Jean-Michel Maeso

EDHEC-Risk Climate Impact Institute Senior Quantitative Research Engineer

Main contributions

Quantitative Finance (2020), The Journal of Portfolio Management (2020), The Journal of Fixed Income (2019 ; 2021), Journal of Alternative Investments (2017)

Discipline: Finance
Faculty: Data Science, Economics & Finance
Expertise:

Bio

Jean-Michel Maeso is a senior quantitative researcher at EDHEC-Risk Climate Impact Institute. Previously, he spent 5 years in the financial industry specialising in research, development and implementation of investment solutions (structured products and systematic strategies) for institutional investors. Jean-Michel conducts research in a wide range of topics related to (1) portfolio construction for retirement investing (2), machine learning techniques applied to the pricing of exotic derivatives and (3) factor investing in equity and fixed income universes. He has co-authored several articles published in international finance journals. He holds an engineering degree from the Ecole Centrale de Lyon with a specialisation in applied mathematics.”


Publications of Jean-Michel Maeso

23.11.2021 - Article in a peer reviewed journal

Cross-Sectional and Time-Series Momentum in the US Sovereign Bond Market

Riccardo Rebonato, Lionel Martellini, Jean-Michel Maeso
|

Journal of Fixed Income, Volume 31, November 2021, Pages 20 - 40


28.09.2021 - EDHEC publication

A Holistic Goal-Based Investing Framework for Analyzing Efficient Retirement Investment Decisions in the Presence of Long-Term Care Risk

Lionel Martellini, Vincent Milhau, Jean-Michel Maeso, Suri Anil
|

EDHEC Risk Institute, EDHEC-Risk Institute publication, September 2021


15.06.2021 - Chapter publication

Factor Investing in Sovereign Bond Markets

Lionel Martellini, Jean-Michel Maeso, Riccardo Rebonato, Frank Fabozzi
|

McGraw Hill, June 2021, Pages 1 - 1840


26.02.2021 - EDHEC publication

A holistic goals-based investing framework for analysing efficient retirement investment decisions in the presence of long-term care risk

Lionel Martellini, Jean-Michel Maeso, Vincent Milhau, Suri Anil
|

EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2021


01.04.2020 - Article in a non peer reviewed journal

Defining and Exploiting Value in U.S. Treasury Bonds

Riccardo Rebonato, Lionel Martellini, Jean-Michel Maeso
|

RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, Volume 1, April 2020, Pages 1 - 25