Isabelle G. Bajeux-Besnainou
Doctorate, Mathematics Applied to Finance, Université Paris-Dauphine, France, 1989
M.Sc., Université Paris-Dauphine, France, 1986
Alumna, École Normale Supérieure de Paris, Mathematics
Professor Isabelle Bajeux-Besnainou is Dean of the Desautels Faculty of Management at McGill University as of September 2015. Since joining Desautels, she has implemented a new strategic plan to guide recent and forthcoming initiatives, such as the launch of a Masters of Management in Finance (MMF) program, a new MBA concentration in Business Analytics, and a series of interdisciplinary minors in Entrepreneurship for undergraduate students.
Prior to joining Desautels, Professor Bajeux-Besnainou spent 21 years at George Washington University School of Business working as a Professor of Finance and in administrative capacities, such as Associate Dean of Undergraduate Programs for three years and the Chair of the Finance Department. As a firm believer in the value of interdisciplinary studies, she developed a new Bachelor of Science degree program and redesigned the Bachelor of Business Administration curriculum to respectively mandate the selection of a double major and a minor outside of the Business School.
Born and raised in Paris, France, Professor Bajeux-Besnainou is an alumna of the École Normale Supérieure in Mathematics and earned a doctorate in Mathematics Applied to Finance in 1989 from Université Paris-Dauphine. As a Professor of Finance, she has taught extensively at several universities, including Essec Business School in France from 1989-1993.
Her research interests relate to asset pricing, portfolio management, and credit risk, among other topics. Her work has been published in academic journals, such as: Management Science, Mathematical Finance, Journal of Economic Dynamics and Control, American Economic Review, and Journal of Business.
George Washington University
Université de Montréal
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.”
- New Desautels Dean: Gender Is Irrelevant, Poets & Quants (October 4, 2016)
- The Female Deans’ Perspective, QS TopMBA (October 3, 2016)
- Change-Oriented Dean, The Chronicle of Higher Education (April 17, 2016)
- De Washington à Montréal, The McGill Reporter (March 16, 2016)
- Meet the dean: Isabelle Bajeux-Besnainou of Desautels, Financial Times (January 22, 2016)
- School diversity is an asset, Financial Times (January 22, 2016)
- Women in Business — Isabelle Bajeux-Besnainou, Financial Times (September 6, 2015)
- Une Française devient la première doyenne de la faculté de gestion de l’Université McGill, Le Figaro (July 16, 2015)
- First female dean appointed at McGill University’s Desautels Faculty of Management, EducationDIVE (July 17, 2015)