Isabelle Bajeux-Besnainou

Isabelle Bajeux-Besnainou

Dean; Richard P. Simmons Professor of Finance

Contact

Biography

Education

  • University of Paris 9 - Ph D (Mathematics Applied to Economics) - 1989
  • University of Paris 9 - MS (Mathematics Applied to Economics) - 1986
  • University of Paris 9 - BS (Mathematics) - 1985
  • Ecole Normale Supérieure of Paris (Mathematic) - 1984-1988

Publications

  • A Survey of Roland Portait’s Contributions to the Theory of Dynamic Portfolio Choice
    (Part of a special issue honoring the Memory of Professor Roland Portait)
    (author(s): I. Bajeux-Besnainou, B. Croitoru)
    Finance, 43(1), 2022; 29-45
  • Optimal Portfolio Allocations with Tracking Error Volatility and Stochastic Hedging Constraints
    (author(s): I. Bajeux-Besnainou, R. Portait, G. Tergny)
    Quantitative Finance, 13(10), 2013; 1599-1612
  • A Krylov Subspace Approach to Large Portfolio Optimization
    (author(s): I. Bajeux-Besnainou, W. Bandara, E. Bura)
    Journal of Economics, Dynamics and Control 36, 2012; 1688-1699
  • Portfolio Optimization under Tracking Error and Weights Constraints
    (author(s): I. Bajeux-Besnainou, R. Belhaj, D. Maillard,  R. Portait)
    Journal of Financial Research 34, 2011; 295-330
  • Uncertainty, Networks and Real Options
    (author(s): I. Bajeux-Besnainou, S. Joshi, N. Vonortas)
    Journal of Economic Behavior and Organization 75, 2010; 523-541
  • Asset Allocation for Endowment Funds: The Case of HARA Utility Function with Subsistence Levels
    (author(s): I. Bajeux-Besnainou, K. Ogunc)
    Review of Quantitative Finance and Accounting 27, 2006; 93-107
  • Is the Chinese Currency Undervalued?
    (author(s): I. Bajeux-Besnainou, J. Yang)
    International Research Journal of Finance and Economics 2, 2006; 107-130
  • Categorical Thinking in Stock Portfolio Management
    (author(s): I. Bajeux-Besnainou, K. Ogunc)
    Journal of Behavioral Finance 4(3), 2003; 118-120
  • Dynamic Asset Allocation for Stocks, Bonds and Cash
    (author(s): I. Bajeux-Besnainou, J. Jordan, R. Portait)
    Journal of Business 76(2), 2003
  • Pricing Contingent Claims in Incomplete Markets Using the Numeraire Portfolio
    (author(s): I. Bajeux-Besnainou, R. Portait.)
    International Journal of Finance 13(3), 2002; 2291- 2310
  • Separation Theorems: Static or Dynamic?
    (author(s): I. Bajeux-Besnainou, R. Portait)
    Chapter in a book, Economica, 2002
  • New Directions in Mathematical Finance
    Dynamic, Deterministic and Static Portfolio Strategies in a Mean-Variance Framework under Stochastic Interest Rates (Paul Wilmott and Henrik Rasmussen, eds.)
    (author(s): I. Bajeux-Besnainou, R. Portait)
    Wiley Publications, 2002
  • Mean-Variance Asset Allocation for Long Horizons
    (author(s): I. Bajeux-Besnainou, J. Jordan)
    Finance, 2001
  • The Stock/Bond Ratio Asset Allocation Puzzle: Comment
    (author(s): I. Bajeux-Besnainou, J. Jordan, R. Portait)
    American Economic Review 91, 2001; 1170-79
  • New Portfolio Optimization Models in Strategic Asset Allocation
    (L’allocation strategique d’actifs: l’apport de nouveaux modeles d’optimisation de portefeuilles)
    (author(s): I. Bajeux-Besnainou, R. Portait)
    Banques et Marchés, 1999
  • Pricing Derivative Securities with a Multi-Factor Gaussian Model
    (author(s): I. Bajeux-Besnainou, R. Portait)
    Applied Mathematical Finance 5, 1998; 1-19
  • Dynamic Asset Allocation in a Mean-Variance Framework
    (author(s): I. Bajeux-Besnainou, R. Portait)
    Management Science 44(11), 1998; 79-95
  • The Numeraire Portfolio: A New Methodology for Financial Theory
    (author(s): I. Bajeux-Besnainou, R. Portait)
    The European Journal of Finance, 1997
  • Dynamic Spanning: are Options an Appropriate Instrument?
    (author(s): I. Bajeux-Besnainou, J.C. Rochet)
    Mathematical Finance, 1996
  • Valuation Probabilistic Methods and State Variable Models
    (Methodes Probabilistes d’Evaluation et Modeles a Variables d’Etats: une synthese)
    (author(s): I. Bajeux-Besnainou, R. Portait)
    Finance, 1992; 23-56
  • Portfolio Selection Model in a Binomial Model in Infinite Horizon
    (Gestion de Portefeuille dans un Modele Binomial en Horizon Infini)
    (author(s): I. Bajeux-Besnainou)
    Finance, 1991; 53-78
  • Portfolio Selection Model in a Binomial Model
    (Gestion de Portefeuille dans un Modele Binomial)
    (author(s): I. Bajeux-Besnainou)
    Annales d’Economie et de Statitique, 1989; 49-76
  • Insider Trading: a Surplus Analysis
    (Delits d’Inities: une Analyse de Surplus)
    (author(s): I. Bajeux-Besnainou, J.C. Rochet)
    Finance, 1989; 7-19

Professional Activities

  • Member, EFMD EQUIS Accreditation Board, Brussels (2019 - )
  • International Advisory Board, Zhejiang University, School of Management, Hangzhou, China (2018 - )
  • Board of Directors, McGill Japan Inc. (2016 - )
  • International Advisory Board, University Paris Dauphine (2016 - )
  • Business Advisory Board, AZTherapy, Inc. Boston, MA (2016 - )
  • Board of Directors, Chamber of Commerce of Metropolitan Montreal (2016 - 2017)
  • Trustee, Treasurer and Vice-President of the Board of Trustees, French International School, Lycee Rochambeau, Bethesda, MD (2008 - 2014)

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