9
H index
9
i10 index
338
Citations
Jean-Luc Prigent : Citation Profile
Université de Cergy-Pontoise | RESEARCH PRODUCTION: 43 Articles 127 Papers 2 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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31 years (1992 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Luc Prigent. | Is cited by:
| Cites to:
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Main data
Where Jean-Luc Prigent has published?
| Journals with more than one article published | # docs |
|---|---|
| Economic Modelling | 8 |
| Annals of Operations Research | 7 |
| Computational Economics | 3 |
| Finance | 3 |
| European Journal of Operational Research | 3 |
| Economic Inquiry | 2 |
| Journal of Banking & Finance | 2 |
Recent works citing Jean-Luc Prigent (2023 and 2022)
| Year | Title of citing document |
|---|---|
| 2022 | Estimation of future discretionary benefits in traditional life insurance. (2021). Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2101.06077. Full description at Econpapers || Download paper |
| 2023 | The insider problem in the trinomial model: a discrete-time jump process approach. (2021). Halconruy, H'Elene. In: Papers. RePEc:arx:papers:2106.15208. Full description at Econpapers || Download paper |
| 2022 | Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Papers. RePEc:arx:papers:2109.13796. Full description at Econpapers || Download paper |
| 2022 | Portfolio Construction with Gaussian Mixture Returns and Exponential Utility via Convex Optimization. (2022). Boyd, Stephen ; Luxenberg, Eric. In: Papers. RePEc:arx:papers:2205.04563. Full description at Econpapers || Download paper |
| 2023 | Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market. (2023). Bastani, Ali Foroush ; Alipour, Peyman. In: Papers. RePEc:arx:papers:2305.12539. Full description at Econpapers || Download paper |
| 2022 | Assessing 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. 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 |
| 2022 | Hedge 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. Full description at Econpapers || Download paper |
| 2023 | Optimal longevity risk transfer under asymmetric information. (2023). Schultze, Mark B ; Li, Hong ; Chen, AN. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004163. Full description at Econpapers || Download paper |
| 2022 | Near-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. 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 |
| 2023 | Optimal management of DC pension fund under the relative performance ratio and VaR constraint. (2023). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:868-886. Full description at Econpapers || Download paper |
| 2023 | On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging. (2023). Vodika, Peter ; Nielsen, Jens Perch ; Kyriakou, Ioannis ; Gerrard, Russell. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:948-962. Full description at Econpapers || Download paper |
| 2023 | Maximum likelihood estimation of the Hull–White model. (2023). Rus, Toma ; Kladivko, Kamil. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:227-247. Full description at Econpapers || Download paper |
| 2023 | Dissecting hedge funds strategies. (2023). Noori, Mohammad ; Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033. Full description at Econpapers || Download paper |
| 2023 | Worst-case analysis of Omega-VaR ratio optimization model. (2023). Mansini, Renata ; Sharma, Amita ; Sehgal, Ruchika. In: Omega. RePEc:eee:jomega:v:114:y:2023:i:c:s0305048322001372. Full description at Econpapers || Download paper |
| 2022 | Do the Underlying Portfolios Matter? A Comparative Study of Equity-Linked Pay-at-Maturity Principal Protected Notes in Canada and the UK. (2022). McGraw, Patricia A ; Anderson, Scott ; Li, Yuanshun. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:10:p:462-:d:942506. 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 |
| 2022 | Actuarial-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. Full description at Econpapers || Download paper |
| 2022 | Economic Scenario Generators: a risk management tool for insurance. (2022). Mehalla, Sophian ; Lapeyre, Bernard ; Boumezoued, Alexandre ; Arrouy, Pierre-Edouard. In: Post-Print. RePEc:hal:journl:hal-03671943. Full description at Econpapers || Download paper |
| 2022 | Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-03327710. Full description at Econpapers || Download paper |
| 2022 | Economic 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. Full description at Econpapers || Download paper |
| 2022 | An Analytics Approach to Guide Randomized Controlled Trials in Hypertension Management. (2022). Haaland, Benjamin ; Ayer, Turgay ; Bonifonte, Anthony. In: Management Science. RePEc:inm:ormnsc:v:68:y:2022:i:9:p:6634-6647. Full description at Econpapers || Download paper |
| 2023 | Omega Compatibility: A Meta-analysis. (2023). Zhang, Xiang ; Maillet, Bertrand ; Caporin, Massimiliano ; Bernard, Carole. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10306-x. Full description at Econpapers || Download paper |
| 2022 | Economic 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. Full description at Econpapers || Download paper |
| 2023 | CDS and equity markets’ volatility linkages: lessons from the EMU crisis. (2023). Kouretas, Georgios ; Laopodis, Nikiforos T ; Bratis, Theodoros. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:3:d:10.1007_s11156-023-01126-7. Full description at Econpapers || Download paper |
| 2023 | Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19. (2023). Pergeris, Georgios ; Koutsokostas, Drosos ; Kenourgios, Dimitris ; Papathanasiou, Spyros. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:3:d:10.1057_s41260-022-00292-y. Full description at Econpapers || Download paper |
| 2022 | Risk 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. Full description at Econpapers || Download paper |
| 2022 | Long 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. Full description at Econpapers || Download paper |
| 2022 | A 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. 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 | 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-Éric ; 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 |
| 2022 | ARMA–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. Full description at Econpapers || Download paper |
| 2022 | A concept of copula robustness and its applications in quantitative risk management. (2022). Zahle, Henryk. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00485-8. Full description at Econpapers || Download paper |
| 2022 | A 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. Full description at Econpapers || Download paper |
| 2023 | Investors’ perspective on portfolio insurance. (2023). Silva, Paulo M ; Gaspar, Raquel M. In: Portuguese Economic Journal. RePEc:spr:portec:v:22:y:2023:i:1:d:10.1007_s10258-021-00200-z. Full description at Econpapers || Download paper |
| 2022 | Kurtosis-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. Full description at Econpapers || Download paper |
Jean-Luc Prigent has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Jean-Luc Prigent:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2018 | OPTIMAL EMPLOYEE OWNERSHIP CONTRACTS UNDER AMBIGUITY AVERSION In: Economic Inquiry. [Full Text][Citation analysis] | article | 0 |
| 2018 | Optimal Employee Ownership Contracts under Ambiguity Aversion.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS In: Economic Inquiry. [Full Text][Citation analysis] | article | 0 |
| 2018 | DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS.(2018) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2011 | On the maximization of financial performance measures within mixture models In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 2 |
| 2011 | On the maximization of financial performance measures within mixture models.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2011 | On the maximization of financial performance measures within mixture models.(2011) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 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 | |
| 1992 | The private provision of public good in the case of satiation points: The case of a quasi-linear economy In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 2000 | An Empirical Investigation in Credit Spread Indices In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2000 | An Empirical Investigation in Credit Spread Indices.(2000) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 1998 | Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2000 | Convergence of discrete time option pricing models under stochastic interest rates.(2000) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 1999 | Convergence of discrete time option pricing models under stochastic interest rates.(1999) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 1999 | Option Pricing with Discrete Rebalancing In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 1999 | Option Pricing with Discrete Rebalancing.(1999) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2004 | Option pricing with discrete rebalancing.(2004) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 1999 | Option pricing with discrete rebalancing.(1999) In: THEMA Working Papers. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2002 | Option Pricing with Discrete Rebalancing.(2002) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2004 | Option pricing with discrete rebalancing.(2004) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1999 | An Autoregressive Conditional Binomial Option Pricing Model In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
| 2014 | A dynamic autoregressive expectile for time-invariant portfolio protection strategies In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 20 |
| 2014 | A dynamic autoregressive expectile for time-invariant portfolio protection strategies.(2014) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 2014 | A dynamic autoregressive expectile for time-invariant portfolio protection strategies.(2014) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 2014 | A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 2014 | A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 2013 | A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2013) In: LEO Working Papers / DR LEO. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 2013 | Optimal portfolio positioning under ambiguity In: Economic Modelling. [Full Text][Citation analysis] | article | 6 |
| 2013 | Optimal portfolio positioning under ambiguity.(2013) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2014 | On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
| 2014 | On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options.(2014) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2016 | Optimal positioning in financial derivatives under mixture distributions In: Economic Modelling. [Full Text][Citation analysis] | article | 7 |
| 2016 | Optimal positioning in financial derivatives under mixture distributions.(2016) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2016 | Optimal positioning in financial derivatives under mixture distributions.(2016) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2014 | Optimal Positioning in Financial Derivatives under Mixture Distributions.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | 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 | |
| 2016 | Real estate investment: Market volatility and optimal holding period under risk aversion In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
| 2015 | Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion.(2015) In: THEMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2016 | Optimal funding and hiring/firing policies with mean reverting demand In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
| 2016 | Optimal funding and hiring/firing policies with mean reverting demand.(2016) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2017 | Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
| 2017 | Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds.(2017) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2019 | Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market In: Economic Modelling. [Full Text][Citation analysis] | article | 2 |
| 2019 | Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market.(2019) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2014 | Portfolio insurance: Gap risk under conditional multiples In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 15 |
| 2014 | Portfolio insurance: Gap risk under conditional multiples.(2014) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 2018 | Risk management of time varying floors for dynamic portfolio insurance In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 3 |
| 2018 | Risk management of time varying floors for dynamic portfolio insurance.(2018) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 3 | 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 | |
| 2022 | Dynamic connectedness and optimal hedging strategy among commodities and financial indices In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
| 2022 | Dynamic connectedness and optimal hedging strategy among commodities and financial indices.(2022) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2008 | Utilitarianism and fairness in portfolio positioning In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 8 |
| 2008 | Utilitarianism and fairness in portfolio positioning.(2008) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2011 | Omega performance measure and portfolio insurance In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 41 |
| 2010 | Structured Portfolio Analysis under SharpeOmega Ratio In: EcoMod2010. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Structured portfolio analysis under SharpeOmega ratio.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2012 | Structured portfolio analysis under SharpeOmega ratio.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2014 | Structured portfolio analysis under SharpeOmega ratio.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2012 | Structured portfolio analysis under SharpeOmega ratio.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2000 | Strategies optimales dallocation de portefeuilles internationaux avec contraintes In: THEMA Working Papers. [Citation analysis] | paper | 0 |
| 2000 | Portfolio Insurance : The extreme Value of the CCPI Method In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 2000 | Weak Convergence of Hedging Strategies of Contingent Claims In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2002 | Weak Convergence of Hedging Strategies of Contingent Claims.(2002) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2000 | An Empirical Estimation in Credit Spread Indices In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Optimal portfolio positioning In: THEMA Working Papers. [Citation analysis] | paper | 3 |
| 2003 | Optimal portfolio : towards an operational decision support system In: THEMA Working Papers. [Citation analysis] | paper | 0 |
| 2007 | Hedging global environment risks: An option based portfolio insurance In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Hedging global environment risks: An option based portfolio insurance.(2008) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2008 | Optimal Time to Sell in Real Estate Portfolio Management In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2009 | Optimal Time to Sell in Real Estate Portfolio Management.(2009) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2009 | Optimal Time to Sell in Real Estate Portfolio Management.(2009) In: The Journal of Real Estate Finance and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
| 2011 | Real Estate Portfolio Management : Optimization under Risk Aversion In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2017 | Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1996 | A general subordinated stochastic process for the derivatives pricing In: THEMA Working Papers. [Citation analysis] | paper | 0 |
| 2011 | A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING.(2011) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2001 | A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING.(2001) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 1996 | Implied risk neutral probability measures on options markets : The L2 approach In: THEMA Working Papers. [Citation analysis] | paper | 2 |
| 1997 | Convergence of discrete time options pricing models under stochastic In: THEMA Working Papers. [Citation analysis] | paper | 0 |
| 1997 | Incomplete markets : Convergence of options values under the minimal martingale measure. The multidimensional case In: THEMA Working Papers. [Citation analysis] | paper | 1 |
| 1997 | Incomplete 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.. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1997 | Option pricing with a general marked point process In: THEMA Working Papers. [Citation analysis] | paper | 9 |
| 1997 | Option Pricing with a General Market Point Process.(1997) In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.. [Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2001 | Option Pricing with a General Marked Point Process.(2001) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 1999 | An autoregressive conditional binomial option pricing model under stochastic rates In: THEMA Working Papers. [Citation analysis] | paper | 2 |
| 1999 | Optimal portfolio under insurance constraints on the horizon wealth In: THEMA Working Papers. [Citation analysis] | paper | 0 |
| 1999 | Optimality of portfolio insurance The extended CPPI method In: THEMA Working Papers. [Citation analysis] | paper | 0 |
| In: . [Full Text][Citation analysis] | chapter | 0 | |
| In: . [Full Text][Citation analysis] | chapter | 0 | |
| 2000 | Gestion de portefeuille avec garantie: lallocation optimale en actifs derives. In: G.R.E.Q.A.M.. [Citation analysis] | paper | 1 |
| 1995 | Pricing 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.. [Citation analysis] | paper | 0 |
| 1995 | Incomplete 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.. [Citation analysis] | paper | 0 |
| 1997 | Convergence of Discrete Time Options Pricing Models under Stochastic Rates In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.. [Citation analysis] | paper | 0 |
| 2010 | Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 1 |
| 2010 | Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination.(2010) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2011 | PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 1 |
| 2014 | Portfolio Optimization within Mixture of Distributions.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2011 | PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS.(2011) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2014 | Portfolio Optimization within Mixture of Distributions.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2011 | VaR and Omega measures for hedge funds portfolios: A copula approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 1 |
| 2011 | VaR and Omega measures for hedge funds portfolios: A copula approach.(2011) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2010 | Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 5 |
| 2010 | Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures.(2010) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2015 | Detecting performance persistence of hedge funds In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 1 |
| 2015 | Detecting performance persistence of hedge funds.(2015) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2011 | Ownership structure and stock market liquidity: evidence from Tunisia In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 3 |
| 2011 | Ownership structure and stock market liquidity: evidence from Tunisia.(2011) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2011 | Ownership structure and stock market liquidity: evidence from Tunisia.(2011) In: International Journal of Managerial and Financial Accounting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2009 | A Risk Management Approach for Portfolio Insurance Strategies In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 4 |
| 2009 | A Risk Management Approach for Portfolio Insurance Strategies.(2009) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2009 | A Risk Management Approach for Portfolio Insurance Strategies.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2008 | Firms value under investment irreversibility, stochastic demand and general production function In: Post-Print. [Citation analysis] | paper | 0 |
| 2012 | Corporate investment choice and exchange option between production functions In: Post-Print. [Citation analysis] | paper | 1 |
| 2017 | Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions In: Post-Print. [Full Text][Citation analysis] | paper | 18 |
| 2010 | A Note on Risk Aversion, Prudence and Portfolio Insurance In: Post-Print. [Citation analysis] | paper | 7 |
| 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: 7 | article | |
| 2003 | EVALUATION OF FINANCIAL STRUCTURED PRODUCTS: AN APPLICATION OF THE EXTREME VALUE THEORY. In: Post-Print. [Citation analysis] | paper | 0 |
| 2005 | Portfolio Insurance Strategies: OBPI versus CPPI. In: Post-Print. [Citation analysis] | paper | 30 |
| 2015 | French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing In: Post-Print. [Citation analysis] | paper | 1 |
| 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: 1 | article | |
| 2003 | Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic In: Post-Print. [Citation analysis] | paper | 16 |
| 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 |
| 2020 | On the risk management of demand deposits: quadratic hedging of interest rate margins In: Post-Print. [Citation analysis] | paper | 0 |
| 2022 | On the risk management of demand deposits: quadratic hedging of interest rate margins.(2022) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2022 | On the risk management of demand deposits: quadratic hedging of interest rate margins.(2022) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2022 | Risk management decisions and value under uncertainty In: Post-Print. [Citation analysis] | paper | 0 |
| 2022 | Risk management decisions and value under uncertainty.(2022) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2020 | About Long-Term Cross-Currency Bermuda Swaption Pricing In: Post-Print. [Citation analysis] | paper | 0 |
| 2020 | About Long-Term Cross-Currency Bermuda Swaption Pricing.(2020) In: Computational Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 1997 | A note on the valuation of an exotic timing option In: Post-Print. [Citation analysis] | paper | 1 |
| 1997 | A note on the valuation of an exotic timing option.(1997) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 1999 | Incomplete markets: convergence of options values under the minimal martingale measure In: Post-Print. [Citation analysis] | paper | 0 |
| 2019 | A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates In: Post-Print. [Citation analysis] | paper | 0 |
| 2019 | A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates.(2019) In: Computational Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2020 | Optimal Portfolio Positioning on Multiple Assets Under Ambiguity In: Post-Print. [Citation analysis] | paper | 0 |
| 2020 | Optimal Portfolio Positioning on Multiple Assets Under Ambiguity.(2020) In: Computational Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2019 | Preface: decision making and risk/return optimization in financial economics In: Post-Print. [Citation analysis] | paper | 0 |
| 2019 | Preface: decision making and risk/return optimization in financial economics.(2019) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2018 | Preface: Risk management decisions and wealth management in Financial Economics In: Post-Print. [Citation analysis] | paper | 1 |
| 2018 | Preface: Risk management decisions and wealth management in Financial Economics.(2018) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2018 | On the robustness of portfolio allocation under copula misspecification In: Post-Print. [Citation analysis] | paper | 4 |
| 2018 | On the robustness of portfolio allocation under copula misspecification.(2018) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2017 | Optimal portfolio positioning within generalized Johnson distributions In: Post-Print. [Citation analysis] | paper | 9 |
| 2014 | Optimal Portfolio Positioning within Generalized Johnson Distributions.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2017 | Optimal portfolio positioning within generalized Johnson distributions.(2017) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2016 | On the diversity score: a copula approach In: Post-Print. [Citation analysis] | paper | 0 |
| 2016 | On the Stochastic Dominance of Portfolio Insurance Strategies In: Post-Print. [Citation analysis] | paper | 4 |
| 2010 | International Portfolio Optimization with Higher Moments In: Post-Print. [Citation analysis] | paper | 6 |
| 2010 | Behaviour towards Risk in Structured Portfolio Management In: Post-Print. [Citation analysis] | paper | 3 |
| 2009 | Standardized versus customized portfolio: a compensating variation approach In: Post-Print. [Citation analysis] | paper | 3 |
| 2009 | Standardized versus customized portfolio: a compensating variation approach.(2009) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2009 | Prise en compte de lattitude face au risque dans le cadre de la directive MiFID In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Corporate 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. [Full Text][Citation analysis] | article | 1 |
| 2001 | Option Pricing with a General Marked Point Process In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 7 |
| 2014 | Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 2014 | Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2014 | Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | On the debt capacity of growth and decay options In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2023 | On the sovereign debt crisis: sovereign credit default swaps and their interaction with stock market indices In: Applied Economics. [Full Text][Citation analysis] | article | 1 |
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