Laurent Calvet

Laurent E. Calvet is a Professor of Finance at EDHEC Business School. An engineering graduate from Ecole Polytechnique and Ecole des Ponts ParisTech (France), he holds a Ph.D. in Economics from Yale University. Prior to joining EDHEC, he served as the John Loeb Associate Professor of the Social Sciences at Harvard University (1998-2004), a Professor and Chair in Finance at Imperial College London (2007-8), and an HEC Foundation Chaired Professor at HEC Paris (2004-16).

Calvet is a founding member of the CEPR Network in Household Finance and an affiliate of the Center for European Policy Research (London) and the Center for Financial Studies (Frankfurt).

Since Sept 2020, Calvet has co-organized with Kim Peijnenburg and Raman Uppal the CEPR Advanced Forum for Financial Economics (CAFFE) online seminar series.

Calvet's research focuses on asset pricing, household finance, and financial econometrics. He co-developed with Adlai Fisher the Markov-Switching Multifractal model of financial volatility, which is increasingly used by practitioners to forecast value-at-risk and price derivatives.

Expertise : Asset Pricing, Household Finance, and Volatility Modelling

Education

• Ph.D. in Economics Yale University (1993 — 1998)
• Ingénieur du Corps des Ponts et Chaussées École des Ponts ParisTech (1991 — 1994)
• Ingénieur École Polytechnique (1988 — 1991)
• Baccalaureat Lycée Louis-le-Grand (1984 — 1985)
• Lycée Janson-de-Sailly (1979 — 1984)

BOOK

• Multifractal Volatility: Theory, Forecasting, and Pricing (with A. Fisher). Elsevier - Academic Press. September 2008.

PUBLISHED AND FORTHCOMING PAPERS

1. “Can Security Design Foster Household Risk-Taking?” (with C. Célérier, P. Sodini, and B. Vallée). Forthcoming Journal of Finance.
2. “Rich Pickings? Risk, Return, and Skill in Household Wealth” (with L. Bach and P. Sodini), American Economic Review 110 (9), 2703-2747, September 2020.
3. “Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics” (with A. Fisher and L. Wu), Journal of Financial and Quantitative Analysis 53 (2), 937-963, April 2018.
4. “Aggregation of Heterogeneous Beliefs, Asset Pricing and Risk-Sharing in Complete Financial Markets” (with J.M. Grandmont and I. Lemaire), Research in Economics 72 (1), 117-146.
5. “Who Are the Value and Growth Investors?” (with S. Betermier and P. Sodini), Journal of Finance 72 (1), pp. 5-46, February 2017 (lead article). ◊ Best Paper Award, 14th Colloquium on Financial Markets (Cologne, Germany).
6. “Robust Filtering” (with V. Czellar and E. Ronchetti), Journal of the American Statistical Association 100 (512), 1591-1606, December 2015.
7. “Accurate Methods for Approximate Bayesian Computation Filtering” (with V. Czellar), Journal of Financial Econometrics 13 (4), pp. 798-838, Fall 2015.
8. “What is Beneath the Surface? Option Pricing with Multifrequency Latent States” (with M. Fearnley, A. Fisher and M. Leippold), Journal of Econometrics 187 (2), pp. 498-511, August 2015.
9. “Through the Looking Glass: Indirect Inference via Auxiliary Equilibria” (with V. Czellar), Journal of Econometrics 185 (2), pp. 343-358, April 2015. ◊ Best y-BIS Paper Award from the American Statistical Association and the National Institute of Statistical Sciences. 5
10. “Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios” (with P. Sodini), Journal of Finance 69 (2), pp. 867-906, April 2014.
11. “Extreme Risk and Fractal Regularity in Finance” (with A. Fisher), in “Fractals in Applied Mathematics,” D. Carfi, M. Lapidus, E. Pearse and M. van Frankenhuijsen eds., Contemporary Mathematics, American Mathematical Society, 2013.
12. “Measuring the Financial Sophistication of Households” (with J. Campbell and P. Sodini), American Economic Review 99 (2), pp. 393–98, May 2009.
13. “Fight or Flight? Portfolio Rebalancing by Individual Investors” (with J. Campbell and P.Sodini), Quarterly Journal of Economics 124 (1), pp. 301-348, February 2009.
14. “Fractals,” Entry in the New Palgrave Dictionary of Economics, 2008.
15. “Multifrequency Jump-Diffusions: An Equilibrium Approach” (with A. Fisher), Journal of Mathematical Economics 44, pp. 207-226, January 2008.
16. “Down or Out: Assessing the Welfare Costs of Household Investment Mistakes” (with J.Campbell and P. Sodini), Journal of Political Economy 115 (5), pp. 707-747, October 2007 (lead article).
17. “Multifrequency News and Stock Returns” (with A. Fisher), Journal of Financial Economics 86, pp. 178-212, October 2007.
18. “Idiosyncratic Production Risk, Growth and the Business Cycle” (with G.M. Angeletos), Journal of Monetary Economics 53, pp. 1095-1115, September 2006 (lead article).
19. “Volatility Comovement: A Multifrequency Approach” (with A. Fisher and S. Thompson), Journal of Econometrics 131, pp. 179-215, March 2006.
20. “Incomplete-Market Dynamics in a Neoclassical Production Economy” (with G.M. Angeletos), Journal of Mathematical Economics 41, pp. 407-438, August 2005 (lead article).
21. “Financial Innovation, Market Participation and Asset Prices” (with M. Gonzalez-Eiras and P. Sodini), Journal of Financial and Quantitative Analysis 39, pp. 431-459, September 2004 (lead article).
22. “How to Forecast Long-Run Volatility: Regime-Switching and the Estimation of Multifractal Processes” (with A. Fisher), Journal of Financial Econometrics 2, pp. 49-83, Spring 2004.
23. “Behavioral Heterogeneity and the Income Effect” (with E. Comon), Review of Economics and Statistics 85, pp. 653-669, August 2003.
24. “Multifractality in Asset Returns: Theory and Evidence” (with A. Fisher), Review of Economics and Statistics 84, pp. 381-406, August 2002 (lead article). 6
25. “Forecasting Multifractal Volatility” (with A. Fisher), Journal of Econometrics 105, pp.27-58, November 2001.
26. “Incomplete Markets and Volatility,” Journal of Economic Theory 98, pp. 295-338, June 2001.
27. “Heterogeneous Probabilities in Complete Asset Markets” (with J.M. Grandmont and I.Lemaire), Advances in Mathematical Economics 1, pp. 3-15, 1999 (Springer Verlag, S.Kusuoka and T. Maruyama, Eds). Japanese translation in Mita Journal of Economics, Tokyo, 1999.

AWARDS AND HONORS

• Program Chair, 2025 Annual Conference of the European Finance Association
• Best Paper Award, Northern Finance Association (2021)
• Research grant, Observatoire de l’Epargne Européenne (2020-).
• Founding Member, CEPR Household Finance Network (2015-)
• CEPR Research Fellow, Financial Economics Program (2015-)
• Best Paper Award, 14th Colloquium on Financial Markets (Cologne, Germany, 2015)
• Best Research Paper, HEC Foundation (2014)
• Elected to Who’s Who in France and Who’s Who in the World (2010-)
• Europlace Institute of Finance and Le Monde, “Best Finance Researcher under the Age of 40” Award (2006)
• Faculty Research Fellow, National Bureau of Economic Research (2003-2011)
• Deloitte Chair, HEC Paris (2006-7)
• Research Affiliate, CREST (2005-7)
• John L. Loeb Research Fellowship, Harvard University (2002-5)
• Distinction for Dissertation Work, Yale University (1998)
• Anderson Fellowship, Cowles Foundation (1997)