Concepedia
Statistics
Publications
9
Citations
664
H-Index
Active since
1994
Affiliations
HEC Montréal(Current)
Group for Research in Decision Analysis
Michel Denault is an author at HEC Montréal specializing in economics, business, and asset pricing.
Top concepts
BusinessEconomicsFinanceManagementEngineeringAsset PricingPortfolio SelectionPortfolio OptimizationSystems EngineeringPortfolio Management
Publications per year
1994–2017
Coherent allocation of risk capital
Michel Denault · The Journal of Risk · 2001 · 443 citations
Economics, Portfolio Optimization, Asset Pricing +13
Complementarity of hydro and wind power: Improving the risk profile of energy inflows
Michel Denault, Debbie J. Dupuis, Sébastien Couture-Cardinal · Energy Policy · 2009 · 103 citations
Engineering, Wind Power Generation, Water Energy +7
A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
Michel Denault, Jean‐Guy Simonato, Lars Stentoft · Computers & Operations Research · 2013 · 25 citations
Stochastic Hybrid System, Dynamic Economic Model, Economics +14
Dynamic portfolio choices by simulation-and-regression: Revisiting the issue of value function vs portfolio weight recursions
Michel Denault, Jean‐Guy Simonato · Computers & Operations Research · 2016 · 19 citations
Economics, Portfolio Optimization, Asset Pricing +14
Intrusion detection: Approach and performance issues of the SECURENET system
Michel Denault, Dimitris Karagiannis, Dimitris Gritzalis et al. · Computers & Security · 1994 · 18 citations
Secure Network Access, Engineering, Intrusion Detection System +9
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