Jean-Luc Prigent : Citation Profile


Are you Jean-Luc Prigent?

Université de Cergy-Pontoise

8

H index

7

i10 index

241

Citations

RESEARCH PRODUCTION:

38

Articles

92

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   28 years (1992 - 2020). See details.
   Cites by year: 8
   Journals where Jean-Luc Prigent has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 40 (14.23 %)

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   Permalink: http://citec.repec.org/ppr77
   Updated: 2021-02-20    RAS profile: 2020-08-18    
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Relations with other researchers


Works with:

BERTRAND, Philippe (7)

Barthélémy, Fabrice (4)

Aubert, Nicolas (2)

Clark, Ephraim (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 (9)

Caporin, Massimiliano (7)

Grammig, Joachim (6)

Barthélémy, Fabrice (6)

Fernandes, Marcelo (5)

Mihoci, Andrija (4)

Jannin, Gregory (4)

Costola, Michele (4)

Hurvich, Clifford (4)

Giot, Pierre (4)

Baroni, Michel (4)

Cites to:

BERTRAND, Philippe (31)

Maillet, Bertrand (18)

Leland, Hayne (16)

de Palma, André (16)

merton, robert (15)

Grossman, Sanford (13)

Brennan, Michael (12)

Stiglitz, Joseph (10)

Barthélémy, Fabrice (10)

Rindisbacher, Marcel (8)

Engle, Robert (8)

Main data


Where Jean-Luc Prigent has published?


Journals with more than one article published# docs
Economic Modelling8
Annals of Operations Research5
European Journal of Operational Research3
Computational Economics3
Finance2
Economic Inquiry2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Post-Print / HAL28
THEMA Working Papers / THEMA (THorie Economique, Modlisation et Applications), Universit de Cergy-Pontoise20
Working Papers / Department of Research, Ipag Business School9
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL9
Working Papers / HAL5
Working Papers / Center for Research in Economics and Statistics4
LIDAM Discussion Papers IRES / Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)2
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 (2021 and 2020)


YearTitle of citing document
2020Optimal hedging of a perpetual American put with a single trade. (2020). Palczewski, Jan ; de Angelis, Tiziano ; Cai, Cheng. In: Papers. RePEc:arx:papers:2003.06249.

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2020On Evaluation of Risky Investment Projects. Investment Certainty Equivalence. (2020). Serebryannikova, Ekaterina ; Tipunin, Ilya ; Leonidov, Andrey. In: Papers. RePEc:arx:papers:2005.12173.

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2020Liquidity Provider Returns in Geometric Mean Markets. (2020). Evans, Alex. In: Papers. RePEc:arx:papers:2006.08806.

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2020lCARE -- localizing Conditional AutoRegressive Expectiles. (2020). Hardle, Wolfgang Karl ; Mihoci, Andrija ; Xu, Xiu. In: Papers. RePEc:arx:papers:2009.13215.

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2021Estimation of future discretionary benefits in traditional life insurance. (2021). Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2101.06077.

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2020Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146.

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2020Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation. (2020). Fadugba, Sunday Emmanuel. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:141:y:2020:i:c:s0960077920307463.

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2020Management of online server congestion using optimal demand throttling. (2020). Gupta, Varun ; Perera, Sandun ; Buckley, Winston. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:324-342.

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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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2020Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities. (2019). Therond, Pierre-Emmanuel ; Salhi, Yahia ; Dorobantu, Diana. In: Post-Print. RePEc:hal:journl:hal-01840057.

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2020Omega and Sharpe ratio. (2020). Guez, Beatrice ; Benhamou, Eric ; Paris, Nicolas. In: Working Papers. RePEc:hal:wpaper:hal-02886481.

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2020Locality in time of the European insurance regulation risk-neutral valuation framework, a pre-and post-Covid analysis and further developments. (2020). Borel-Mathurin, Fabrice ; Vedani, Julien ; Loisel, Stephane ; el Karoui, Nicole. In: Working Papers. RePEc:hal:wpaper:hal-02905181.

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2020Behavioral portfolio insurance strategies. (2020). Escobar Anel, Marcos ; Zagst, Rudi ; Lichtenstern, Andreas ; Escobar-Anel, Marcos. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:4:d:10.1007_s11408-020-00353-5.

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2020Exact cash-account deflator for the G2++ model. (2020). Trussoni, Luca G ; Strati, Francesco . In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:07:y:2020:i:01:n:s2424786320500097.

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2020MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY. (2020). Steblovskaya, Victoria ; Biedova, Olga. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500119.

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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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article0
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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paper
2011On the maximization of financial performance measures within mixture models.(2011) In: Post-Print.
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paper
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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paper
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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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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2000An Empirical Investigation in Credit Spread Indices.(2000) In: LIDAM Discussion Papers IRES.
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2000An Empirical Investigation in Credit Spread Indices.(2000) In: FMG Discussion Papers.
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1998Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates In: Working Papers.
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paper4
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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1999Option Pricing with Discrete Rebalancing.(1999) In: LIDAM Discussion Papers IRES.
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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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paper
2002Option Pricing with Discrete Rebalancing.(2002) In: FAME Research Paper Series.
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1999An Autoregressive Conditional Binomial Option Pricing Model In: Working Papers.
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paper12
2000An Autoregressive Conditional Binomial Option Pricing Model.(2000) In: FMG Discussion Papers.
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paper
2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies In: Journal of Economic Dynamics and Control.
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article17
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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article7
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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article1
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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article2
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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2017Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds In: Economic Modelling.
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2019Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market In: Economic Modelling.
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2014Portfolio insurance: Gap risk under conditional multiples In: European Journal of Operational Research.
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article12
2018Risk management of time varying floors for dynamic portfolio insurance In: European Journal of Operational Research.
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article0
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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2008Utilitarianism and fairness in portfolio positioning In: Journal of Banking & Finance.
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article5
2011Omega performance measure and portfolio insurance In: Journal of Banking & Finance.
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article33
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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paper3
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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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: 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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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: 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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2014Portfolio Optimization within Mixture of Distributions.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS.(2011) In: Post-Print.
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2014Portfolio Optimization within Mixture of Distributions.(2014) In: Working Papers.
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2011VaR and Omega measures for hedge funds portfolios: A copula approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011VaR and Omega measures for hedge funds portfolios: A copula approach.(2011) In: Post-Print.
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2010Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures 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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2009A Risk Management Approach for Portfolio Insurance Strategies In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009A Risk Management Approach for Portfolio Insurance Strategies.(2009) In: Post-Print.
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2009A Risk Management Approach for Portfolio Insurance Strategies.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2008Firms value under investment irreversibility, stochastic demand and general production function In: Post-Print.
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2012Corporate investment choice and exchange option between production functions In: Post-Print.
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2017Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions In: Post-Print.
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2010A Note on Risk Aversion, Prudence and Portfolio Insurance In: Post-Print.
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2010A Note on Risk Aversion, Prudence and Portfolio Insurance.(2010) In: The Geneva Risk and Insurance Review.
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2003EVALUATION OF FINANCIAL STRUCTURED PRODUCTS: AN APPLICATION OF THE EXTREME VALUE THEORY. In: Post-Print.
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2005Portfolio Insurance Strategies: OBPI versus CPPI. In: Post-Print.
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2015French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing In: Post-Print.
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2015French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing.(2015) In: Bankers, Markets & Investors.
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2003Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic In: Post-Print.
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2002Portfolio Insurance: The Extreme Value Theory of the Cppi Method In: Post-Print.
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2001Portfolio Insurance: The Extreme Value Theory of the Cppi Method.(2001) In: Post-Print.
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2000Optimisation de portefeuille sous contrainte de variance de la tracking-error In: Post-Print.
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2018Mixed-asset portfolio allocation under mean-reverting asset returns In: Post-Print.
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2019Mixed-asset portfolio allocation under mean-reverting asset returns.(2019) In: Annals of Operations Research.
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2018Residential Real Estate in a Mixed-Asset Portfolio In: Post-Print.
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2009Prise en compte de lattitude face au risque dans le cadre de la directive MiFID In: Working Papers.
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2010Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations In: Working Papers.
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2014Corporate Governance and Market Microstructure: Evidence on Institutional Investors in the Tunisian Stock Exchange In: International Journal of Academic Research in Accounting, Finance and Management Sciences.
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2011Ownership structure and stock market liquidity: evidence from Tunisia In: International Journal of Managerial and Financial Accounting.
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2014Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation In: Working Papers.
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2014Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs In: Working Papers.
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2014Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions In: Working Papers.
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2014Optimal Portfolio Positioning within Generalized Johnson Distributions In: Working Papers.
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2017Optimal portfolio positioning within generalized Johnson distributions.(2017) In: Quantitative Finance.
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2014On the debt capacity of growth and decay options In: Working Papers.
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2019A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates In: Computational Economics.
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2020Optimal Portfolio Positioning on Multiple Assets Under Ambiguity In: Computational Economics.
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2020About Long-Term Cross-Currency Bermuda Swaption Pricing In: Computational Economics.
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2009Standardized versus customized portfolio: a compensating variation approach In: Annals of Operations Research.
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2018On the robustness of portfolio allocation under copula misspecification In: Annals of Operations Research.
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2018Preface: Risk management decisions and wealth management in Financial Economics In: Annals of Operations Research.
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2019Preface: decision making and risk/return optimization in financial economics In: Annals of Operations Research.
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1997A note on the valuation of an exotic timing option In: Journal of Futures Markets.
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