7
H index
6
i10 index
182
Citations
Philippe BERTRAND : Citation Profile
Université d'Aix-Marseille AMU (50% share) | RESEARCH PRODUCTION: 17 Articles 43 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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32 years (1990 - 2022). 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 |
|---|---|
| Finance | 3 |
| Journal of Asset Management | 2 |
| Bankers, Markets & Investors | 2 |
| Journal of Banking & Finance | 2 |
| Annals of Operations Research | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 38 |
Recent works citing Philippe BERTRAND (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 2021 | Portfolio insurance under rough volatility and Volterra processes. (2021). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021026. Full description at Econpapers || Download paper |
| 2022 | Reconciling 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. Full description at Econpapers || Download paper |
| 2022 | On 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. Full description at Econpapers || Download paper |
| 2022 | The 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. Full description at Econpapers || Download paper |
| 2021 | The 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. Full description at Econpapers || Download paper |
| 2022 | Transparent 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. Full description at Econpapers || Download paper |
| 2022 | Machine 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. Full description at Econpapers || Download paper |
| 2021 | Comparing 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. Full description at Econpapers || Download paper |
| 2022 | Modeling Momentum and Reversals. (2022). Pozharny, Jacob ; Stein, Harvey J. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:10:p:190-:d:931809. Full description at Econpapers || Download paper |
| 2021 | Computation of the marginal contribution of Sharpe ratio and other performance ratios. (2021). Guez, Beatrice ; Benhamou, Eric. In: Working Papers. RePEc:hal:wpaper:hal-03189299. Full description at Econpapers || Download paper |
| 2021 | Investor 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. Full description at Econpapers || Download paper |
| 2022 | Statistical 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. Full description at Econpapers || Download paper |
| 2022 | Incorporating 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. Full description at Econpapers || Download paper |
| 2022 | Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach. (2022). Racicot, François-Ãric ; Theoret, Raymond. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00316-3. 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 | |
| 2022 | Performance Participation Strategies: OBPP versus CPPP In: Finance. [Full Text][Citation analysis] | article | 0 |
| 2022 | Performance Participation Strategies: OBPP versus CPPP.(2022) In: Post-Print. [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 | 2 |
| 2019 | On the optimality of path-dependent structured funds: The cost of standardization.(2019) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | 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 | 14 |
| 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: 14 | 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 | 47 |
| 2011 | Omega performance measure and portfolio insurance.(2011) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
| 2000 | Portfolio Insurance : The extreme Value of the CCPI Method In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 15 |
| 2000 | Gestion de portefeuille avec garantie: lallocation optimale en actifs derives. In: G.R.E.Q.A.M.. [Citation analysis] | paper | 10 |
| 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 | 5 |
| 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: 5 | 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: 5 | 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 | |
| 2010 | A Note on Risk Aversion, Prudence and Portfolio Insurance In: Post-Print. [Citation analysis] | paper | 8 |
| 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: 8 | article | |
| 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 | 32 |
| 2009 | Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints In: Post-Print. [Citation analysis] | paper | 6 |
| 2009 | Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints.(2009) In: Journal of Asset Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 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 | 6 |
| 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 | 4 |
| 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 | 3 |
| 2005 | A note on portfolio performance attribution: Taking risk into account.(2005) In: Journal of Asset Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2003 | Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic In: Post-Print. [Citation analysis] | paper | 20 |
| 2002 | Portfolio Insurance: The Extreme Value Theory of the Cppi Method In: Post-Print. [Citation analysis] | paper | 2 |
| 2001 | Portfolio Insurance: The Extreme Value Theory of the Cppi Method.(2001) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 2 | 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 | 2 |
| 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: 2 | article | |
| 2018 | Residential Real Estate in a Mixed-Asset Portfolio In: Post-Print. [Citation analysis] | paper | 0 |
| 2021 | The size effect and default risk: Evidence from the Vietnamese stock market In: Post-Print. [Citation analysis] | paper | 0 |
| 2022 | Black-scholes approximation of warrant prices: slight return in a low interest rate environment In: Post-Print. [Citation analysis] | paper | 0 |
| 2022 | Black-Scholes Approximation of Warrant Prices: Slight Return in a Low Interest Rate Environment.(2022) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2022 | Performance Participation Strategies: OBPP versus CPPP In: Post-Print. [Citation analysis] | paper | 0 |
| 2022 | Overreaction and momentum in the Vietnamese stock market 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 November, 1st 2022. Contact: CitEc Team