ROGER Patrick

Patrick ROGER
LARGE Research Center
EM Strasbourg Business School, University of Strasbourg
[email protected]
http://www.em-strasbourg.eu/enseignants/fiche_prof.php?prof=1020
RESEARCH INTERESTS
Behavioral Finance, Decision Making under Risk, Structured Products, State Lotteries.
EDUCATION
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MSc1 in Applied Mathematics, University of Lille I (1980)
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MSc in Management Science, University of Lille I (1982)
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Ph D in Applied Mathematics, University of Lille I (1982)
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Ph D in Marketing, University of Lille I (1983)
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Habilitation2 in Finance, University of Paris IX-Dauphine (1988)
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Premier Concours d’Agrégation3 (1989)
PERMANENT POSITIONS
University of Strasbourg4, Professor of Finance (1989 - Present)
University of Lille III, Associate Professor (1985 - 1989)
University of Lille I, Assistant Professor (1981-1985)
OTHER POSITIONS
CNRS Research Fellow, University Paris-Dauphine, 2012-2013
Boston College, Visiting Researcher (April-May 2013)
Affiliated Professor at EM Strasbourg Business School (2008 – Present)
HEC Lausanne (Switzerland), Visiting professor (2009-2010)
RECENT TEACHING ACTIVITIES
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Behavioural Finance, MSc. In Finance, University of Strasbourg
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Called « Diplôme d’Etudes Approfondies » at that time in France
Diploma which allows to supervise Ph.D students
3
In France, full professors are hired through a national contest called “Agrégation”
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The three universities located in Strasbourg merged in January 2009 under the common name “University of
Strasbourg”.
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1
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Options and Interest Rate Risk Management, MSc. in Actuarial studies and
MSc. in Finance
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Asset Pricing, MSc. in Finance, University of Strasbourg
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Investments, MSc. in Finance, University of Strasbourg
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Financial Mathematics, MSc. 104 in Finance (Research program), University Paris IX
Dauphine (from 1985 to 2006).
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Probability and Stochastic Processes, MSc. 203 in Finance (Security Markets,
Commodity Markets, and Risk Management), University Paris IX-Dauphine (from
2002 to 2005)
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Derivatives, EM Strasbourg and MSc. in Finance, University of Strasbourg, France
COLLECTIVE RESPONSIBILITIES
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Member of the Orientation Council of the European Savings Institute (2011-Present)
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Director of the MSc in Finance, Strasbourg University (2009- Present)
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Dean of the Department of Economics and Management Science, University of
Strasbourg (2004-2008)
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Member of the Scientific Committee of the French Institute of Actuaries (2006-2009)
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Member of the National Committee for Scientific Research, section 37 – Economics
and Management Science (2004-2008)
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Administrator of the “European Pole for Management and Economics” (Pôle
Européen de Gestion et d’Economie), Strasbourg, (2004-2005).
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President of the Recruitment Committee of the Department of Economics and
Management Science (2002-2004)
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Vice-Dean of the Department of Economics and Management Science, University of
Strasbourg (1999-2000)
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Director of the MsC of Actuarial Studies (1992-1996) and co-director with Robert
Aebi (2006-2009).
PUBLICATIONS
A. BOOKS AND CHAPTERS
1) Analysis and Linear Algebra for Finance, Part I, Ventus Publishing Aps, 2013.
2) Analysis and Linear Algebra for Finance, Part II, Ventus Publishing Aps, 2013.
3) Corrigés de Options, Futures et autres Actifs Dérivés, Pearson Education,
translation-adaptation of Options, Futures and other Derivatives: Solution’s
2
Manual, 8th ed, John HULL (with L. Deville and C. Hénot), 2012. (6th edition
was published in August 2007)
4) Options, Futures et autres Actifs Dérivés, Pearson Education, translationadaptation of Options, Futures and other Derivatives, 8th ed, John HULL (with C.
Hénot, L. Deville), 2011. (6th edition was published in April 2007)
5) Stochastic Processes for Finance, Ventus Publishing Aps, 2010.
6) Probability for Finance, Ventus Publishing Aps, 2010.
7) Futures et Options: Principes Fondamentaux, Pearson Education, translationadaptation of Fundamentals of Futures and Options Markets, 6th ed., John Hull
(with Christophe Hénot and Laurent Deville), 2009
8) Mathématiques pour l’Economie et la Gestion : Applications avec Excel
(Mathematics for Economics and Management Science : Applications with Excel),
Pearson Education, 2006.
9) Lotomania : Approche Scientifique du Jeu et du Comportement des Joueurs
(Lottomania : Scientific Approach of the Game and of the Players’ Behavior),
Editions Village Mondial, 2005.
10) Finance Comportementale (Behavioral Finance), with M. H. Broihanne et M.
Merli, Economica, 2004.
11) Probabilités, Statistique et Processus Stochastiques : Synthèse
de Cours et
Exercices corrigés (Probability, Statistics and Stochastic Processes : Course
Synthesis and Solution’s Manual), Pearson Education, 2004.
12) Statistique pour la Gestion (Statistics for Management), Editions Management et
Société, 2000.
13) Théorie Financière: Exercices Corrigés (Financial Theory: Solution’s Manual) ,
Nathan, 1999.
14) L’Evaluation des Actifs Financiers : Modèles à Temps Discret (Valuation of
Financial Securities: Discrete-time Models), De Boeck Université, 1996.
15) Gestion de Production (Operations Management), Précis Dalloz, 1992.
16) Les Outils de la Modélisation Financière (Tools for Financial Models), PUF
Collection Finance, 1991.
17) Finance comportementale et design des actifs financiers (Behavioral Finance and
Design of Financial Securities) in Management : Enjeux de Demain, Bernard
Pras, Ed., Vuibert, 2009.
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18) Modélisation des Relations Acheteur-Fournisseur et Simulation dans le Cas
Franco-Allemand, in Confiance et Performance, J.C. Usunier Ed., Vuibert, 2000
(A Model of the Client-Supplier Relationship and Simulations in the GermanFrench Case).
19) Confiance et Performance: le Couple Franco-Allemand au sein de l'Europe (with
Jean-Claude Usunier), in Thomas Würtenberger et al. Eds, Wahrnehmungs-und
Betätigungsformen des Vertrauens in deutsch-französischen Vergleich, Berlin,
Berlin Verlag/Arno Spitz, 2002 (Trust and Performance: the German-French
Couple within Europe)
20) “Processus Stochastiques, Calcul Stochastique et Optimisation Dynamique”,
Encyclopédie des Marchés Financiers, 1997 (Stochastic Processes, Stochastic
Calculus and Dynamic Optimization).
B. ARTICLES (translation of French titles in parentheses when necessary)
21) “La prise de décision: l'apport de l'économie expérimentale en stratégie" (with M.
Pfiffelmann), Revue interdisciplinaire sur le management et l’humanisme, 5,
January-February 2013, (Decision Making : contribution of the Experimental
Approach to Strategy).
22) “Portefeuilles et biais comportementaux des petits porteurs” (Portfolios and
Behavioral Biases of Retail investors), Analyse Financière, 43, 43-47, (with
Marie-Hélène Broihanne and Maxime Merli), 2012.
23) “The Individual Investor”, Bankers, Markets & Investors, 118, (with MarieHélène Broihanne and Maxime Merli), mai-juin 2012.
24) “Mixed Risk Aversion and Preference for Risk Disaggregation: a Story of
Moments”, Theory and Decision, 70, 27-44, 2011.
25) “Testing Alternative Theories of Financial Decision Making: An Experimental
Study with Lottery Bonds”, Journal of Behavioral Finance, 12(4), 219-232,
2011.
26) “Capital Protected Notes for Loss Averse Investors: a Counterintuitive Result?”,
Bankers, Markets & Investors, forthcoming, November-December 2011.
27) “La demande de grilles d’Euromillions : une comparaison internationale” (The
Demand of Euromillions Lottery Tickets : An International Comparison), Revue
économique, 62(1), 29-56, 2011.
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28) “Aversion au risque, prise de risque et finance comportementale”(Risk Aversion,
Risk Taking and Behavioral Finance, Risques, 85, 87-92. (with Marie-Hélène
Broihanne and Maxime Merli), 2011.
29) “Structure de propriété, bénéfices privés et volatilité idiosyncratique” (Ownership
Structure, Private Benefits and Idiosyncratic Volatility), with Alain Schatt, Revue
Française de Gouvernance d’Entreprise, 6(2), 2010.
30) “Does the Consciousness of the Disposition Effect Increase the Equity
Premium?”, Journal of Behavioral Finance, 10, 138-151, 2009.
31) “Solving some financial Puzzles with Prospect Theory and Mental Accounting: a
Survey” (with M.H. Broihanne and M. Merli), Revue d’Economie Politique,
118(4), 475-512, 2008.
32) “On the Robustness of Mutual Funds Ranking with an Index of Relative
Efficiency” (with M.H. Broihanne and M. Merli), Banque & Marchés, 94, 32-43,
2008.
33) “Efficiency of Betting Markets and Rationality of Players: Evidence from the
French 6/49 Lotto” (with M.H. Broihanne), Journal of Applied Statistics, 34 (5),
645-662, 2007.
34) “Les joueurs du loto français choisissent-ils leurs numéros au hasard ?”, with M.H.
Broihanne, Revue de Statistique Appliquée, 54, 83-98, 2006, (Do French Lotto
Players Randomly Choose Their Numbers?)
35) “La Théorie Comportementale du Portefeuille : Intérêts et Limites” (with M.H.
Broihanne et M. Merli), Revue Economique, 57 (2), 297-314, 2006 (Behavioral
Portfolio Theory: Interests and Limits).
36) “Le Comportement des Investisseurs Individuels” (with M.H. Broihanne et M.
Merli), Revue Française de Gestion, 31, n°157, July-August, 2005 (The
Behaviour of Individual Investors).
37) “Bid-ask Spread and Inventory Level: the Invariance Case” (with C. At and L.
Flochel), accepted in Finance Letters5, 2005.
38) “Les Comptes d’Epargne Associés à des Loteries : Approche Comportementale et
Etudes de Cas” (with M. Pfiffelmann), Banque&Marchés, 78, 16-23, 2005
(Lottery-Linked Deposit Accounts : Behavioural Approach and Case Studies).
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This paper was accepted in 2005 the publication of the journal ceased in 2007
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39) “Mesures de Risque et Notation” (with M. Merli), Risques, 61, 2005 (Risk
Measures and Ratings).
40) “On the Optimality of Averaging Strategies for a Loss Averse Investor”,
Banque&Marchés, 70, 28-36, 2004.
41) “Les marchés d'actions : quelle place pour l'Europe”, Problèmes Economiques,
juin 2003 (Stock Markets: Which Place for Europe ?).
42) “Stock Timing with Genetic Algorithms” (with J.Korczak), Applied Stochastic
Models in Business and Industry, 18, n° 2, 2002.
43) “Evolution Strategy in Portfolio Optimization” (with J. Korczak et P. Lipinski),
[in] Artificial Evolution, ed. P. Collet, Lecture Notes in Computer Science, vol.
2310, 156-167, Springer, 2002.
44) “On the Long-run Risk in Stocks: a West-side Story”, Banque&Marchés, 61, 2632, 2002.
45) “Sur une Mesure d’Efficience Relative des Portefeuilles dans la Théorie de
Markowitz” (with M.Merli), Banque&Marchés, 58, 13-21, 2002 (On a Measure
of Portfolio Relative Efficiency in the Markowitz Model).
46) “Properties of Bid and Ask Prices in the Rank Dependent Expected Utility
Model”, Journal of Mathematical Economics, 34 (3), 269-285, 2000.
47) “A Decision Theoretic Approach to Bid-Ask Spreads: a Note”, Finance, 21(1),
2000.
48) “Probabilité de Défaut et Spread de Taux : Etude Empirique du Marché Français”
(with M.Merli), 20, n°1, Finance, 1999 (Default Probability and Interest Rate
Spreads: an Empirical Study of the French Market).
49) “Confiance et Performance : le Couple Franco-Allemand au sein de l’Europe”
(with J-C Usunier), Finance, Contrôle, Stratégie, 1999 (Trust and Performance:
the French-German Couple within Europe).
50) “Risk Aversion and the Bid-Ask Spread” (with Louis Eeckhoudt), European
Financial Management, 5(3), 323-340, 1999.
51) “Valeur Ajoutée d’un Partage de Risque et Pareto-optimalité” (with Louis
Eeckhoudt), Revue Economique, 49, 1998 (Value-added of a Risk Sharing and
Pareto Optimality).
52) “The Design of Optimal Insurance Contracts: a Topological Approach” (with
S.Spaeter), Geneva Papers on Risk and Insurance, 22, 5-19, 1997.
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53) “Estimation de la Structure par Termes des Taux d’Intérêt par le Simplexe et le
Lissage des Taux Forward” (with N.Rossiensky), Finance, 16, 1995 (Estimation
of the Term Structure of Interest Rates by the Simplex method and the Smoothing
of Forward Rates).
54) “Partage des Risques et Création de Valeur Ajoutée” (with L.Eeckhoudt), Revue
Economique, 45, 1994 (Risk Sharing and Creation of Value-Added).
55) “Definition and Valuation of Optional Reinvestment Coupon Bonds” (with P.
Artzner), Finance, 14, 1993.
56) “Options et Complétude des Marchés”, Revue Economique, 42, 1991 (Options
and Completeness of Financial Markets).
57) “Agrégation de l'Information par les Prix et Dépendance des Sources
d'Information”, Economies et Sociétés, Sciences de Gestion, 1989 (Aggregation of
Information by Prices and Dependency of Information Sources).
58) “Sur l'Evaluation des Taux de Change: une Approche par le Modèle d'Arbitrage”
(with P. Rousseau), Economies et Sociétés, Sciences de Gestion, 1989 (On the
Valuation of Exchange Rates : An Arbitrage Pricing Approach).
59) “Théorie des Marchés Efficients et Asymétrie de l'Information ; une Revue de la
Littérature”, Finance, 9, 1988 (Theory of Efficient Markets and Information
Assymetries : a Survey).
60) “Description of Consumer Spatial Behaviour: a New Approach”, International
Journal of Research in Marketing, 1 (3), 171-181, 1984.
EDITORIAL ACTIVITIES
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Chief-Editor of Finance, journal of the French Finance Association, (2004-2010),
with François Degeorge, University of Lugano and then François Derrien, HEC Paris.
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Member of the Editorial Committee, Bankers, Markets & Investors, 2003-2012
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Referee for Management Science, Review of Economic Studies, Theory and Decision,
Journal of Economic Dynamics and Control, Journal of Behavioral Finance, Applied
Economics, Applied Financial Economics, Quantitative Finance, Emerging Markets
Finance & Trade, Finance, Revue Economique, Economie et Statistique, Bankers,
Markets & Investors.
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RECENT WORKING PAPERS AND CONFERENCES
1. Overconfidence, Risk Perception and Risk-Taking Behavior of Finance Professionals,
International AFFI meeting, Lyon, May 2013, Academy of Behavioral Finance and
Economics Conference, Chicago, September 2013, revision (2nd round) at Finance
Research Letters.
2. Idiosyncratic risk and private benefits in family firms (with Alain Schatt), revision (2nd
round) at Family Business Review
3. The 99% Market Sentiment Index, Academy of Behavioral Finance and Economics
Conference, New York, September 2012, submitted to Finance.
4. Portfolio Diversification Dynamics of Individual Investors: a New Measure of
Investor Sentiment, Midwest Finance Association Conference, New Orleans, February
2012, French Finance Association Conference, Strasbourg, May 2012.
5. Portfolio Diversification Dynamics as a Measure of Market Sentiment, Academy of
Behavioral Finance and Economics Conference, New York, September 2012,
University Paris-Dauphine Seminar, October 2012
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1927562
6. In
Search
of
Positive
Skewness:
the
Case
of
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2021160
Individual
,
Invited
Investors,
Seminar,
University of Nice, March 2011, French Finance Association Conference, Montpellier,
Mai 2011, Behavioral Insurance Meeting, Munich, December 2011.
7. Testing Alternative Theories of Financial decision Making: An Experimental Study
with Lottery Bonds http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1410021,
Midwest finance Association, Las Vegas, February 2010 and Academy of Behavioral
Finance and Economics, Chicago, September 2010.
8. The Individual Investor: Theory and Facts about Trading and Portfolios, guest
speaker, Doctoral Meeting Montpellier, May 2011.
9. Capital Protected Notes for Loss Averse Investors: A counterintuitive result, Midwest
Finance Association, Las Vegas, 2010, Invited seminar at University of Konstanz,
January 2009, 26th Symposium in Money Banking and Finance, Orléans, June 2009.
Available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1106749
10. Do Low-Priced Stocks Carry More Idiosyncratic Volatility (avec Alain Schatt),
International Meeting of the French Finance Association, Saint Malo, May 2010.
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11. La cannibalisation des produits à prix aléatoires : l’Euromillions a-t-il tué le loto
français ? (Cannibalization of products with Random Prices : did Euromillions Kill the
French Lotto ?), with Sylvie Chabi, International Meeting of the French Marketing
Association, London, May 2009. Available at
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1353469
12. Heuristics in Financial Decision Making: an Experimental Study with Lottery Bonds,
International Meeting of the French Finance Association, Guest Speaker, Brest, May
2009.
13. The Demand for Euromillions Lottery Tickets : an International Comparison, WP
LARGE, 2009-05, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1300439,
Applied Microeconomics Seminar, Dijon, June 2009
14. Structure de propriété, bénéfices privés et volatilité idiosyncratique (Ownership
Structure, Private Benefits and Idiosyncratic Volatility), with Alain Schatt, 8th
International Meeting of Corporate Governance, Florence, June 2009.
15. Does the consciousness of the disposition effect increase the equity premium,
International Meeting of the French Finance Association, Bordeaux, June 2007, 34th
Seminar of the European Group of Risk and Insurance Economists, Köln, September
2007, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1021491
16. A Behavioral Approach to Financial Puzzles (with Marie Hélène Broihanne and
Maxime Merli, WP LARGE 2008-01, available at
http://ideas.repec.org/p/lar/wpaper/2008-01.html
17. Lottery-Linked Savings Accounts and Lottery Bonds: a Behavioral Approach, guest
speaker, 1st Financial Engineering and Economics Symposium, Agadir, June 2008
18. Finance comportementale et design des actifs financiers (Behavioral Finance and
Design of Financial Securities), Etats généraux du Management, Paris, 17/10/2008
CONSULTING AND PROFESSIONAL CONFERENCES

OSSIAM: Behavioral Finance: from Theory to Practice, April 2013, Paris

CCR Asset Management: Investor Sentiment: Measure and Impact on Stock Prices,
June 2012

CCR Asset Management: Overconfidence, Risk Perception and Risk Taking: The
Case of Finance Professionals (with Marie-Hélène Broihanne and Maxime Merli),
July 2011.
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 CIGOGNE Management S.A: Development of a Valuation Model for the Gap Option
of Protected Notes Managed by CPPI Methods and Indexed on a Portfolio of Hedge
Funds, 2007-2008
 JP Morgan Private Bank: Behavioural Finance and Individual Investors, Conference
for individual clients, September 2006.
 Crédit Foncier de Monaco: Behavioural Finance, Conference for institutional and
individual clients, March 2006.
 JP Morgan Asset Management: Behavioural Finance and Portfolio Choice,
Conference for institutional and individual clients, January 2006.

CIC (CIAL) (with Michel Dietsch): Development of a Specialized VaR model for
Risk Arbitrage Activities, 2001-2002

CIC (CIAL): Valuation of Treasury Inflation Protected Securities 1998-1999.

CIC (CIAL) (with Maxime Merli): Default Risk and Valuation of Corporate Bonds
1996-1998

CIC (CIAL) (with André Schmitt): Valuation of Convertible Bonds 1993-1995

Strasbourg Place Financière (with Michel Dietsch): Analysis of the opportunities to
improve the financial activities of banks in the Alsace region 1991-1992

Paris Options Market (MONEP) : Training of traders before the launch of the market 1986-1987
Ph.D ADVISOR for:
André SCHMITT: Les Obligations Convertibles: Motivation, Evaluation, Gestion
(October 1996).
- EXANE Prize, 1997.
- Associate Prof., University of Lille II up to 2002 and then University of Strasbourg.
Sandrine SPAETER: Le Rôle de la Fonction de Coûts de l’Assureur et du Comportement
de Prudence de l’Assuré : Une Etude Théorique des Contrats d’Assurance Optimaux
(December 1996).
- ADRERUS Prize, 1997
- Ernst Meyer Prize for the best European Ph.D in Insurance, 1998.
- Associate Professor Louis Pasteur University -Strasbourg (October 1998-August 2006).
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- Prof. of Economics. University of Nancy (2006-2010) and University of Strasbourg
(2010- present)
Caroline MARIE-JEANNE: Le Paiement du Dividende en Actions (April 1998).
Associate Professor, University of Metz, (1998-Present)
Maxime MERLI: Risque de Défaut et Notation des Emprunts Obligataires (December
1998).
Associate Prof. University of Franche-Comté (1998-2002),
Prof. of Finance, University of Franche-Comté (2002-2005), University of Strasbourg
(2005-Present).
Alkis TSIMARATOS : (CIFRE PhD, contract with AXA-Ré): Optimisation du
portefeuille de chiffre d'affaires d'une société d'assurance non-vie sur le marché de la
réassurance et des grands risques (June 2002), Risk manager, AXA Ré and then
Executive Director, Willis, London.
Laurent DEVILLE: Coûts de transaction et efficience des marchés d'options: Tests
empiriques sur le marché français (December 2002).
AFFI-Euronext Prize, 2002
Researcher, CNRS, University Paris IX Dauphine, DRM (2003-2009) and University of
Nice, GREDEG, (2009-Present)
Marie-Hélène BROIHANNE: Comportements stratégiques et formation des prix sur les
marchés financiers (December 2002).
- Best Paper Award for a paper published in Finance in 2004 (chapter 4 of the thesis).
- Nominee for the AFFI-EURONEXT PhD Prize, 2002
Associate Professor, University of Strasbourg, (October 2003- August 2007)
Prof. of Finance, University of Strasbourg, (September 2007-Present)
Marie PFIFFELMANN: Comptes d’épargne et actifs à lots: une approche
comportementale, (December 2007).
- Grand Prize of the National Center of Financial Professions for her Master Thesis,
2005.
- PhD Prize of the Society of the Academy of Strasbourg, 2008.
- Nominee for the AFFI-EURONEXT PhD Prize, 2007
Associate Professor, EM Strasbourg Business School, (2008- Present)
Olga BOURACHNIKOVA: Théorie comportementale du portefeuille : une analyse
critique (February 2009)
Assistant Professor, Rennes Business School (2008-2010),
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Associate Professor, EM Strasbourg Business School (2010-Present)
Damien EGARIUS: Banques mutualistes: gouvernance et comportement des sociétaires,
expected 2014
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Grant from the Association « Strasbourg Place Financière », June 2013
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