6
H index
5
i10 index
139
Citations
Philippe BERTRAND : Citation Profile
Université d'Aix-Marseille AMU (50% share) | RESEARCH PRODUCTION: 14 Articles 42 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
29 years (1990 - 2019). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Philippe BERTRAND. | Is cited by:
| Cites to:
|
Main data
Where Philippe BERTRAND has published?
| Journals with more than one article published | # docs |
|---|---|
| Annals of Operations Research | 2 |
| Finance | 2 |
| Journal of Banking & Finance | 2 |
| Bankers, Markets & Investors | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 37 |
Recent works citing Philippe BERTRAND (2019 and 2018)
| Year | Title of citing document |
|---|---|
| 2018 | Incremental Sharpe and other performance ratios. (2018). Guez, Beatrice ; Benhamou, Eric. In: Papers. RePEc:arx:papers:1807.09864. Full description at Econpapers || Download paper |
| 2019 | Options on CPPI with guaranteed minimum equity exposure. (2019). Oliva, I ; di Persio, L. In: Papers. RePEc:arx:papers:1902.06505. Full description at Econpapers || Download paper |
| 2019 | Omega and Sharpe ratio. (2019). Guez, Beatrice ; Benhamou, Eric. In: Papers. RePEc:arx:papers:1911.10254. Full description at Econpapers || Download paper |
| 2018 | A theoretic analysis of key person insurance. (2018). NIE, Pu-yan ; Chen, You-Hua ; Wang, Chan. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:272-278. Full description at Econpapers || Download paper |
| 2018 | Risk management of time varying floors for dynamic portfolio insurance. (2018). Prigent, Jean-Luc ; Prigent, J.-L., ; ben Ameur, H. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:363-381. Full description at Econpapers || Download paper |
| 2019 | Optimal strategies under Omega ratio. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767. Full description at Econpapers || Download paper |
| 2018 | “On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33. Full description at Econpapers || Download paper |
| 2019 | Evaluating the Shariah-compliance of equity portfolios: The weighting method matters. (2019). Raza, Muhammad Wajid ; Boudt, Kris ; Wauters, Marjan. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:406-417. Full description at Econpapers || Download paper |
| 2018 | Risk-adjusted performance of portfolio insurance and investors’ preferences. (2018). Tawil, Dima. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:10-18. Full description at Econpapers || Download paper |
| 2019 | Dynamic hybrid products with guarantees—An optimal portfolio framework. (2019). Hambardzumyan, Hayk ; Korn, Ralf. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:54-66. Full description at Econpapers || Download paper |
| 2019 | Risk aversion, prudence and temperance: An experiment in gain and loss. (2019). Jacob, Julien ; Brunette, Marielle. In: Research in Economics. RePEc:eee:reecon:v:73:y:2019:i:2:p:174-189. Full description at Econpapers || Download paper |
| 2019 | Does the application of smart beta strategies enhance portfolio performance? The case of Islamic equity investments. (2019). Ashraf, Dawood ; Raza, Muhammad Wajid . In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:46-61. Full description at Econpapers || Download paper |
| 2018 | Risk Aversion, Loss Aversion, and the Demand for Insurance. (2018). Eeckhoudt, Louis ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Fiori, Anna Maria. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:60-:d:149051. Full description at Econpapers || Download paper |
| 2019 | Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification. (2019). Jain, Shashi. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:74-:d:245327. Full description at Econpapers || Download paper |
| 2019 | The Inclusion of Socially Irresponsible Companies in Sustainable Stock Indices. (2019). Arribas, Ivan ; Morales-Bauelos, Paula Beatriz ; Garcia, Fernando ; Espinos-Vao, Maria Dolores. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:7:p:2047-:d:220514. Full description at Econpapers || Download paper |
| 2018 | Incremental Sharpe and other performance ratios. (2018). Guez, Beatrice ; Benhamou, Eric. In: Post-Print. RePEc:hal:journl:hal-02012443. Full description at Econpapers || Download paper |
| 2019 | Risk aversion, prudence and temperance: an experiment in gain and loss. (2019). brunette, marielle ; Jacob, Julien. In: Post-Print. RePEc:hal:journl:hal-02114762. Full description at Econpapers || Download paper |
| 2019 | Investors’ Perspective on Portfolio InsuranceExpected Utility vs Prospect Theories. (2019). Gaspar, Raquel ; Silva, Paulo M. In: Working Papers REM. RePEc:ise:remwps:wp0922019. Full description at Econpapers || Download paper |
| 2019 | On Path–dependency ofConstant Proportion Portfolio Insurance strategies. (2019). Gaspar, Raquel ; Sousa, Joo Beleza ; Carvalho, Joo. In: Working Papers REM. RePEc:ise:remwps:wp0942019. Full description at Econpapers || Download paper |
| 2019 | Active Investment Strategies under Tracking Error Constraints. (2019). Vuuren, Gary ; Maxwell, Michael. In: International Advances in Economic Research. RePEc:kap:iaecre:v:25:y:2019:i:3:d:10.1007_s11294-019-09746-3. Full description at Econpapers || Download paper |
| 2019 | Farinelli and Tibiletti ratio and stochastic dominance. (2019). Wong, Wing-Keung ; Niu, Cuizhen ; Guo, XU. In: Risk Management. RePEc:pal:risman:v:21:y:2019:i:3:d:10.1057_s41283-019-00050-2. Full description at Econpapers || Download paper |
| 2018 | Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading. (2018). Temocin, Busra Zeynep ; Selcuk-Kestel, Sevtap A ; Korn, Ralf. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-017-2638-5. Full description at Econpapers || Download paper |
| 2018 | Dynamic portfolio insurance strategies: risk management under Johnson distributions. (2018). Naguez, Naceur . In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2121-8. Full description at Econpapers || Download paper |
| 2018 | On the robustness of portfolio allocation under copula misspecification. (2018). Prigent, Jean-Luc ; ben Saida, Abdallah. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2137-0. Full description at Econpapers || Download paper |
| 2018 | Constant proportion portfolio insurance in defined contribution pension plan management. (2018). Temocin, Busra Zeynep ; Selcuk-Kestel, Sevtap A ; Korn, Ralf. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2449-8. Full description at Econpapers || Download paper |
| 2020 | An optimization–diversification approach to portfolio selection. (2020). Tardella, Fabio ; Scozzari, Andrea ; Cesarone, Francesco. In: Journal of Global Optimization. RePEc:spr:jglopt:v:76:y:2020:i:2:d:10.1007_s10898-019-00809-7. Full description at Econpapers || Download paper |
| 2018 | Incremental Sharpe and other performance ratios. (2018). Benhamou, Eric ; Guez, Beatrice. In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:7:y:2018:i:4:f:7_4_2. Full description at Econpapers || Download paper |
| 2018 | Optimizing tracking error-constrained portfolios. (2018). van Vuuren, Gary ; Thomson, Daniel ; Daly, Michael ; Maxwell, Michael. In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:54:p:5846-5858. Full description at Econpapers || Download paper |
Works by Philippe BERTRAND:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2013 | Theory of Performance Participation Strategies In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies In: Finance. [Full Text][Citation analysis] | article | 0 |
| 2013 | Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies..(2013) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2015 | On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) In: Finance. [Full Text][Citation analysis] | article | 0 |
| 2015 | On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)..(2015) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2014 | On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds).(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2005 | Lattribution de performance en gestion de portefeuille In: Revue française de gestion. [Full Text][Citation analysis] | article | 0 |
| 2005 | Lattribution de performance en gestion de portefeuille..(2005) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2016 | Equilibrium of financial derivative markets under portfolio insurance constraints In: Economic Modelling. [Full Text][Citation analysis] | article | 2 |
| 2016 | Equilibrium of financial derivative markets under portfolio insurance constraints.(2016) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2019 | On the optimality of path-dependent structured funds: The cost of standardization In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 0 |
| 2019 | On the optimality of path-dependent structured funds: The cost of standardization.(2019) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2015 | How performance of risk-based strategies is modified by socially responsible investment universe? In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 9 |
| 2015 | How 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: 9 | paper | |
| 2019 | Option-Based performance participation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Option-Based performance participation.(2019) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2011 | Omega performance measure and portfolio insurance In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 38 |
| 2011 | Omega performance measure and portfolio insurance.(2011) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
| 2000 | Portfolio Insurance : The extreme Value of the CCPI Method In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 20 |
| 2000 | Gestion de portefeuille avec garantie: lallocation optimale en actifs derives. In: G.R.E.Q.A.M.. [Citation analysis] | paper | 11 |
| 1990 | EVALUATION DES TITRES HYPOTHECAIRES. In: G.R.E.Q.A.M.. [Citation analysis] | paper | 0 |
| 2014 | Raising Companies Profile with Corporate Social Performance: Variation in Investor recognition and Liquidity Linked to Vigeo CSP Rating Disclosures In: Post-Print. [Citation analysis] | paper | 0 |
| 2018 | Risk-based strategies: the social responsibility of investment universes does matter In: Post-Print. [Citation analysis] | paper | 2 |
| 2018 | Risk-based strategies: the social responsibility of investment universes does matter..(2018) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2018 | Risk-based strategies: the social responsibility of investment universes does matter.(2018) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2014 | Raising Companies’ Profile with Corporate Social Performance: Variation in Investor Recognition and Liquidity Linked to Vigeo CSP Rating Disclosure. In: Post-Print. [Citation analysis] | paper | 0 |
| 2005 | A Transactional Analysis of Chinese Partners Performance in International Joint Ventures. In: Post-Print. [Citation analysis] | paper | 1 |
| 2005 | A Transactional Analysis of Chinese Partners Performance in International Joint Ventures.(2005) In: Chinese Economy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2005 | A note on portfolio performance attribution: Taking risk into account. In: Post-Print. [Citation analysis] | paper | 1 |
| 2010 | A Note on Risk Aversion, Prudence and Portfolio Insurance In: Post-Print. [Citation analysis] | paper | 4 |
| 2010 | A Note on Risk Aversion, Prudence and Portfolio Insurance.(2010) In: The Geneva Risk and Insurance Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2010 | Another Look at Portfolio Optimization under Tracking-Error Constraints. In: Post-Print. [Citation analysis] | paper | 1 |
| 2011 | Omega performance measure and portfolio insurance In: Post-Print. [Citation analysis] | paper | 5 |
| 2016 | Equilibrium of financial derivative markets under portfolio insurance constraints. In: Post-Print. [Citation analysis] | paper | 1 |
| 2003 | EVALUATION OF FINANCIAL STRUCTURED PRODUCTS: AN APPLICATION OF THE EXTREME VALUE THEORY. In: Post-Print. [Citation analysis] | paper | 0 |
| 1993 | Obligation à réinvestissement optionnel du coupon : prix à lémission et évaluation de la position en chaque instant. In: Post-Print. [Citation analysis] | paper | 0 |
| 2006 | Performance des partenaires locaux dans les coentreprises internationales en Asie: Valorisation boursière et application de la théorie des coûts de transaction In: Post-Print. [Citation analysis] | paper | 0 |
| 2005 | Portfolio Insurance Strategies: OBPI versus CPPI. In: Post-Print. [Citation analysis] | paper | 22 |
| 2009 | Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints In: Post-Print. [Citation analysis] | paper | 4 |
| 2015 | French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing In: Post-Print. [Citation analysis] | paper | 0 |
| 2015 | French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing.(2015) In: Bankers, Markets & Investors. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2010 | Another Look at Portfolio Optimization under Tracking-Error Constraints In: Post-Print. [Citation analysis] | paper | 2 |
| 2014 | Variations in Liquidity and the Size of Investor Base Associated with Corporate Social Performance Ratings In: Post-Print. [Citation analysis] | paper | 0 |
| 2012 | Régime de retraite complémentaire Préfon : les fonctionnaires ont-ils vraiment intérêt à cotiser ? In: Post-Print. [Citation analysis] | paper | 0 |
| 2010 | The Statistics of The Information Ratio In: Post-Print. [Citation analysis] | paper | 0 |
| 2008 | Risk Attribution and Portfolio Optimizations Under Tracking-Error Constraints In: Post-Print. [Citation analysis] | paper | 0 |
| 2008 | The Sensitivity of the Asymptotic Variance of Performance Measures with Respect to Skewness and Kurtosis In: Post-Print. [Citation analysis] | paper | 1 |
| 2005 | A Note on Portfolio Performance Attribution: Taking Risk into Account In: Post-Print. [Citation analysis] | paper | 2 |
| 2003 | Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic In: Post-Print. [Citation analysis] | paper | 10 |
| 2002 | Portfolio Insurance: The Extreme Value Theory of the Cppi Method In: Post-Print. [Citation analysis] | paper | 1 |
| 2001 | Portfolio Insurance: The Extreme Value Theory of the Cppi Method.(2001) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2000 | Optimisation de portefeuille sous contrainte de variance de la tracking-error In: Post-Print. [Citation analysis] | paper | 1 |
| 2018 | Mixed-asset portfolio allocation under mean-reverting asset returns In: Post-Print. [Citation analysis] | paper | 0 |
| 2019 | Mixed-asset portfolio allocation under mean-reverting asset returns.(2019) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2018 | Residential Real Estate in a Mixed-Asset Portfolio In: Post-Print. [Citation analysis] | paper | 0 |
| 2014 | Raising Companies’ Profile with Corporate Social Performance In: Bankers, Markets & Investors. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated May, 3 2020. Contact: CitEc Team