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Isabelle G. Bajeux-Besnainou Office Address Lisner Hall - Finance Department George Washington University 2023 G St, NW Washington DC 20052
ACADEMIC EXPERIENCE 2002 – Present Professor of Finance George Washington University Sept. 96 – 2002 Associate Professor of Finance George Washington University Sept. 94 – Sept. 96 Assistant Professor of Finance George Washington University Sept. 93 – Sept. 94 Visiting Professor of Economics University of Montreal, Montreal Sept. 92 – Sept. 93 Associate Professor of Finance ESSEC, Paris Sept. 89 – Sept. 92 Assistant Professor of Finance ESSEC, Paris
Published Articles Bajeux-Besnainou I. and K. Ogunc, 2003, “Categorical Thinking in Stock Portfolio Management”, Journal of Behavioral Finance, Vol.4, No. 3, 118-120. Bajeux-Besnainou I., J. Jordan and R. Portait, 2003, Journal of Business, “Dynamic Asset Allocation for Stocks, Bonds and Cash”, April, vol 76, no 2. Bajeux-Besnainou I. and R. Portait, 2002, “Pricing Contingent Claims in Incomplete Markets Using the Numeraire Portfolio”, International Journal of Finance, vol. 13, number 3, pp 2291-2310. Bajeux-Besnainou I. and J. Jordan, 2001, December, Finance, “Mean-Variance Asset Allocation for Long Horizons.” Bajeux-Besnainou I., J. Jordan and R. Portait, 2001, September, American Economic Review, “The Stock/Bond ratio asset allocation puzzle: comment”, 91, September, 1170:79. Bajeux-Besnainou I. and R. Portait, 1999, “New Portfolio Optimization Models in Strategic Asset Allocation” (L’allocation strategique d’actifs: l’apport de nouveaux modeles d’optimisation de portefeuilles), Banques et Marches. Bajeux I. and R. Portait, 1998 “Pricing Derivative Securities with a Multi-Factor Gaussian Model”, Applied Mathematical Finance, 5, pages 1-19. Bajeux-Besnainou I. and R. Portait 1998, “Dynamic Asset Allocation in a Mean-Variance Framework”, Management Science, November, 44 (11), pp. 79-95. Bajeux-Besnainou I. and R. Portait. 1997. “The Numeraire Portfolio: a new Methodology for Financial Theory”. The European Journal of Finance, December. Bajeux I. and J.C. Rochet. 1996, “Dynamic Spanning: are Options an Appropriate Instrument?” Mathematical Finance-January. Bajeux-Besnainou I. and R. Portait. 1992. “Valuation Probabilistic Methods and State Variable Models” (Methodes Probabilistes d’Evaluation et Modeles a Variables d’Etats: une synthese), Finance. Pages 23-56. Bajeux-Besnainou I. 1991. “Portfolio Selection Model in a Binomial Model in Infinite Horizon” (Gestion de Portefeuille dans un Modele Binomial en Horizon Infini) Finance. Pages 53-78. Bajeux I. 1989. “Portfolio Selection Model in a Binomial Model” (Gestion de Portefeuille dans un Modele Binomial). Annales d’Economie et de Statitique. Pages 49-76. Bajeux I. and J.C. Rochet. 1989. “Insider Trading: a Surplus Analysis” (Delits d’Inities: une Analyse de Surplus). Finance. Pages 7-19. BOOK CHAPTERS Bajeux-Besnainou I., “Dynamic Investment Strategies”, Encyclopedia of Financial Engineering and Risk Management, Fitzroy Dearborn, edited by Peter Moles, forthcoming. Bajeux-Besnainou I. and Y. Liu, “Jarrow and Turnbull (1995) model”, Encyclopedia of Financial Engineering and Risk Management, Fitzroy Dearborn, edited by Peter Moles, forthcoming. Bajeux-Besnainou I. and M. Souto, “Weather derivatives”, Encyclopedia of Financial Engineering and Risk Management, Fitzroy Dearborn, edited by Peter Moles, forthcoming. Bajeux-Besnainou I. and M. Souto, “Pollution derivatives”, Encyclopedia of Financial Engineering and Risk Management, Fitzroy Dearborn, edited by Peter Moles, forthcoming. Bajeux-Besnainou I. and R. Portait, 2002, “Separation Theorems: Static or Dynamic?”, chapter in a book, Economica. Bajeux-Besnainou I. and R. Portait, 2002, “New Directions in Mathematical Finance”, edited by Paul Wilmott and Henrik Rasmussen, Wiley Publications, “Dynamic, Deterministic and Static Portfolio Strategies in a Mean-Variance Framework under Stochastic Interest Rates.” Working Papers. Bajeux-Besnainou I. and J. Yang (2003), “Is the Chinese Currency Undervalued?” Bajeux-Besnainou I., R. Portait and G. Tergny (2003), “Dynamic Asset Allocation with Benchmarking”, Outstanding Academic Paper in Investments, Eastern Finance Association meetings, April 2003. Bajeux-Besnainou I. And K. Ogunc (2002), “Asset Allocation for Endowment Funds: The Case of HARA Utility Function with Subsistence Levels.” Bajeux-Besnainou I. (2002), “Dynamic Portfolio Strategies”, monograph. Bajeux-Besnainou I. and K. Ogunc (2002), “The Multi-layered Stock Allocation Puzzle.” Bajeux-Besnainou I. And V. Katsikiotis (2000), “A Continuous-Time Model of the Short-Term Interest Rate Consistent with Empirical Evidence.” PROFESSIONAL ACTIVITIES
Membership, Service and grants. Department Representative – Building Committee – School of Business – 2004- present. Selection committee for the Philip Grub Research Scholar, June 2003. Strategic Directions Initiative – Globalization Task Force, April-May 2003. Department Representative on the Research Committee, Dec. 2002-present. School Representative on the University Mentoring Committee, 2000-present. School Representative on the UFF/Dilthey summer research University award committee, 2002-2003. Alternate School Representative to the University Committee on the Status of Women Faculty and Librarians, 2000 - 2003. Finance Department Doctoral Committee Representative, The George Washington University, 1999 – 2001. Finance Department, APT committee member, 2000-2001, 2002-present. Dean’s council committee member, 1998-1999. Ph.D. Finance Department program-coordinator, 1996-2001. School: Vice-Chair of the Education Committee. 1996- 1997. Department Curriculum Committee. 1994 - 1997. Vice-President and co-founder, WAFA, Washington Area Finance Association. 1997-present. Program co-director of the third, second and first Washington area finance research conference, April 30, 1998, George Mason University, October 30, 1998, Washington DC and October 24, 1997, Washington DC. Organization of the International Meetings of the French Finance Association, July 1992, Paris (100 academic papers presented, 200 participants). Referee reports for: Review of Economic Studies, Journal of Banking and Finance, Annales d’Economie et de Statistiques; Econometrica; European Economic Review; Finance; Journal of Mathematical Economics; Management Science; European Journal of Finance; Review of Financial Studies. |
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