Philippe BERTRAND : Citation Profile


Are you Philippe BERTRAND?

Université d'Aix-Marseille AMU (50% share)
Aix-Marseille Université (50% share)

7

H index

6

i10 index

182

Citations

RESEARCH PRODUCTION:

17

Articles

43

Papers

RESEARCH ACTIVITY:

   32 years (1990 - 2022). See details.
   Cites by year: 5
   Journals where Philippe BERTRAND has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 9 (4.71 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbe944
   Updated: 2022-11-19    RAS profile: 2022-09-24    
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Relations with other researchers


Works with:

Prigent, Jean-Luc (8)

Lapointe, Vincent (3)

Barthélémy, Fabrice (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Philippe BERTRAND.

Is cited by:

Prigent, Jean-Luc (34)

Gaspar, Raquel (9)

HENTATI KAFFEL, Rania (8)

Benhamou, Eric (8)

Attaoui, Sami (8)

Maillet, Bertrand (5)

ben ameur, hachmi (5)

MKAOUAR, Farid (4)

Yin, Libo (3)

GILLET, Roland (2)

Nagot, Isabelle (2)

Cites to:

Prigent, Jean-Luc (23)

Brennan, Michael (4)

Grossman, Sanford (4)

Dybvig, Philip (4)

Dybvig, Phillip (4)

Gollier, Christian (4)

CAPELLE-BLANCARD, Gunther (3)

Fama, Eugene (3)

Wakker, Peter (3)

Lindset, Snorre (3)

Kahneman, Daniel (3)

Main data


Where Philippe BERTRAND has published?


Journals with more than one article published# docs
Finance3
Journal of Asset Management2
Bankers, Markets & Investors2
Journal of Banking & Finance2
Annals of Operations Research2

Working Papers Series with more than one paper published# docs
Post-Print / HAL38

Recent works citing Philippe BERTRAND (2022 and 2021)


YearTitle of citing document
2021Portfolio insurance under rough volatility and Volterra processes. (2021). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021026.

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2022Reconciling TEV and VaR in Active Portfolio Management: A New Frontier. (2022). Riccetti, Luca ; Palomba, Giulio ; Nicolau, Mihaela ; Lucchetti, Riccardo (Jack). In: Working Papers. RePEc:anc:wpaper:461.

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2022On the Effectiveness of Stock Index Futures for Tail Risk Protection. (2022). Zouari, Hammadi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-03-5.

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2022The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis. (2022). Lopez, Raquel ; Esparcia, Carlos ; Diaz, Antonio. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:39-60.

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2021The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors. (2021). Forsyth, Peter A ; Dang, Duy-Minh ; van Staden, Pieter M. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:2:p:774-792.

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2022Transparent structured products for retail investors. (2022). Aspara, Jaakko ; Hardoroudi, Nasim Dehghan ; Halme, Merja ; Kallio, Markku. In: European Journal of Operational Research. RePEc:eee:ejores:v:302:y:2022:i:2:p:752-767.

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2022Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market. (2022). Rubesam, Alexandre. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pb:s1566014122000085.

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2021Comparing the performance and composition of tracking error constrained and unconstrained portfolios. (2021). van Vuuren, Gary W ; du Sart, Colin F. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:276-287.

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2022Modeling Momentum and Reversals. (2022). Pozharny, Jacob ; Stein, Harvey J. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:10:p:190-:d:931809.

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2021Computation of the marginal contribution of Sharpe ratio and other performance ratios. (2021). Guez, Beatrice ; Benhamou, Eric. In: Working Papers. RePEc:hal:wpaper:hal-03189299.

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2021Investor behavior and weather factors: evidences from Asian region. (2021). Kathiravan, Chinnadurai ; Venkateswar, Sankaran ; Selvam, Murugesan ; Balakrishnan, S. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03335-7.

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2022Statistical arbitrage in jump-diffusion models with compound Poisson processes. (2022). Sensoy, Ahmet ; Goncu, Ahmet ; Fabozzi, Frank J ; Akyildirim, Erdinc. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-03965-w.

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2022Incorporating environmental and social considerations into the portfolio optimization process. (2022). Tsihrintzis, G ; Metaxiotis, K ; Liagkouras, K. In: Annals of Operations Research. RePEc:spr:annopr:v:316:y:2022:i:2:d:10.1007_s10479-020-03554-3.

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2022Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach. (2022). Racicot, François-Éric ; Theoret, Raymond. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00316-3.

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Works by Philippe BERTRAND:


YearTitleTypeCited
2013Theory of Performance Participation Strategies In: Papers.
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paper1
2013Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies In: Finance.
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article0
2013Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies..(2013) In: Post-Print.
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This paper has another version. Agregated cites: 0
paper
2015On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) In: Finance.
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article0
2015On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)..(2015) In: Post-Print.
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This paper has another version. Agregated cites: 0
paper
2014On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds).(2014) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2022Performance Participation Strategies: OBPP versus CPPP In: Finance.
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article0
2022Performance Participation Strategies: OBPP versus CPPP.(2022) In: Post-Print.
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This paper has another version. Agregated cites: 0
paper
2005Lattribution de performance en gestion de portefeuille In: Revue française de gestion.
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article0
2005Lattribution de performance en gestion de portefeuille..(2005) In: Post-Print.
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This paper has another version. Agregated cites: 0
paper
2016Equilibrium of financial derivative markets under portfolio insurance constraints In: Economic Modelling.
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article2
2016Equilibrium of financial derivative markets under portfolio insurance constraints.(2016) In: Post-Print.
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This paper has another version. Agregated cites: 2
paper
2019On the optimality of path-dependent structured funds: The cost of standardization In: European Journal of Operational Research.
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article2
2019On the optimality of path-dependent structured funds: The cost of standardization.(2019) In: Post-Print.
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This paper has another version. Agregated cites: 2
paper
2015How performance of risk-based strategies is modified by socially responsible investment universe? In: International Review of Financial Analysis.
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article14
2015How performance of risk-based strategies is modified by socially responsible investment universe?.(2015) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 14
paper
2019Option-Based performance participation In: Journal of Banking & Finance.
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article0
2019Option-Based performance participation.(2019) In: Post-Print.
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This paper has another version. Agregated cites: 0
paper
2011Omega performance measure and portfolio insurance In: Journal of Banking & Finance.
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article47
2011Omega performance measure and portfolio insurance.(2011) In: Post-Print.
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This paper has another version. Agregated cites: 47
paper
2000Portfolio Insurance : The extreme Value of the CCPI Method In: THEMA Working Papers.
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paper15
2000Gestion de portefeuille avec garantie: lallocation optimale en actifs derives. In: G.R.E.Q.A.M..
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paper10
1990EVALUATION DES TITRES HYPOTHECAIRES. In: G.R.E.Q.A.M..
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paper0
2014Raising Companies Profile with Corporate Social Performance: Variation in Investor recognition and Liquidity Linked to Vigeo CSP Rating Disclosures In: Post-Print.
[Citation analysis]
paper0
2018Risk-based strategies: the social responsibility of investment universes does matter In: Post-Print.
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paper5
2018Risk-based strategies: the social responsibility of investment universes does matter..(2018) In: Post-Print.
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This paper has another version. Agregated cites: 5
paper
2018Risk-based strategies: the social responsibility of investment universes does matter.(2018) In: Annals of Operations Research.
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This paper has another version. Agregated cites: 5
article
2005A Transactional Analysis of Chinese Partners Performance in International Joint Ventures. In: Post-Print.
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paper1
2005A Transactional Analysis of Chinese Partners Performance in International Joint Ventures.(2005) In: Chinese Economy.
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This paper has another version. Agregated cites: 1
article
2010A Note on Risk Aversion, Prudence and Portfolio Insurance In: Post-Print.
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paper8
2010A Note on Risk Aversion, Prudence and Portfolio Insurance.(2010) In: The Geneva Risk and Insurance Review.
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This paper has another version. Agregated cites: 8
article
2003EVALUATION OF FINANCIAL STRUCTURED PRODUCTS: AN APPLICATION OF THE EXTREME VALUE THEORY. In: Post-Print.
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paper0
1993Obligation à réinvestissement optionnel du coupon : prix à lémission et évaluation de la position en chaque instant. In: Post-Print.
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paper0
2006Performance des partenaires locaux dans les coentreprises internationales en Asie: Valorisation boursière et application de la théorie des coûts de transaction In: Post-Print.
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paper0
2005Portfolio Insurance Strategies: OBPI versus CPPI. In: Post-Print.
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paper32
2009Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints In: Post-Print.
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paper6
2009Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints.(2009) In: Journal of Asset Management.
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This paper has another version. Agregated cites: 6
article
2015French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing In: Post-Print.
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paper0
2015French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing.(2015) In: Bankers, Markets & Investors.
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This paper has another version. Agregated cites: 0
article
2010Another Look at Portfolio Optimization under Tracking-Error Constraints In: Post-Print.
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paper6
2014Variations in Liquidity and the Size of Investor Base Associated with Corporate Social Performance Ratings In: Post-Print.
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paper0
2012Régime de retraite complémentaire Préfon : les fonctionnaires ont-ils vraiment intérêt à cotiser ? In: Post-Print.
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paper0
2010The Statistics of The Information Ratio In: Post-Print.
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paper0
2008Risk Attribution and Portfolio Optimizations Under Tracking-Error Constraints In: Post-Print.
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paper4
2008The Sensitivity of the Asymptotic Variance of Performance Measures with Respect to Skewness and Kurtosis In: Post-Print.
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paper1
2005A Note on Portfolio Performance Attribution: Taking Risk into Account In: Post-Print.
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paper3
2005A note on portfolio performance attribution: Taking risk into account.(2005) In: Journal of Asset Management.
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This paper has another version. Agregated cites: 3
article
2003Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic In: Post-Print.
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paper20
2002Portfolio Insurance: The Extreme Value Theory of the Cppi Method In: Post-Print.
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paper2
2001Portfolio Insurance: The Extreme Value Theory of the Cppi Method.(2001) In: Post-Print.
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This paper has another version. Agregated cites: 2
paper
2000Optimisation de portefeuille sous contrainte de variance de la tracking-error In: Post-Print.
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paper1
2018Mixed-asset portfolio allocation under mean-reverting asset returns In: Post-Print.
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paper2
2019Mixed-asset portfolio allocation under mean-reverting asset returns.(2019) In: Annals of Operations Research.
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This paper has another version. Agregated cites: 2
article
2018Residential Real Estate in a Mixed-Asset Portfolio In: Post-Print.
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paper0
2021The size effect and default risk: Evidence from the Vietnamese stock market In: Post-Print.
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paper0
2022Black-scholes approximation of warrant prices: slight return in a low interest rate environment In: Post-Print.
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paper0
2022Black-Scholes Approximation of Warrant Prices: Slight Return in a Low Interest Rate Environment.(2022) In: Post-Print.
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This paper has another version. Agregated cites: 0
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2022Performance Participation Strategies: OBPP versus CPPP In: Post-Print.
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paper0
2022Overreaction and momentum in the Vietnamese stock market In: Post-Print.
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paper0
2014Raising Companies’ Profile with Corporate Social Performance In: Bankers, Markets & Investors.
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article0

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