Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model. - Mark Davis 001; Sébastien Lleo (SIAM J. Financial Math., 2011)

Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model. - Mark Davis 001; Sébastien Lleo (SIAM J. Control. Optim., 2013)

Jump-diffusion asset-liability management via risk-sensitive control. - Mark H. A. Davis; Sébastien Lleo (OR Spectr., 2015)

On the separation of estimation and control in risk-sensitive investment problems under incomplete observation. - Sébastien Lleo; Wolfgang J. Runggaldier (Eur. J. Oper. Res., 2024)

Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data. - Mark Davis; Sébastien Lleo (Ann. Oper. Res., 2024)

Dual dominance: how Harry Markowitz and William Ziemba impacted portfolio management. - Sébastien Lleo; Leonard C. MacLean (Ann. Oper. Res., 2025)