5
H index
4
i10 index
110
Citations
Philippe BERTRAND : Citation Profile
Université d'Aix-Marseille AMU (50% share) | RESEARCH PRODUCTION: 10 Articles 40 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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28 years (1990 - 2018). 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:
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Main data
Where Philippe BERTRAND has published?
| Journals with more than one article published | # docs |
|---|---|
| Bankers, Markets & Investors | 2 |
| Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 35 |
Recent works citing Philippe BERTRAND (2018 and 2017)
| Year | Title of citing document |
|---|---|
| 2018 | Incremental Sharpe and other performance ratios. (2018). Benhamou, Eric ; Guez, Beatrice. In: Papers. RePEc:arx:papers:1807.09864. Full description at Econpapers || Download paper |
| 2018 | A theoretic analysis of key person insurance. (2018). NIE, Pu-yan ; Wang, Chan ; Chen, You-Hua. 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 |
| 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 |
| 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 |
| 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 |
| 2017 | The impact of covariance misspecification in risk-based portfolios. (2017). Ardia, David ; Gagnon-Fleury, Jean-Philippe ; Boudt, Kris ; Bolliger, Guido. In: Annals of Operations Research. RePEc:spr:annopr:v:254:y:2017:i:1:d:10.1007_s10479-017-2474-7. 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 |
| 2017 | Equal Risk Bounding is better than Risk Parity for portfolio selection. (2017). Cesarone, Francesco ; Tardella, Fabio . In: Journal of Global Optimization. RePEc:spr:jglopt:v:68:y:2017:i:2:d:10.1007_s10898-016-0477-6. 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 |
| 2017 | Measuring the under-diversification of socially responsible investments. (2017). Pizzutilo, Fabio. In: Applied Economics Letters. RePEc:taf:apeclt:v:24:y:2017:i:14:p:1005-1018. Full description at Econpapers || Download paper |
| 2017 | A bootstrap-based comparison of portfolio insurance strategies. (2017). Dichtl, Hubert ; Wambach, Martin ; Drobetz, Wolfgang. In: The European Journal of Finance. RePEc:taf:eurjfi:v:23:y:2017:i:1:p:31-59. Full description at Econpapers || Download paper |
| 2017 | Optimal portfolio positioning within generalized Johnson distributions. (2017). Prigent, Jean-Luc ; Naguez, N. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:7:p:1037-1055. Full description at Econpapers || Download paper |
| 2017 | Dynamic mean variance asset allocation: Tests for robustness. (2017). Forsyth, Peter A ; Vetzal, Kenneth R. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500219. Full description at Econpapers || Download paper |
| 2017 | ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING. (2017). Forsyth, P A ; Vetzal, K R. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:03:n:s0219024917500170. 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 | |
| 2016 | Equilibrium of financial derivative markets under portfolio insurance constraints In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
| 2016 | Equilibrium of financial derivative markets under portfolio insurance constraints..(2016) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2016 | Equilibrium of financial derivative markets under portfolio insurance constraints.(2016) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | 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 | 5 |
| 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: 5 | paper | |
| 2011 | Omega performance measure and portfolio insurance In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 34 |
| 2011 | Omega performance measure and portfolio insurance.(2011) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
| 2011 | Omega performance measure and portfolio insurance.(2011) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 34 | 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 |
| 2014 | Raising Companies’ Profile with Corporate Social Performance: Variation in Investor Recognition and Liquidity Linked to Vigeo CSP Rating Disclosure..(2014) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Risk-based strategies: the social responsibility of investment universes does matter In: Post-Print. [Citation analysis] | paper | 1 |
| 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: 1 | 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: 1 | article | |
| 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 | 0 |
| 2005 | A Note on Portfolio Performance Attribution: Taking Risk into Account.(2005) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2010 | A Note on Risk Aversion, Prudence and Portfolio Insurance In: Post-Print. [Citation analysis] | paper | 2 |
| 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: 2 | article | |
| 2010 | Another Look at Portfolio Optimization under Tracking-Error Constraints. In: Post-Print. [Citation analysis] | paper | 1 |
| 2010 | Another Look at Portfolio Optimization under Tracking-Error Constraints.(2010) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2003 | EVALUATION OF FINANCIAL STRUCTURED PRODUCTS: AN APPLICATION OF THE EXTREME VALUE THEORY. In: Post-Print. [Citation analysis] | paper | 0 |
| 2005 | Lattribution de performance en gestion de portefeuille. 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 | 20 |
| 2009 | Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints In: Post-Print. [Citation analysis] | paper | 2 |
| 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 | |
| 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 |
| 2003 | Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic In: Post-Print. [Citation analysis] | paper | 9 |
| 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 | 0 |
| 2018 | Mixed-asset portfolio allocation under mean-reverting asset returns In: Post-Print. [Citation analysis] | paper | 0 |
| 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 |
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