Jean-Luc Prigent : Citation Profile


Are you Jean-Luc Prigent?

Université de Cergy-Pontoise

8

H index

6

i10 index

218

Citations

RESEARCH PRODUCTION:

36

Articles

83

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   27 years (1992 - 2019). See details.
   Cites by year: 8
   Journals where Jean-Luc Prigent has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 37 (14.51 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppr77
   Updated: 2019-11-16    RAS profile: 2019-11-10    
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Relations with other researchers


Works with:

BERTRAND, Philippe (13)

HENTATI KAFFEL, Rania (4)

Barthélémy, Fabrice (4)

Maillet, Bertrand (4)

Aubert, Nicolas (2)

ben ameur, hachmi (2)

Clark, Ephraim (2)

MKAOUAR, Farid (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 (8)

Caporin, Massimiliano (7)

Baroni, Michel (6)

Barthélémy, Fabrice (6)

Grammig, Joachim (6)

Fernandes, Marcelo (5)

Jannin, Gregory (4)

Costola, Michele (4)

Maillet, Bertrand (4)

Mihoci, Andrija (4)

Härdle, Wolfgang (4)

Cites to:

BERTRAND, Philippe (33)

Maillet, Bertrand (18)

de Palma, André (16)

Leland, Hayne (16)

merton, robert (14)

Grossman, Sanford (13)

Brennan, Michael (11)

Stiglitz, Joseph (10)

Barthélémy, Fabrice (10)

Engle, Robert (8)

Duffie, Darrell (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
Finance2
Economic Inquiry2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Post-Print / HAL21
THEMA Working Papers / THEMA (THorie Economique, Modlisation et Applications), Universit de Cergy-Pontoise20
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL9
Working Papers / Department of Research, Ipag Business School9
Working Papers / Center for Research in Economics and Statistics4
Working Papers / HAL3
Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)2
FAME Research Paper Series / International Center for Financial Asset Management and Engineering2
Documents de travail du Centre d'Economie de la Sorbonne / Universit Panthon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne2

Recent works citing Jean-Luc Prigent (2019 and 2018)


YearTitle of citing document
2019Options on CPPI with guaranteed minimum equity exposure. (2019). Oliva, I ; di Persio, L. In: Papers. RePEc:arx:papers:1902.06505.

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2019Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints. (2019). Pelsser, Antoon ; Kamma, Thijs. In: Papers. RePEc:arx:papers:1906.12317.

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2019A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula. (2019). Infante, Jose Arturo ; Cherchali, Adel ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:1908.00811.

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2017An SVM-like approach for expectile regression. (2017). Steinwart, Ingo ; Farooq, Muhammad. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:109:y:2017:i:c:p:159-181.

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2018The impact of asymmetric ambiguity on investment and financing decisions. (2018). VIVIANI, Jean-Laurent ; LAI, Anh ; Louhichi, Wael. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:169-180.

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2018A 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.

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2019Optimal 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.

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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.

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2018lCARE - localizing conditional autoregressive expectiles. (2018). Xu, Xiu ; Hardle, Wolfgang Karl ; Mihoci, Andrija . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:198-220.

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2018Risk-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.

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2019Dynamic 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.

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2019Option-Based performance participation. (2019). Bertrand, Philippe ; Kraus, Julia ; Zagst, Rudi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:44-61.

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2019Risk 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.

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2019Existing approaches and trends in uncertainty modelling and probabilistic stability analysis of power systems with renewable generation. (2019). Hasan, Kazi Nazmul ; Milanovi, Jovica V ; Preece, Robin. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:101:y:2019:i:c:p:168-180.

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2018Risk 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.

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2019Modelling 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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2019Risk aversion, prudence and temperance: an experiment in gain and loss. (2019). brunette, marielle ; Jacob, Julien. In: Post-Print. RePEc:hal:journl:hal-02114762.

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2019Optimal risk management problem of natural resources: Application to oil drilling. (2019). Goutte, Stéphane ; Lim, Thomas ; Kharroubi, Idris ; Gaigi, Mhamed. In: Working Papers. RePEc:hal:wpaper:halshs-01968000.

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2019Investors’ Perspective on Portfolio InsuranceExpected Utility vs Prospect Theories. (2019). Gaspar, Raquel ; Silva, Paulo M. In: Working Papers REM. RePEc:ise:remwps:wp0922019.

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2019On Path–dependency ofConstant Proportion Portfolio Insurance strategies. (2019). Gaspar, Raquel ; Sousa, Joo Beleza ; Carvalho, Joo. In: Working Papers REM. RePEc:ise:remwps:wp0942019.

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2017Managing ambiguity in asset allocation. (2017). Kaya, Hakan. In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:3:d:10.1057_s41260-016-0029-0.

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2018Self-exciting jump processes with applications to energy markets. (2018). Eyjolfsson, Heidar ; Tjostheim, Dag. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:70:y:2018:i:2:d:10.1007_s10463-016-0591-8.

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2018Constant 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.

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2018Option implied ambiguity and its information content: Evidence from the subprime crisis. (2018). Driouchi, Tarik ; Trigeorgis, Lenos. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2079-y.

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2018Dynamic 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.

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2018Constant 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.

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2019Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR. (2019). Maillard, Didier ; Barthelemy, Fabrice ; Amedee-Manesme, Charles-Olivier. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2792-4.

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2019Optimal strategy between extraction and storage of crude oil. (2019). Goutte, Stéphane ; Guesmi, Khaled ; Mkaouar, Farid ; Abid, Ilyes. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2844-9.

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2019A market-consistent framework for the fair evaluation of insurance contracts under Solvency II. (2019). Ghilarducci, Alessandro ; Fusai, Gianluca ; Casalini, Riccardo ; Gambaro, Anna Maria. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00242-1.

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2019Location factors for budget, medium standard and luxury hotels based on the example of hotels operating in Poland. (2019). Mroz-Gorgon, Barbara ; Kasprzak, Rafal ; Slaby, Teresa ; Widawski, Krzysztof ; Markiewicz-Patkowska, Julita ; Gawlik, Agnieszka ; Olesniewicz, Piotr ; Puciato, Daniel. In: Operations Research and Decisions. RePEc:wut:journl:v:1:y:2019:p:61-73:id:1390.

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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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article4
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
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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1992The private provision of public good in the case of satiation points: The case of a quasi-linear economy In: CORE Discussion Papers.
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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: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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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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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: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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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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1999An Autoregressive Conditional Binomial Option Pricing Model In: Working Papers.
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2000An Autoregressive Conditional Binomial Option Pricing Model.(2000) In: FMG Discussion 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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article15
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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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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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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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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article9
2018Risk management of time varying floors for dynamic portfolio insurance In: European Journal of Operational Research.
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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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2008Utilitarianism and fairness in portfolio positioning In: Journal of Banking & Finance.
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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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2011Omega performance measure and portfolio insurance.(2011) In: Post-Print.
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2002Structured 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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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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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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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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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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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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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: 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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