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Isabelle G. Bajeux-Besnainou

Isabelle G. Bajeux-Besnainou
Dean and Professor of Finance, Desautels Faculty of Management at McGill University
Degree(s): 

PhD, Université Paris-Dauphine, France, 1989
MS, Pierre and Marie Curie University & Université Paris-Dauphine, France, 1986
BBA, Ecole Normale Superieure de Paris, 1985

Area(s): 
Finance
Phone: 
(514) 398-4001
Email Address: 
isabelle [dot] bajeux [at] mcgill [dot] ca
Alternate Email Address: 
zabrina [dot] kadkhodayan [at] mcgill [dot] ca
Address: 

Bronfman Building, [Map]
1001 rue Sherbrooke Ouest
Montreal, Quebec
Canada
H3A 1G5

Office: 
454
Biography: 

Isabelle Bajeux-Besnainou joined McGill’s Desautels Faculty of Management as Dean and Professor of Finance in September 2015.

Prior to joining Desautels, Professor Bajeux-Besnainou served as Associate Dean of Undergraduate Programs at the George Washington University School of Business since April 2012, and chaired the Finance Department during the 2011-12 academic year. She taught at George Washington University since 1994, at Université de Montréal in the fall of 1993, and at École Supérieure des Sciences Economiques et Commerciales (ESSEC) de Paris from 1989 to 1993.

As Associate Dean at George Washington University, Professor Bajeux-Besnainou launched several new programs and initiatives, including a new Bachelor of Science degree program with a major in Finance. This degree, implemented in Fall 2013, requires a second major outside of the Business School. A firm believer in the value of interdisciplinarity, she also redesigned the Bachelor of Business Administration curriculum to highlight liberal arts and require a minor outside of the Business School, beginning Fall 2014. Additionally, Professor Bajeux-Besnainou redesigned the First Year Development Program for incoming undergraduate students with additional emphasis on integrity, ethics, civility and social entrepreneurship.

At George Washington University, Professor Bajeux-Besnainou taught extensively at the graduate level in the MBA, Master of Science in Finance, and PhD programs. She also developed and taught an Investment and Portfolio Management course for the online MBA program.

Professor Bajeux-Besnainou earned her doctorate in Mathematics Applied to Finance from the Université Paris-Dauphine in 1989. Her research interests relate to asset pricing, portfolio management, and credit risk, among other topics. She published numerous articles in academic journals such as Management Science, Mathematical Finance, Journal of Economic Dynamics and Control, American Economic Review, and Journal of Business.

Taught previously at: 

George Washington University
ESSEC, Paris
Université de Montreal

Selected Publications : 

Papers in Peer-Reviewed Journals

Bajeux-Besnainou I., R. Portait and G. Tergny (2013), “Optimal Portfolio Allocations with Tracking Error Volatility and Stochastic Hedging Constraints”, Quantitative Finance, Vol. 13, number 10, 1599-1612.

Bajeux-Besnainou I., W. Bandara and E. Bura (2012), “A Krylov Subspace Approach to Large Portfolio Optimization”, Journal of Economics, Dynamics and Control, November, Vol. 36, 1688-1699.

Bajeux-Besnainou I., R. Belhaj, D. Maillard and R. Portait (2011), “Portfolio Optimization under Tracking Error and Weights Constraints”, Journal of Financial Research, Vol. 34, 295-330.

Bajeux-Besnainou I., S. Joshi and N. Vonortas. (2010), “Uncertainty, Networks and Real Options”, Journal of Economic Behavior and Organization, 75, 523-541.

Bajeux-Besnainou, I. and K. Ogunc (2006), “Asset Allocation for Endowment Funds: The Case of HARA Utility Function with Subsistence Levels”, Review of Quantitative Finance and Accounting, 27, 93-107.

Bajeux-Besnainou, I. and Yang, J. (2006), “Is the Chinese Currency Undervalued?", International Research Journal of Finance and Economics, 2, 107-130.

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), “Dynamic Asset Allocation for Stocks, Bonds and Cash”, Journal of Business, 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, 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, 1-19.

Bajeux-Besnainou I. and R. Portait (1998), “Dynamic Asset Allocation in a Mean-Variance Framework”, Management Science, November, 44 (11), 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, 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, 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, 49-76.

Bajeux I. and J.C. Rochet (1989), “Insider Trading: a Surplus Analysis” (Delits d’Inities: une Analyse de Surplus), Finance, 7-19.

Chapters in Books

Bajeux-Besnainou I. and R. Portait (2002), “Separation Theorems: Static or Dynamic?” chapter in 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.”

Faculty

Research Faculty

Contact Information Research Areas & Courses Taught

Patrick Augustin
Assistant Professor

Email: patrick [dot] augustin [at] mcgill [dot] ca
Phone: 514-398-4726
Office: Bronf. 514 

BCom Students: Industry Mock Interviews - Sign up!

Mon, 2015-03-16 09:00 - Fri, 2015-03-20 17:00
Bronfman Building : 1001 rue Sherbrooke Ouest Montreal Quebec Canada , H3A 1G5
Price: $20 deposit

Sign-Up from Monday, March 16th until Friday, March 20th 2015
In person sign-up ONLY at Career Services (Bronfman 650) between 9 AM - 5 PM.

Industry mock interviews will be on Monday March 23 2015 // Tuesday March 24 2015 // Wednesday March 25 2015

Don’t miss out on this invaluable opportunity!  Practice does make perfect!
This is a great way to practice your interview skills with a company representative.

Source Site: /desautels

Doctoral Students

Contact Information

Research Interest

Ghazaleh Aghili Dehkordi

Email: ghazaleh [dot] aghili [at] mail [dot] mcgill [dot] ca
Room: 548

  • Role of IT in coordination among interdisciplinary teams

  • Knowledge sharing

  • Impact social media on shared decision making in medical domain

Shameful advertising

Thu, 2014-12-04 10:43

Shame and guilt have different effects on consumer buying habits, new research from the Desautels Faculty of Management in Canada finds.

... Professor DaHee Han says:

“To get the best response, a fitness club could produce an ad that induces shame and highlights the bigger picture, such as ‘Are you overweight? How ashamed do you feel? Stop overeating, join our fitness programme and feel healthy all the time’.

Source Site: /desautels

Is an MBA worth it? What business school can do for your salary in 2014

Thu, 2014-11-27 10:17

Desautels, Ivey, Rotman, Sauder and Schulich all cracked the top 100 on the Financial Times’ business school rankings in 2014. While FT’s list is the global standard by which programs are measured, determining the “best” business school is ultimately complicated and subjective, dependent on a plethora of metrics each individual can and should weigh differently.

Source Site: /desautels

How to successfully use shame and guilt in advertising

Thu, 2014-11-20 11:05

Shame and guilt have different effects on consumer buying habits, new research from the Desautels Faculty of Management in Canada finds.

... Professor DaHee Han says: “To get the best response, a fitness club could produce an ad that induces shame and highlights the bigger picture, such as ‘Are you overweight? How ashamed do you feel? Stop overeating, join our fitness programme and feel healthy all the time!’

Source Site: /desautels

Neither crisis mode nor complacency

Thu, 2014-11-20 10:56

In September, the Quebec government announced that McGill’s operating grant would be almost $15 million less than what it had proposed in the spring — and warned that a second wave of cuts were to come. On Nov. 12, Quebec’s universities and CEGEPs were hit with that new round of cuts, amounting to $31.6 million. McGill’s share is close to $5 million. Provost Anthony C. Masi talked to the McGill Reporter about this development, and the University’s ongoing underfunding situation.

Source Site: /desautels

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