 2003. "Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options," Papers math/0309276, arXiv.org.
    2. Paindaveine, Davy & Siman, Miroslav, 2011. "On directional multiple-output quantile regression," Journal of Multivariate Analysis, Elsevier, vol. 102(2), pages 193-212, February.
    3. Pascal Traccucci & Luc Dumontier & Guillaume Garchery & Benjamin Jacot, 2019. "A Triptych Approach for Reverse Stress Testing of Complex Portfolios," Papers 1906.11186, arXiv.org.
    4. A. Mbairadjim Moussa & J. Sadefo Kamdem & M. Terraza, 2014. "Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns," Post-Print hal-02901791, HAL.
    5. Jules Sadefo-Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Post-Print hal-02901914, HAL.
    6. Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Christos Avdoulas, 2019. "Tail-Related Risk Measurement and Forecasting in Equity Markets," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 783-816, February.
    7. Jules Sadefo Kamdem & Zoulkiflou Moumouni, 2020. "Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 631-655, September.
    8. Zhi Chen & Weijun Xie, 2021. "Sharing the value‐at‐risk under distributional ambiguity," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 531-559, January.
    9. Arismendi, Juan C. & Broda, Simon, 2017. "Multivariate elliptical truncated moments," Journal of Multivariate Analysis, Elsevier, vol. 157(C), pages 29-44.
    10. Raymond BRUMMELHUIS & Jules Sadefo-Kamdem, 2009. "Var For Quadratic Portfolio'S With Generalized Laplace Distributed Returns," Working Papers 09-06, LAMETA, Universtiy of Montpellier, revised Jun 2009.
    11. Maria Grazia Zoia & Gianmarco Vacca & Laura Barbieri, 2020. "Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-Like Expansions," Risks, MDPI, vol. 8(4), pages 1-21, November.
    12. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," JRFM, MDPI, vol. 10(1), pages 1-14, February.
    13. Sadefo Kamdem, J., 2009. "[Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 325-336, June.
    14. Sadefo Kamdem, J., 2010. "Sharp estimates for the CDF of quadratic forms of MPE random vectors," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1755-1771, September.
    15. Rutger van der Spek & Alexis Derumigny, 2022. "Fast estimation of Kendall's Tau and conditional Kendall's Tau matrices under structural assumptions," Papers 2204.03285, arXiv.org.
    16. Jules Sadefo-Kamdem, 2011. "Businesses Risks Aggregation with Copula," Post-Print hal-02942988, HAL.
    17. Janine Balter & Alexander J. McNeil, 2018. "On the Basel Liquidity Formula for Elliptical Distributions," Risks, MDPI, vol. 6(3), pages 1-13, September.
    18. SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolios with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403004, University Library of Munich, Germany.
    19. Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2020. "Computation of Expected Shortfall by fast detection of worst scenarios," Papers 2005.12593, arXiv.org.
    20. Birbil, S.I. & Frenk, J.B.G. & Kaynar, B. & N. Nilay, N., 2008. "Risk measures and their applications in asset management," Econometric Institute Research Papers EI 2008-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    21. Abdoul Salam Diallo & Alfred Mbairadjim Moussa, 2014. "Addressing agent specific extreme price risk in the presence of heterogeneous data sources: A food safety perspective," Working Papers 14-15, LAMETA, Universtiy of Montpellier, revised Dec 2014.
    22. Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2021. "Computation of Expected Shortfall by fast detection of worst scenarios," Post-Print hal-02619589, HAL.
    23. Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2019. "New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies," Working Papers hal-02417459, HAL.
    24. SADEFO KAMDEM Jules, 2004. "VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors," Risk and Insurance 0406001, University Library of Munich, Germany.
    25. Jules Sadefo-Kamdem, 2011. "Downside Risk And Kappa Index Of Non-Gaussian Portfolio With Lpm," Working Papers hal-00733043, HAL.

Articles

  1. Gaston Clément Nyassoke Titi & Jules Sadefo Kamdem & Louis Aimé Fono, 2022. "Optimal renewable resource harvesting model using price and biomass stochastic variations: a utility based approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 95(2), pages 297-326, April.
    See citations under working paper version above.
  2. Justin Dzuche & Christian Deffo Tassak & Jules Sadefo Kamdem & Louis Aimé Fono, 2021. "On two dominances of fuzzy variables based on a parametrized fuzzy measure and application to portfolio selection with fuzzy return," Annals of Operations Research, Springer, vol. 300(2), pages 355-368, May.
    See citations under working paper version above.
  3. Jules Sadefo Kamdem & Babel Raïssa Guemdjo Kamdem & Carlos Ougouyandjou, 2021. "S-ARMA Model and Wold Decomposition for Covariance Stationary Interval-Valued Time Series Processes," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 17(01), pages 191-213, March.
    See citations under working paper version above.
  4. Ayad Assoil & Ndéné Ka & Jules Sadefo-Kamdem, 2021. "Analysis of the dynamic relationship between liquidity proxies and returns on the French CAC 40 index," SN Business & Economics, Springer, vol. 1(10), pages 1-23, October.
    See citations under working paper version above.
  5. Sadefo Kamdem, Jules & Bandolo Essomba, Rose & Njong Berinyuy, James, 2020. "Deep learning models for forecasting and analyzing the implications of COVID-19 spread on some commodities markets volatilities," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
    See citations under working paper version above.
  6. Willy Kamdem & Jules Sadefo Kamdem & David Kamdem & Louis aimé Fono, 2020. "Risk Aversion and Optimal Hedge Ratio in Commodities Futures Markets," Economics Bulletin, AccessEcon, vol. 40(1), pages 587-600.
    See citations under working paper version above.
  7. Christian Deffo Tassak & Jules Sadefo Kamdem & Louis Aimé Fono & Nicolas Gabriel Andjiga, 2017. "Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(12), pages 1491-1502, December.
    See citations under working paper version above.
  8. Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Terraza, M., 2014. "Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns," Economic Modelling, Elsevier, vol. 39(C), pages 247-256.
    See citations under working paper version above.
  9. Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Shapiro, A.F. & Terraza, M., 2014. "CAPM with fuzzy returns and hypothesis testing," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 40-57.
    See citations under working paper version above.
  10. Mornet, Pauline & Zoli, Claudio & Mussard, Stéphane & Sadefo-Kamdem, Jules & Seyte, Françoise & Terraza, Michel, 2013. "The (α, β)-multi-level α-Gini decomposition with an illustration to income inequality in France in 2005," Economic Modelling, Elsevier, vol. 35(C), pages 944-963.
    See citations under working paper version above.
  11. Sadefo Kamdem, Jules, 2012. "A nice estimation of Gini index and power Pen's parade," Economic Modelling, Elsevier, vol. 29(4), pages 1299-1304.
    See citations under working paper version above.
  12. Sadefo Kamdem, Jules & Tassak Deffo, Christian & Fono, Louis Aimé, 2012. "Moments and semi-moments for fuzzy portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 517-530.
    See citations under working paper version above.
  13. Jules Sadefo Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Annals of Finance, Springer, vol. 8(1), pages 123-150, February.
    See citations under working paper version above.
  14. Sadefo Kamdem, J. & Mbairadjim Moussa, A. & Terraza, M., 2012. "Fuzzy risk adjusted performance measures: Application to hedge funds," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 702-712.
    See citations under working paper version above.
  15. Sadefo Kamdem, 2011. "Businesses Risks Aggregation with Copula," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(2), pages 58-72, July.
    See citations under working paper version above.
  16. Stéphane Mussard & J. Sadefo Kamdem & Françoise Seyte & Michel Terraza, 2011. "Quadratic Pen'S Parade And The Computation Of The Gini Index," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 57(3), pages 583-587, September.
    See citations under working paper version above.
  17. Sadefo Kamdem, J., 2010. "Sharp estimates for the CDF of quadratic forms of MPE random vectors," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1755-1771, September.
    See citations under working paper version above.
  18. Sadefo Kamdem, J., 2009. "[Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 325-336, June.

    Cited by:

    1. A. Mbairadjim Moussa & J. Sadefo Kamdem & M. Terraza, 2014. "Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns," Post-Print hal-02901791, HAL.
    2. Jules Sadefo-Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Post-Print hal-02901914, HAL.
    3. Jules Sadefo Kamdem & Zoulkiflou Moumouni, 2020. "Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 631-655, September.
    4. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," JRFM, MDPI, vol. 10(1), pages 1-14, February.
    5. Sadefo Kamdem, J., 2010. "Sharp estimates for the CDF of quadratic forms of MPE random vectors," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1755-1771, September.
    6. Abdoul Salam Diallo & Alfred Mbairadjim Moussa, 2014. "Addressing agent specific extreme price risk in the presence of heterogeneous data sources: A food safety perspective," Working Papers 14-15, LAMETA, Universtiy of Montpellier, revised Dec 2014.
    7. Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2019. "New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies," Working Papers hal-02417459, HAL.

  19. Sadefo Kamdem, J. & Genz, A., 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3389-3407, March.
    See citations under working paper version above.
  20. Kamdem, J. Sadefo & Qiao, Zhijun, 2007. "Decomposition method for the Camassa–Holm equation," Chaos, Solitons & Fractals, Elsevier, vol. 31(2), pages 437-447.
    See citations under working paper version above.
  21. Jules Sadefo Kamdem, 2005. "Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(05), pages 537-551.
    See citations under working paper version above.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 32 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (16) 2004-03-14 2009-06-10 2012-10-20 2020-02-17 2020-02-17 2020-02-17 2020-02-17 2020-09-14 2020-09-21 2021-04-26 2021-04-26 2021-09-13 2022-04-25 2022-08-22 2022-11-21 2023-07-31. Author is listed
  2. NEP-UPT: Utility Models and Prospect Theory (8) 2012-10-20 2020-02-03 2020-02-17 2020-02-17 2020-03-02 2020-09-14 2022-04-25 2022-05-30. Author is listed
  3. NEP-ENE: Energy Economics (5) 2013-11-29 2015-05-22 2020-02-03 2020-03-02 2020-09-21. Author is listed
  4. NEP-ENV: Environmental Economics (5) 2013-11-29 2015-05-22 2020-02-03 2020-03-02 2022-05-30. Author is listed
  5. NEP-CMP: Computational Economics (4) 2020-02-03 2021-04-26 2021-04-26 2022-11-21
  6. NEP-BIG: Big Data (3) 2021-04-26 2021-04-26 2022-11-21
  7. NEP-ECM: Econometrics (3) 2009-06-10 2012-10-27 2020-09-07
  8. NEP-ETS: Econometric Time Series (3) 2020-09-07 2021-04-05 2024-04-29
  9. NEP-FIN: Finance (3) 2004-03-14 2004-03-22 2004-06-07
  10. NEP-ISF: Islamic Finance (3) 2021-09-06 2021-09-13 2021-09-20
  11. NEP-ORE: Operations Research (3) 2020-02-03 2020-02-17 2022-04-25
  12. NEP-DCM: Discrete Choice Models (2) 2020-03-02 2022-11-21
  13. NEP-FMK: Financial Markets (2) 2021-04-26 2022-11-21
  14. NEP-AGR: Agricultural Economics (1) 2021-11-22
  15. NEP-ARA: MENA - Middle East and North Africa (1) 2020-09-21
  16. NEP-CIS: Confederation of Independent States (1) 2020-09-21
  17. NEP-CWA: Central and Western Asia (1) 2021-04-26
  18. NEP-DEV: Development (1) 2004-03-22
  19. NEP-FDG: Financial Development and Growth (1) 2021-04-12
  20. NEP-FOR: Forecasting (1) 2021-11-22
  21. NEP-MAC: Macroeconomics (1) 2024-04-29
  22. NEP-SBM: Small Business Management (1) 2021-04-12

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