Carnegie Mellon University

Isabelle Bajeux-Besnainou

Isabelle Bajeux-Besnainou

Dean; Richard P. Simmons Professor of Finance

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5000 Forbes Avenue
Pittsburgh, PA 15213


  • 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


    • 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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