Jean-Luc Prigent : Citation Profile


Are you Jean-Luc Prigent?

Université de Cergy-Pontoise

9

H index

9

i10 index

305

Citations

RESEARCH PRODUCTION:

42

Articles

127

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   30 years (1992 - 2022). See details.
   Cites by year: 10
   Journals where Jean-Luc Prigent has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 44 (12.61 %)

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   Permalink: http://citec.repec.org/ppr77
   Updated: 2022-11-19    RAS profile: 2022-10-07    
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Relations with other researchers


Works with:

BERTRAND, Philippe (6)

Clark, Ephraim (6)

Barthélémy, Fabrice (3)

Aubert, Nicolas (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Luc Prigent.

Is cited by:

Gaspar, Raquel (10)

Attaoui, Sami (8)

Barthélémy, Fabrice (7)

Caporin, Massimiliano (7)

Grammig, Joachim (6)

Fernandes, Marcelo (5)

Pelsser, Antoon (4)

Jannin, Gregory (4)

Costola, Michele (4)

Baroni, Michel (4)

Maillet, Bertrand (4)

Cites to:

BERTRAND, Philippe (36)

de Palma, André (16)

Maillet, Bertrand (16)

Leland, Hayne (14)

Barthélémy, Fabrice (11)

Brennan, Michael (10)

merton, robert (10)

Grossman, Sanford (10)

Engle, Robert (9)

Picard, Nathalie (9)

Garcia, René (8)

Main data


Where Jean-Luc Prigent has published?


Journals with more than one article published# docs
Economic Modelling8
Annals of Operations Research7
Finance3
Computational Economics3
European Journal of Operational Research3
Journal of Banking & Finance2
Economic Inquiry2

Working Papers Series with more than one paper published# docs
Post-Print / HAL65
THEMA Working Papers / THEMA (THorie Economique, Modlisation et Applications), Universit de Cergy-Pontoise20
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL11
Working Papers / Department of Research, Ipag Business School9
Working Papers / HAL5
Working Papers / Center for Research in Economics and Statistics4
Documents de travail du Centre d'Economie de la Sorbonne / Universit Panthon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne2
FAME Research Paper Series / International Center for Financial Asset Management and Engineering2

Recent works citing Jean-Luc Prigent (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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2022Estimation of future discretionary benefits in traditional life insurance. (2021). Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2101.06077.

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2022The insider problem in the trinomial model: a discrete-time jump process approach. (2021). Halconruy, H'Elene. In: Papers. RePEc:arx:papers:2106.15208.

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2021A mean-field extension of the LIBOR market model. (2021). Hochgerner, Simon ; Desmettre, Sascha ; Thonhauser, Stefan ; Omerovic, Sanela . In: Papers. RePEc:arx:papers:2109.10779.

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2022Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Papers. RePEc:arx:papers:2109.13796.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2022Portfolio Construction with Gaussian Mixture Returns and Exponential Utility via Convex Optimization. (2022). Boyd, Stephen ; Luxenberg, Eric. In: Papers. RePEc:arx:papers:2205.04563.

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2021The informativeness of embedded value reporting to stock price. (2021). , Jason ; Ju, AI ; Jou, David. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:4:p:5341-5376.

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2022Assessing hail risk for property insurers with a dependent marked point process. (2022). Dickinson, Daniel ; Fung, Glenn M ; Shi, Peng. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:1:p:302-328.

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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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2022Hedge fund sales fees and the flow of funds around the world. (2022). Monteiro, Pedro ; Cumming, Douglas. In: Economic Modelling. RePEc:eee:ecmode:v:112:y:2022:i:c:s0264999322000931.

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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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2022Near-optimal asset allocation in financial markets with trading constraints. (2022). Pelsser, Antoon ; Kamma, Thijs. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:766-781.

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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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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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2022Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation. (2022). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-03327710.

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2022Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-03327710.

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2022Economic Scenario Generators: a risk management tool for insurance. (2022). Mehalla, Sophian ; Lapeyre, Bernard ; Boumezoued, Alexandre ; Arrouy, Pierre-Edouard. In: Working Papers. RePEc:hal:wpaper:hal-03671943.

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2022Economic Fundamentals, Capital Expenditures and Asset Dispositions. (2022). Ambrose, Brent ; Steiner, Eva. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:64:y:2022:i:3:d:10.1007_s11146-019-09698-9.

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2021Market Efficiency of Asian Stocks: Evidence based on Narayan-Liu-Westerlund GARCH-based Unit root test. (2021). YAYA, OLAOLUWA ; Adekoya, Oluwasegun B ; Vo, Xuan Vinh. In: MPRA Paper. RePEc:pra:mprapa:109828.

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2021Optimal risk management problem of natural resources: application to oil drilling. (2021). Goutte, Stéphane ; Kharroubi, Idris ; Gaigi, Mhamed ; Lim, Thomas. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-019-03303-1.

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2022Risk management for crude oil futures: an optimal stopping-timing approach. (2022). Zhan, Yaosong ; Liu, Zhenya ; Boubaker, Sabri. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04092-2.

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2022Long term optimal investment with regime switching: inflation, information and short sales. (2022). Zhang, Detao ; Si, Kehan ; Hakim, Akeb ; Bellalah, Mondher. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03692-8.

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2022A meta-measure of performance related to both investors and investments characteristics. (2022). Billio, Monica ; Pelizzon, Loriana ; Maillet, Bertrand. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03771-w.

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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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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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2022ARMA–GARCH model with fractional generalized hyperbolic innovations. (2022). Ik, Sung. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00349-2.

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2022A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy. (2022). Hu, Wentao ; Chen, ZE ; Shi, Yufeng. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-022-09951-4.

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2022Kurtosis-Based Risk Parity: Methodology and Portfolio Effects.. (2022). Zoia, Maria Grazia ; Nava, Consuelo R ; Braga, Maria Debora. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202208.

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2021On the computation of hedging strategies in affine GARCH models. (2021). Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:710-735.

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2021Startup cash flows and venture capital investments: A real options approach. (2021). Siyahhan, Baran ; Trabelsi, Donia. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:42:y:2021:i:3:p:737-750.

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Jean-Luc Prigent has edited the books:


YearTitleTypeCited

Works by Jean-Luc Prigent:


YearTitleTypeCited
2018OPTIMAL EMPLOYEE OWNERSHIP CONTRACTS UNDER AMBIGUITY AVERSION In: Economic Inquiry.
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2018Optimal Employee Ownership Contracts under Ambiguity Aversion.(2018) In: Post-Print.
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2018DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS In: Economic Inquiry.
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2018DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS.(2018) In: Post-Print.
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2011On the maximization of financial performance measures within mixture models In: Statistics & Risk Modeling.
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article2
2011On the maximization of financial performance measures within mixture models.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011On the maximization of financial performance measures within mixture models.(2011) In: Post-Print.
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2013Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies In: Finance.
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2013Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies..(2013) In: Post-Print.
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2015On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) In: Finance.
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2015On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)..(2015) In: Post-Print.
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2014On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds).(2014) In: Working Papers.
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2022Performance Participation Strategies: OBPP versus CPPP In: Finance.
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2022Performance Participation Strategies: OBPP versus CPPP.(2022) In: Post-Print.
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1992The private provision of public good in the case of satiation points: The case of a quasi-linear economy In: LIDAM Discussion Papers CORE.
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2000An Empirical Investigation in Credit Spread Indices In: Working Papers.
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paper5
1998Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates In: Working Papers.
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2000Convergence of discrete time option pricing models under stochastic interest rates.(2000) In: Post-Print.
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1999Convergence of discrete time option pricing models under stochastic interest rates.(1999) In: Finance and Stochastics.
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1999Option Pricing with Discrete Rebalancing In: Working Papers.
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2004Option pricing with discrete rebalancing.(2004) In: Journal of Empirical Finance.
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1999Option pricing with discrete rebalancing.(1999) In: THEMA Working Papers.
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2002Option Pricing with Discrete Rebalancing.(2002) In: FAME Research Paper Series.
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2004Option pricing with discrete rebalancing.(2004) In: Post-Print.
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1999An Autoregressive Conditional Binomial Option Pricing Model In: Working Papers.
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2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies In: Journal of Economic Dynamics and Control.
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article18
2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies.(2014) In: Post-Print.
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2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies.(2014) In: Post-Print.
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2014A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2014) In: Working Papers.
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2014A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2014) In: Working Papers.
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2013A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2013) In: LEO Working Papers / DR LEO.
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2013Optimal portfolio positioning under ambiguity In: Economic Modelling.
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2013Optimal portfolio positioning under ambiguity.(2013) In: Post-Print.
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2014On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options In: Economic Modelling.
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2014On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options.(2014) In: Post-Print.
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2016Optimal positioning in financial derivatives under mixture distributions In: Economic Modelling.
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2016Optimal positioning in financial derivatives under mixture distributions.(2016) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2016Optimal positioning in financial derivatives under mixture distributions.(2016) In: Post-Print.
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2014Optimal Positioning in Financial Derivatives under Mixture Distributions.(2014) In: Working Papers.
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2016Equilibrium of financial derivative markets under portfolio insurance constraints In: Economic Modelling.
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2016Equilibrium of financial derivative markets under portfolio insurance constraints.(2016) In: Post-Print.
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2016Real estate investment: Market volatility and optimal holding period under risk aversion In: Economic Modelling.
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2015Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion.(2015) In: THEMA Working Papers.
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2016Optimal funding and hiring/firing policies with mean reverting demand In: Economic Modelling.
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2016Optimal funding and hiring/firing policies with mean reverting demand.(2016) In: Post-Print.
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2017Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds In: Economic Modelling.
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2017Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds.(2017) In: Post-Print.
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2019Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market In: Economic Modelling.
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2019Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market.(2019) In: Post-Print.
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2014Portfolio insurance: Gap risk under conditional multiples In: European Journal of Operational Research.
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2014Portfolio insurance: Gap risk under conditional multiples.(2014) In: Post-Print.
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2018Risk management of time varying floors for dynamic portfolio insurance In: European Journal of Operational Research.
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2018Risk management of time varying floors for dynamic portfolio insurance.(2018) In: Post-Print.
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2019On the optimality of path-dependent structured funds: The cost of standardization In: European Journal of Operational Research.
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2019On the optimality of path-dependent structured funds: The cost of standardization.(2019) In: Post-Print.
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2022Dynamic connectedness and optimal hedging strategy among commodities and financial indices In: International Review of Financial Analysis.
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2022Dynamic connectedness and optimal hedging strategy among commodities and financial indices.(2022) In: Post-Print.
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2008Utilitarianism and fairness in portfolio positioning In: Journal of Banking & Finance.
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2008Utilitarianism and fairness in portfolio positioning.(2008) In: Post-Print.
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2011Omega performance measure and portfolio insurance In: Journal of Banking & Finance.
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2011Omega performance measure and portfolio insurance.(2011) In: Post-Print.
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2010Structured Portfolio Analysis under SharpeOmega Ratio In: EcoMod2010.
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2012Structured portfolio analysis under SharpeOmega ratio.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Structured portfolio analysis under SharpeOmega ratio.(2012) In: Working Papers.
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2014Structured portfolio analysis under SharpeOmega ratio.(2014) In: Working Papers.
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2012Structured portfolio analysis under SharpeOmega ratio.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2000Strategies optimales dallocation de portefeuilles internationaux avec contraintes In: THEMA Working Papers.
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2000Portfolio Insurance : The extreme Value of the CCPI Method In: THEMA Working Papers.
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2000Weak Convergence of Hedging Strategies of Contingent Claims In: THEMA Working Papers.
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2002Weak Convergence of Hedging Strategies of Contingent Claims.(2002) In: FAME Research Paper Series.
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2000An Empirical Estimation in Credit Spread Indices In: THEMA Working Papers.
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2003Optimal portfolio positioning In: THEMA Working Papers.
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2003Optimal portfolio : towards an operational decision support system In: THEMA Working Papers.
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2007Hedging global environment risks: An option based portfolio insurance In: THEMA Working Papers.
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2008Hedging global environment risks: An option based portfolio insurance.(2008) In: Post-Print.
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2008Optimal Time to Sell in Real Estate Portfolio Management In: THEMA Working Papers.
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2009Optimal Time to Sell in Real Estate Portfolio Management.(2009) In: Post-Print.
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2009Optimal Time to Sell in Real Estate Portfolio Management.(2009) In: The Journal of Real Estate Finance and Economics.
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2011Real Estate Portfolio Management : Optimization under Risk Aversion In: THEMA Working Papers.
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2017Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion In: THEMA Working Papers.
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1996A general subordinated stochastic process for the derivatives pricing In: THEMA Working Papers.
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2011A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING.(2011) In: Post-Print.
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2001A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING.(2001) In: International Journal of Theoretical and Applied Finance (IJTAF).
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1996Implied risk neutral probability measures on options markets : The L2 approach In: THEMA Working Papers.
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1997Convergence of discrete time options pricing models under stochastic In: THEMA Working Papers.
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1997Incomplete markets : Convergence of options values under the minimal martingale measure. The multidimensional case In: THEMA Working Papers.
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1997Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case..(1997) In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
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1997Option pricing with a general marked point process In: THEMA Working Papers.
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1997Option Pricing with a General Market Point Process.(1997) In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
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2001Option Pricing with a General Marked Point Process.(2001) In: Post-Print.
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2001Option Pricing with a General Marked Point Process.(2001) In: Mathematics of Operations Research.
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1999An autoregressive conditional binomial option pricing model under stochastic rates In: THEMA Working Papers.
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1999Optimal portfolio under insurance constraints on the horizon wealth In: THEMA Working Papers.
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1999Optimality of portfolio insurance The extended CPPI method In: THEMA Working Papers.
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2000Gestion de portefeuille avec garantie: lallocation optimale en actifs derives. In: G.R.E.Q.A.M..
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1995Pricing of Contingent Claims from Discrete to Continuous Time Models: On the Robustness of the Black and Scholes Formula. In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
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1995Incomplete Markets: A Remark on the Convergence of the Minimal Martingale Measure and Application to the Derivative Assets Pricing. In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
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1997Convergence of Discrete Time Options Pricing Models under Stochastic Rates In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
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2010Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination.(2010) In: Post-Print.
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2011PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures.(2010) In: Post-Print.
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