IDEAS home Printed from https://ideas.repec.org/e/psa158.html
   My authors  Follow this author

Jules Sadefo

Personal Details

First Name:Jules
Middle Name:
Last Name:Sadefo
Suffix:
RePEc Short-ID:psa158
Université de Guyane DFR SJE Bât. E (Site de Troubiran) BP 792 2091 Route de Baduel 97337 Cayenne cedex Guyane Française
0694438600

Affiliation

(50%) Centre d'Économie de l'Environnement - Montpellier (CEE-M)
Faculté de sciences économiques
Université de Montpellier I

Montpellier, France
http://www.cee-m.fr/

: +33-467-158-568
+33-467-158-467
Avenue Raymond Dugrand, CS 79606, 34960 Montpellier Cedex 2
RePEc:edi:lamplfr (more details at EDIRC)

(50%) Université de Guyane

http://www.univ-guyane.fr/
Guyane Française

Research output

as
Jump to: Working papers Articles

Working papers

  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, Universitiy of Montpellier, revised May 2015.
  2. 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, Universitiy of Montpellier, revised Nov 2013.
  3. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Michel Terraza, 2012. "Fuzzy risk adjusted performance measures: application to Hedge funds," Working Papers 12-24, LAMETA, Universitiy of Montpellier, revised Sep 2012.
  4. 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, Universitiy of Montpellier, revised Sep 2012.
  5. Christian Tassak & Jules Sadefo Kamdem & Louis Aimé Fono, 2012. "Dominances on fuzzy variables based on credibility measure," Working Papers hal-00796215, HAL.
  6. Louis Aimé Fono & Jules Sadefo Kamdem & Christian Tassak, 2011. "Moments and Semi-Moments for fuzzy portfolios selection," Working Papers hal-00567012, HAL.
  7. Jules Sadefo Kamdem, 2011. "Integral Transforms With The Homotopy Perturbation Method And Some Applications," Working Papers hal-00580023, HAL.
  8. Jules Sadefo Kamdem, 2011. "Downside Risk And Kappa Index Of Non-Gaussian Portfolio With Lpm," Working Papers hal-00733043, HAL.
  9. 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'Economique de l'École de gestion à l'Université de Sherbrooke.
  10. Raymond BRUMMELHUIS & Jules Sadefo-Kamdem, 2009. "Var For Quadratic Portfolio'S With Generalized Laplace Distributed Returns," Working Papers 09-06, LAMETA, Universitiy of Montpellier, revised Jun 2009.
  11. 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.

Articles

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. Sadefo Kamdem, Jules, 2012. "A nice estimation of Gini index and power Pen's parade," Economic Modelling, Elsevier, vol. 29(4), pages 1299-1304.
  6. 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.
  7. 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.
  8. 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.
  9. Sadefo Kamdem, 2011. "Businesses Risks Aggregation with Copula," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(2), pages 58-72, July.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.

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. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Michel Terraza, 2012. "Fuzzy risk adjusted performance measures: application to Hedge funds," Working Papers 12-24, LAMETA, Universitiy of Montpellier, revised Sep 2012.

    Cited by:

    1. 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.
    2. 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.

  2. 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, Universitiy of Montpellier, revised Sep 2012.

    Cited by:

    1. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Michel Terraza, 2012. "Fuzzy risk adjusted performance measures: application to Hedge funds," Working Papers 12-24, LAMETA, Universitiy of Montpellier, revised Sep 2012.

  3. 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. 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.
    2. 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.
    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. 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.
    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. Christian Tassak & Jules Sadefo Kamdem & Louis Aimé Fono, 2012. "Dominances on fuzzy variables based on credibility measure," Working Papers hal-00796215, HAL.
    7. 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.

  4. 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'Economique de l'École de gestion à l'Université de Sherbrooke.

    Cited by:

    1. Sadefo Kamdem, Jules, 2012. "A nice estimation of Gini index and power Pen's parade," Economic Modelling, Elsevier, vol. 29(4), pages 1299-1304.

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

    Cited by:

    1. 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.

  6. 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. 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.
    2. 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.
    3. Raymond BRUMMELHUIS & Jules Sadefo-Kamdem, 2009. "Var For Quadratic Portfolio'S With Generalized Laplace Distributed Returns," Working Papers 09-06, LAMETA, Universitiy of Montpellier, revised Jun 2009.
    4. 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.
    5. 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.
    6. 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.

Articles

  1. 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.

    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," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 10(1), pages 1-14, February.
    2. 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.

  2. 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.

    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," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 10(1), pages 1-14, February.
    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. Shvedov, Alexey, 2016. "Estimating the means and the covariances of fuzzy random variables," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 42, pages 121-138.
    4. 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.

  3. 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.

    Cited by:

    1. Pauline Mornet, 2013. "A program for weakly decomposable inequality measures by population subgroups," Economics Bulletin, AccessEcon, vol. 33(3), pages 1738-1750.
    2. 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.
    3. 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.

  4. Sadefo Kamdem, Jules, 2012. "A nice estimation of Gini index and power Pen's parade," Economic Modelling, Elsevier, vol. 29(4), pages 1299-1304.

    Cited by:

    1. Keng, Shao-Hsun & Orazem, Peter F., 2017. "Performance Pay, the Marriage Market and Rising Income Inequality in Taiwan," ISU General Staff Papers 201702050800001023, Iowa State University, Department of Economics.

  5. 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.
  6. 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.
  7. 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.
  8. 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. 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, Universitiy of Montpellier, revised Dec 2014.
    2. 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.

  9. 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.

    Cited by:

    1. 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.
    2. Raymond BRUMMELHUIS & Jules Sadefo-Kamdem, 2009. "Var For Quadratic Portfolio'S With Generalized Laplace Distributed Returns," Working Papers 09-06, LAMETA, Universitiy of Montpellier, revised Jun 2009.
    3. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 10(1), pages 1-14, February.
    4. 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, Universitiy of Montpellier, revised Dec 2014.
    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. 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.

  10. 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.

    Cited by:

    1. 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, Universitiy of Montpellier, revised Dec 2014.
    2. Janine Balter & Alexander J. McNeil, 2018. "On the Basel Liquidity Formula for Elliptical Distributions," Risks, MDPI, Open Access Journal, vol. 6(3), pages 1-13, September.
    3. Jules Sadefo Kamdem, 2011. "Downside Risk And Kappa Index Of Non-Gaussian Portfolio With Lpm," Working Papers hal-00733043, HAL.
    4. Sadefo Kamdem, 2011. "Businesses Risks Aggregation with Copula," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(2), pages 58-72, July.
    5. 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.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 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-ECM: Econometrics (2) 2009-06-10 2012-10-27
  2. NEP-ENE: Energy Economics (2) 2013-11-29 2015-05-22
  3. NEP-ENV: Environmental Economics (2) 2013-11-29 2015-05-22
  4. NEP-RMG: Risk Management (2) 2009-06-10 2012-10-20
  5. NEP-UPT: Utility Models & Prospect Theory (1) 2012-10-20

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Jules Sadefo should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.