198 citations · 558 across the 17 of their papers we have counts for
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physics.soc-ph2010
Zipf's law and maximum sustainable growth
Y. Malevergne, A. Saichev, D. Sornette
Zipf's law states that the number of firms with size greater than S is inversely proportional to S. Most explanations start with Gibrat's rule of proportional growth but require ad…
physics.soc-ph2006★ 6 cited
Self-Consistent Asset Pricing Models
Y. Malevergne, D. Sornette
We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) co…
physics.soc-ph2003★ 31 cited
VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions
Y. Malevergne, D. Sornette
Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their m…