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Jean-Luc Prigent

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Néjib Hachicha & Amine Ben Amar & Ikrame Ben Slimane & Makram Bellalah & Jean-Luc Prigent, 2022. "Dynamic connectedness and optimal hedging strategy among commodities and financial indices," Post-Print hal-03745047, HAL.

    Cited by:

    1. Noori, Mohammad & Hitaj, Asmerilda, 2023. "Dissecting hedge funds' strategies," International Review of Financial Analysis, Elsevier, vol. 85(C).
    2. Wang, Yu-Min & Lin, Che-Chun & Tsai, I-Chun, 2023. "State transformation of information spillover in asset markets and effective dynamic hedging strategies," International Review of Financial Analysis, Elsevier, vol. 89(C).

  2. Yingyi Hu & Jean-Luc Prigent, 2019. "Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market," Post-Print hal-03679410, HAL.

    Cited by:

    1. OlaOluwa S. Yaya & Oluwasegun B. Adekoya & Xuan Vinh Vo & Mamdouh Abdulaziz Saleh Al‐Faryan, 2024. "Stock Market Efficiency in Asia: Evidence from the Narayan–Liu–Westerlund's GARCH‐based unit root test," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 91-101, January.
    2. Yaya, OlaOluwa S. & Vo, Xuan Vinh & Adekoya, Oluwasegun B., 2021. "Market Efficiency of Asian Stocks: Evidence based on Narayan-Liu-Westerlund GARCH-based Unit root test," MPRA Paper 109828, University Library of Munich, Germany.
    3. Arumugam, Devika, 2023. "Algorithmic trading: Intraday profitability and trading behavior," Economic Modelling, Elsevier, vol. 128(C).
    4. Chen, An & Li, Hong & Schultze, Mark B., 2023. "Optimal longevity risk transfer under asymmetric information," Economic Modelling, Elsevier, vol. 120(C).

  3. Philippe Bertrand & Jean-Luc Prigent, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," Post-Print hal-02492961, HAL.

    Cited by:

    1. Dupret, Jean-Loup & Hainaut, Donatien, 2021. "Portfolio insurance under rough volatility and Volterra processes," LIDAM Discussion Papers ISBA 2021026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Kallio, Markku & Halme, Merja & Dehghan Hardoroudi, Nasim & Aspara, Jaakko, 2022. "Transparent structured products for retail investors," European Journal of Operational Research, Elsevier, vol. 302(2), pages 752-767.

  4. H. Ben Ameur & Jean-Luc Prigent, 2018. "Risk management of time varying floors for dynamic portfolio insurance," Post-Print hal-03679408, HAL.

    Cited by:

    1. Dupret, Jean-Loup & Hainaut, Donatien, 2021. "Portfolio insurance under rough volatility and Volterra processes," LIDAM Discussion Papers ISBA 2021026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Gerrard, Russell & Kyriakou, Ioannis & Nielsen, Jens Perch & Vodička, Peter, 2023. "On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging," European Journal of Operational Research, Elsevier, vol. 307(2), pages 948-962.
    3. Peyman Alipour & Ali Foroush Bastani, 2023. "Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market," Papers 2305.12539, arXiv.org.

  5. Hatem Ben Ameur & Ephraim Clark & André de Palma & Jean-Luc Prigent, 2018. "Preface: Risk management decisions and wealth management in Financial Economics," Post-Print hal-03679696, HAL.

    Cited by:

    1. Daniel Puciato & Piotr Oleśniewicz & Agnieszka Gawlik & Julita Markiewicz-Patkowska & Krzysztof Widawski & Teresa Słaby & Rafał Kasprzak & Barbara Mróz-Gorgoń, 2019. "Location factors for budget, medium standard and luxury hotels based on the example of hotels operating in Poland," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 29(1), pages 61-73.

  6. Abdallah Ben Saida & Jean-Luc Prigent, 2018. "On the robustness of portfolio allocation under copula misspecification," Post-Print hal-03679698, HAL.

    Cited by:

    1. Sabri Boubaker & Zhenya Liu & Yaosong Zhan, 2022. "Risk management for crude oil futures: an optimal stopping-timing approach," Annals of Operations Research, Springer, vol. 313(1), pages 9-27, June.
    2. Erdinc Akyildirim & Frank J. Fabozzi & Ahmet Goncu & Ahmet Sensoy, 2022. "Statistical arbitrage in jump-diffusion models with compound Poisson processes," Annals of Operations Research, Springer, vol. 313(2), pages 1357-1371, June.
    3. E. Allevi & L. Boffino & M. E. Giuli & G. Oggioni, 2019. "Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems," Annals of Operations Research, Springer, vol. 274(1), pages 1-37, March.
    4. Henryk Zähle, 2022. "A concept of copula robustness and its applications in quantitative risk management," Finance and Stochastics, Springer, vol. 26(4), pages 825-875, October.

  7. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent, 2018. "Mixed-asset portfolio allocation under mean-reverting asset returns," Post-Print hal-01955220, HAL.

    Cited by:

    1. Erdinc Akyildirim & Frank J. Fabozzi & Ahmet Goncu & Ahmet Sensoy, 2022. "Statistical arbitrage in jump-diffusion models with compound Poisson processes," Annals of Operations Research, Springer, vol. 313(2), pages 1357-1371, June.
    2. Harvey J. Stein & Jacob Pozharny, 2022. "Modeling Momentum and Reversals," Risks, MDPI, vol. 10(10), pages 1-10, October.

  8. Nicole El Karoui & Stéphane Loisel & Jean-Luc Prigent & Julien Vedani, 2017. "Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions," Post-Print hal-01242023, HAL.

    Cited by:

    1. Karim Barigou & Daniel Linders & Fan Yang, 2021. "Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation," Papers 2109.13796, arXiv.org, revised Mar 2022.
    2. Florian Gach & Simon Hochgerner & Eva Kienbacher & Gabriel Schachinger, 2023. "Mean-field Libor market model and valuation of long term guarantees," Papers 2310.09022, arXiv.org, revised Nov 2023.
    3. Diana Dorobantu & Yahia Salhi & Pierre-E. Thérond, 2020. "Modelling Net Carrying Amount of Shares for Market Consistent Valuation of Life Insurance Liabilities," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 711-745, June.
    4. Anna Maria Gambaro & Riccardo Casalini & Gianluca Fusai & Alessandro Ghilarducci, 2019. "A market-consistent framework for the fair evaluation of insurance contracts under Solvency II," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 157-187, June.
    5. Derrick W. H. Fung & David Jou & Ai Ju Shao & Jason J. H. Yeh, 2021. "The informativeness of embedded value reporting to stock price," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(4), pages 5341-5376, December.
    6. Fabrice Borel-Mathurin & Nicole El Karoui & Stéphane Loisel & Julien Vedani, 2020. "Locality in time of the European insurance regulation "risk-neutral" valuation framework, a pre-and post-Covid analysis and further developments," Working Papers hal-02905181, HAL.
    7. Francesco Strati & Luca G. Trussoni, 2020. "Exact cash-account deflator for the G2++ model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-14, March.
    8. Pierre-Edouard Arrouy & Alexandre Boumezoued & Bernard Lapeyre & Sophian Mehalla, 2022. "Economic Scenario Generators: a risk management tool for insurance," Post-Print hal-03671943, HAL.
    9. Aur'elien Alfonsi & Adel Cherchali & Jose Arturo Infante Acevedo, 2019. "A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula," Papers 1908.00811, arXiv.org.
    10. Karim Barigou & Daniël Linders & Fan Yang, 2022. "Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation," Post-Print hal-03327710, HAL.
    11. Fabrice Borel-Mathurin & Julien Vedani, 2019. "Market-consistent valuation: a step towards calculation stability," Working Papers hal-02282378, HAL.
    12. Sascha Desmettre & Simon Hochgerner & Sanela Omerovic & Stefan Thonhauser, 2021. "A mean-field extension of the LIBOR market model," Papers 2109.10779, arXiv.org.
    13. Kladívko, Kamil & Rusý, Tomáš, 2023. "Maximum likelihood estimation of the Hull–White model," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 227-247.
    14. Florian Gach & Simon Hochgerner, 2021. "Estimation of future discretionary benefits in traditional life insurance," Papers 2101.06077, arXiv.org, revised Jul 2022.

  9. N. Naguez & Jean-Luc Prigent, 2017. "Optimal portfolio positioning within generalized Johnson distributions," Post-Print hal-03679701, HAL.

    Cited by:

    1. Sung Ik Kim, 2022. "ARMA–GARCH model with fractional generalized hyperbolic innovations," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
    2. Naceur Naguez, 2018. "Dynamic portfolio insurance strategies: risk management under Johnson distributions," Annals of Operations Research, Springer, vol. 262(2), pages 605-629, March.
    3. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Didier Maillard, 2017. "Computation of the Corrected Cornish-Fisher Expansion using the Response Surface Methodology: Application to V aR and CV aR," THEMA Working Papers 2017-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

  10. Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid, 2017. "Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds," Post-Print hal-03679700, HAL.

    Cited by:

    1. Spyros Papathanasiou & Dimitris Kenourgios & Drosos Koutsokostas & Georgios Pergeris, 2023. "Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 198-211, May.

  11. Philippe Bertrand & Jean-Luc Prigent, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Post-Print hal-01833070, HAL.

    Cited by:

    1. Raquel M. Gaspar & Paulo M. Silva, 2019. "Investors’ Perspective on Portfolio InsuranceExpected Utility vs Prospect Theories," Working Papers REM 2019/92, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    2. Nie, Pu-yan & Wang, Chan & Chen, Zi-yue & Chen, You-hua, 2018. "A theoretic analysis of key person insurance," Economic Modelling, Elsevier, vol. 71(C), pages 272-278.

  12. Hela Maalej & Jean-Luc Prigent, 2016. "On the Stochastic Dominance of Portfolio Insurance Strategies," Post-Print hal-03679704, HAL.

    Cited by:

    1. Olga Biedova & Victoria Steblovskaya, 2020. "Multiplier Optimization For Constant Proportion Portfolio Insurance (Cppi) Strategy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-22, March.
    2. Raquel M. Gaspar & Paulo M. Silva, 2019. "Investors’ Perspective on Portfolio InsuranceExpected Utility vs Prospect Theories," Working Papers REM 2019/92, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    3. Tawil, Dima, 2018. "Risk-adjusted performance of portfolio insurance and investors’ preferences," Finance Research Letters, Elsevier, vol. 24(C), pages 10-18.
    4. Raquel M. Gaspar & Paulo M. Silva, 2023. "Investors’ perspective on portfolio insurance," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 22(1), pages 49-79, January.

  13. Rania Hentati & Jean-Luc Prigent, 2016. "Optimal positioning in financial derivatives under mixture distributions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01299840, HAL.

    Cited by:

    1. Hentati-Kaffel, Rania, 2016. "Structured products under generalized kappa ratio," Economic Modelling, Elsevier, vol. 58(C), pages 599-614.
    2. Anthony Bonifonte & Turgay Ayer & Benjamin Haaland, 2022. "An Analytics Approach to Guide Randomized Controlled Trials in Hypertension Management," Management Science, INFORMS, vol. 68(9), pages 6634-6647, September.

  14. Philippe Bertrand & Jean-Luc Prigent, 2015. "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Post-Print hal-01833074, HAL.

    Cited by:

    1. Bertrand, Philippe & Prigent, Jean-luc, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," European Journal of Operational Research, Elsevier, vol. 277(1), pages 333-350.

  15. Philippe Bertrand & Jean-Luc Prigent, 2015. "French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing," Post-Print hal-01833084, HAL.

    Cited by:

    1. Bertrand, Philippe & Prigent, Jean-luc, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," European Journal of Operational Research, Elsevier, vol. 277(1), pages 333-350.
    2. Yuanshun Li & Scott Anderson & Patricia A. McGraw, 2022. "Do the Underlying Portfolios Matter? A Comparative Study of Equity-Linked Pay-at-Maturity Principal Protected Notes in Canada and the UK," JRFM, MDPI, vol. 15(10), pages 1-20, October.

  16. Rania Hentati & Philippe de Peretti, 2015. "Detecting performance persistence of hedge funds," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03045892, HAL.

    Cited by:

    1. Cumming, Douglas & Monteiro, Pedro, 2022. "Hedge fund sales fees and the flow of funds around the world," Economic Modelling, Elsevier, vol. 112(C).

  17. N. Letifi & Jean-Luc Prigent, 2014. "On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options," Post-Print hal-03679708, HAL.

    Cited by:

    1. Bouasker, O. & Letifi, N. & Prigent, J.-L., 2016. "Optimal funding and hiring/firing policies with mean reverting demand," Economic Modelling, Elsevier, vol. 58(C), pages 569-579.
    2. Perera, Sandun & Gupta, Varun & Buckley, Winston, 2020. "Management of online server congestion using optimal demand throttling," European Journal of Operational Research, Elsevier, vol. 285(1), pages 324-342.

  18. Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Post-Print hal-01697643, HAL.

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. Xiu Xu & Andrija Mihoci & Wolfgang Karl Hardle, 2020. "lCARE -- localizing Conditional AutoRegressive Expectiles," Papers 2009.13215, arXiv.org.
    3. H. Ben Ameur & Jean-Luc Prigent, 2018. "Risk management of time varying floors for dynamic portfolio insurance," Post-Print hal-03679408, HAL.
    4. Naceur Naguez, 2018. "Dynamic portfolio insurance strategies: risk management under Johnson distributions," Annals of Operations Research, Springer, vol. 262(2), pages 605-629, March.
    5. Olga Biedova & Victoria Steblovskaya, 2020. "Multiplier Optimization For Constant Proportion Portfolio Insurance (Cppi) Strategy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-22, March.
    6. Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.
    7. Naceur Naguez & Jean-Luc Prigent, 2014. "Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions," Working Papers 2014-329, Department of Research, Ipag Business School.
    8. Tawil, Dima, 2018. "Risk-adjusted performance of portfolio insurance and investors’ preferences," Finance Research Letters, Elsevier, vol. 24(C), pages 10-18.
    9. Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018. "lCARE - localizing conditional autoregressive expectiles," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 198-220.
    10. Wentao Hu & Cuixia Chen & Yufeng Shi & Ze Chen, 2022. "A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 831-874, June.
    11. Farooq, Muhammad & Steinwart, Ingo, 2017. "An SVM-like approach for expectile regression," Computational Statistics & Data Analysis, Elsevier, vol. 109(C), pages 159-181.
    12. Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015. "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 134-151.
    13. Peyman Alipour & Ali Foroush Bastani, 2023. "Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market," Papers 2305.12539, arXiv.org.
    14. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.

  19. N. Letifi & J.-L. Prigent, 2014. "On the debt capacity of growth and decay options," Working Papers 2014-391, Department of Research, Ipag Business School.

    Cited by:

  20. Jean-Luc Prigent & H. Ben Ameur & J.L. Prigent, 2014. "Portfolio insurance: Gap risk under conditional multiples," Post-Print hal-03679707, HAL.

    Cited by:

    1. Hatem Masri, 2017. "A multiple stochastic goal programming approach for the agent portfolio selection problem," Annals of Operations Research, Springer, vol. 251(1), pages 179-192, April.
    2. Xiu Xu & Andrija Mihoci & Wolfgang Karl Hardle, 2020. "lCARE -- localizing Conditional AutoRegressive Expectiles," Papers 2009.13215, arXiv.org.
    3. H. Ben Ameur & Jean-Luc Prigent, 2018. "Risk management of time varying floors for dynamic portfolio insurance," Post-Print hal-03679408, HAL.
    4. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    5. Zhang, Tao & Zhou, Hongfeng & Li, Larry & Gu, Feng, 2015. "Optimal rebalance rules for the constant proportion portfolio insurance strategy – Evidence from China," Economic Systems, Elsevier, vol. 39(3), pages 413-422.
    6. Naceur Naguez, 2018. "Dynamic portfolio insurance strategies: risk management under Johnson distributions," Annals of Operations Research, Springer, vol. 262(2), pages 605-629, March.
    7. Guohui Guan & Lin He & Zongxia Liang & Litian Zhang, 2024. "Optimal VPPI strategy under Omega ratio with stochastic benchmark," Papers 2403.13388, arXiv.org.
    8. Zagst, Rudi & Kraus, Julia & Bertrand, Philippe, 2019. "Option-Based performance participation," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 44-61.
    9. Naceur Naguez & Jean-Luc Prigent, 2014. "Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions," Working Papers 2014-329, Department of Research, Ipag Business School.
    10. Dupret, Jean-Loup & Hainaut, Donatien, 2021. "Portfolio insurance under rough volatility and Volterra processes," LIDAM Discussion Papers ISBA 2021026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    11. Tawil, Dima, 2018. "Risk-adjusted performance of portfolio insurance and investors’ preferences," Finance Research Letters, Elsevier, vol. 24(C), pages 10-18.
    12. Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018. "lCARE - localizing conditional autoregressive expectiles," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 198-220.
    13. Wentao Hu & Cuixia Chen & Yufeng Shi & Ze Chen, 2022. "A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 831-874, June.
    14. Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015. "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 134-151.
    15. Marcos Escobar-Anel & Andreas Lichtenstern & Rudi Zagst, 2020. "Behavioral portfolio insurance strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 353-399, December.
    16. Peyman Alipour & Ali Foroush Bastani, 2023. "Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market," Papers 2305.12539, arXiv.org.
    17. David Happersberger & Harald Lohre & Ingmar Nolte, 2020. "Estimating portfolio risk for tail risk protection strategies," European Financial Management, European Financial Management Association, vol. 26(4), pages 1107-1146, September.

  21. Farid MKAOUAR & Jean-luc PRIGENT, 2014. "Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs," Working Papers 2014-303, Department of Research, Ipag Business School.

    Cited by:

    1. Alex Evans, 2020. "Liquidity Provider Returns in Geometric Mean Markets," Papers 2006.08806, arXiv.org, revised Jul 2020.

  22. Farid Mkouar & Jean-Luc Prigent, 2014. "Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation," Working Papers 2014-301, Department of Research, Ipag Business School.

    Cited by:

    1. Mondher Bellalah & Akeb Hakim & Kehan Si & Detao Zhang, 2022. "Long term optimal investment with regime switching: inflation, information and short sales," Annals of Operations Research, Springer, vol. 313(2), pages 1373-1386, June.

  23. Jean-Luc Prigent & H. Ben Ameur & J.L. Prigent, 2013. "Optimal portfolio positioning under ambiguity," Post-Print hal-03679709, HAL.

    Cited by:

    1. Mkaouar, Farid & Prigent, Jean-Luc & Abid, Ilyes, 2017. "Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds," Economic Modelling, Elsevier, vol. 67(C), pages 228-247.
    2. Tarik Driouchi & Lenos Trigeorgis & Raymond H. Y. So, 2018. "Option implied ambiguity and its information content: Evidence from the subprime crisis," Annals of Operations Research, Springer, vol. 262(2), pages 463-491, March.
    3. Hentati-Kaffel, Rania, 2016. "Structured products under generalized kappa ratio," Economic Modelling, Elsevier, vol. 58(C), pages 599-614.
    4. Hentati-Kaffel, R. & Prigent, J.-L., 2016. "Optimal positioning in financial derivatives under mixture distributions," Economic Modelling, Elsevier, vol. 52(PA), pages 115-124.
    5. Luo, Deqing & Shan, Xun & Yan, Jingzhou & Yan, Qianhui, 2023. "Sustainable investment under ESG volatility and ambiguity," Economic Modelling, Elsevier, vol. 128(C).
    6. Hakan Kaya, 2017. "Managing ambiguity in asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 18(3), pages 163-187, May.
    7. Viviani, Jean-Laurent & Lai, Anh-Ngoc & Louhichi, Waël, 2018. "The impact of asymmetric ambiguity on investment and financing decisions," Economic Modelling, Elsevier, vol. 69(C), pages 169-180.
    8. Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015. "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 134-151.
    9. Pfiffelmann, Marie & Roger, Tristan & Bourachnikova, Olga, 2016. "When Behavioral Portfolio Theory meets Markowitz theory," Economic Modelling, Elsevier, vol. 53(C), pages 419-435.
    10. Hachmi Ben Ameur & Mouna Boujelbène & J. L. Prigent & Emna Triki, 2020. "Optimal Portfolio Positioning on Multiple Assets Under Ambiguity," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 21-57, June.

  24. O. Bouasker & J.L. Prigent, 2012. "Corporate investment choice and exchange option between production functions," Post-Print hal-00803200, HAL.

    Cited by:

    1. Maria-Teresa Bosch-Badia & Joan Montllor-Serrats & Maria-Antonia Tarrazon-Rodon, 2015. "Corporate Social Responsibility: A Real Options Approach to the Challenge of Financial Sustainability," PLOS ONE, Public Library of Science, vol. 10(5), pages 1-37, May.

  25. Rania Hentati & Jean-Luc Prigent, 2011. "Portfolio Optimization Within Mixture Of Distributions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00607105, HAL.

    Cited by:

    1. Eric Luxenberg & Stephen Boyd, 2022. "Portfolio Construction with Gaussian Mixture Returns and Exponential Utility via Convex Optimization," Papers 2205.04563, arXiv.org, revised Aug 2022.

  26. Philippe Bertrand & Jean-Luc Prigent, 2011. "Omega performance measure and portfolio insurance," Post-Print hal-01445954, HAL.

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. H. Ben Ameur & Jean-Luc Prigent, 2018. "Risk management of time varying floors for dynamic portfolio insurance," Post-Print hal-03679408, HAL.
    3. Mahayni, Antje & Schneider, Judith C., 2012. "Variable annuities and the option to seek risk: Why should you diversify?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2417-2428.
    4. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    5. Zhang, Tao & Zhou, Hongfeng & Li, Larry & Gu, Feng, 2015. "Optimal rebalance rules for the constant proportion portfolio insurance strategy – Evidence from China," Economic Systems, Elsevier, vol. 39(3), pages 413-422.
    6. Naceur Naguez, 2018. "Dynamic portfolio insurance strategies: risk management under Johnson distributions," Annals of Operations Research, Springer, vol. 262(2), pages 605-629, March.
    7. Olga Biedova & Victoria Steblovskaya, 2020. "Multiplier Optimization For Constant Proportion Portfolio Insurance (Cppi) Strategy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-22, March.
    8. P. A. Forsyth & K. R. Vetzal, 2017. "Robust Asset Allocation For Long-Term Target-Based Investing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-32, May.
    9. Benjamin R. Auer, 2016. "Do Socially Responsible Investment Policies Add or Destroy European Stock Portfolio Value?," Journal of Business Ethics, Springer, vol. 135(2), pages 381-397, May.
    10. Niu, Cuizhen & Wong, Wing-Keung & Zhu, Lixing, 2017. "Farinelli and Tibiletti ratio and Stochastic Dominance," MPRA Paper 82737, University Library of Munich, Germany.
    11. Rania HENTATI & Jean-Luc PRIGENT, 2010. "Structured Portfolio Analysis under SharpeOmega Ratio," EcoMod2010 259600073, EcoMod.
    12. Węgrzyn Tomasz, 2014. "The TMAI Model – Performance Of Portfolios Constructed On The Base Of Correlated And Uncorrelated Financial Ratios," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 125-139, December.
    13. Guohui Guan & Lin He & Zongxia Liang & Litian Zhang, 2024. "Optimal VPPI strategy under Omega ratio with stochastic benchmark," Papers 2403.13388, arXiv.org.
    14. Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.
    15. Naceur Naguez & Jean-Luc Prigent, 2014. "Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions," Working Papers 2014-329, Department of Research, Ipag Business School.
    16. Hentati-Kaffel, Rania, 2016. "Structured products under generalized kappa ratio," Economic Modelling, Elsevier, vol. 58(C), pages 599-614.
    17. João Carvalho & João Beleza Sousa & Raquel M. Gaspar, 2019. "On Path–dependency ofConstant Proportion Portfolio Insurance strategies," Working Papers REM 2019/94, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    18. Farid MKAOUAR & Jean-luc PRIGENT, 2014. "Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs," Working Papers 2014-303, Department of Research, Ipag Business School.
    19. Tawil, Dima, 2018. "Risk-adjusted performance of portfolio insurance and investors’ preferences," Finance Research Letters, Elsevier, vol. 24(C), pages 10-18.
    20. Philippe Bertrand & Jean-Luc Prigent, 2015. "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Post-Print hal-01833074, HAL.
    21. Chi, Yichun & Zheng, Jiakun & Zhuang, Shengchao, 2022. "S-shaped narrow framing, skewness and the demand for insurance," Insurance: Mathematics and Economics, Elsevier, vol. 105(C), pages 279-292.
    22. Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Post-Print hal-00867667, HAL.
    23. Abdallah Ben Saida & Jean-luc Prigent, 2018. "On the robustness of portfolio allocation under copula misspecification," Annals of Operations Research, Springer, vol. 262(2), pages 631-652, March.
    24. Andrey Leonidov & Ilya Tipunin & Ekaterina Serebryannikova, 2020. "On Evaluation of Risky Investment Projects. Investment Certainty Equivalence," Papers 2005.12173, arXiv.org.
    25. Louis Eeckhoudt & Anna Maria Fiori & Emanuela Rosazza Gianin, 2018. "Risk Aversion, Loss Aversion, and the Demand for Insurance," Risks, MDPI, vol. 6(2), pages 1-19, May.
    26. Jiang, Chonghui & Ma, Yongkai & An, Yunbi, 2009. "The effectiveness of the VaR-based portfolio insurance strategy: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 185-197, September.
    27. Eric Benhamou & Beatrice Guez & Nicolas Paris, 2020. "Omega and Sharpe ratio," Working Papers hal-02886481, HAL.
    28. van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2021. "The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors," European Journal of Operational Research, Elsevier, vol. 289(2), pages 774-792.
    29. Bertrand, Philippe & Prigent, Jean-luc, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," European Journal of Operational Research, Elsevier, vol. 277(1), pages 333-350.
    30. Bauer Jan, 2020. "Hedging of Variable Annuities under Basis Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 14(2), pages 1-34, July.
    31. Fernandes, Gláucia & Gomes, Leonardo & Vasconcelos, Gabriel & Brandão, Luiz, 2016. "Mitigating wind exposure with zero-cost collar insurance," Renewable Energy, Elsevier, vol. 99(C), pages 336-346.
    32. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "Optimal strategies under Omega ratio," European Journal of Operational Research, Elsevier, vol. 275(2), pages 755-767.
    33. Sehgal, Ruchika & Sharma, Amita & Mansini, Renata, 2023. "Worst-case analysis of Omega-VaR ratio optimization model," Omega, Elsevier, vol. 114(C).
    34. Ben Ameur, H. & Prigent, J.L., 2014. "Portfolio insurance: Gap risk under conditional multiples," European Journal of Operational Research, Elsevier, vol. 236(1), pages 238-253.
    35. Peyman Alipour & Ali Foroush Bastani, 2023. "Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market," Papers 2305.12539, arXiv.org.
    36. Guan, Guohui & Liang, Zongxia & Xia, Yi, 2023. "Optimal management of DC pension fund under the relative performance ratio and VaR constraint," European Journal of Operational Research, Elsevier, vol. 305(2), pages 868-886.
    37. David Happersberger & Harald Lohre & Ingmar Nolte, 2020. "Estimating portfolio risk for tail risk protection strategies," European Financial Management, European Financial Management Association, vol. 26(4), pages 1107-1146, September.
    38. Jacques Pézier & Johanna Scheller, 2011. "A Comprehensive Evaluation of Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2011-15, Henley Business School, University of Reading.
    39. Pézier, Jacques & Scheller, Johanna, 2013. "Best portfolio insurance for long-term investment strategies in realistic conditions," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 263-274.
    40. Peter A. Forsyth & Kenneth R. Vetzal, 2017. "Dynamic mean variance asset allocation: Tests for robustness," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-37, June.
    41. Díaz, Antonio & Esparcia, Carlos & López, Raquel, 2022. "The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 39-60.
    42. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.
    43. Hubert Dichtl & Wolfgang Drobetz & Martin Wambach, 2017. "A bootstrap-based comparison of portfolio insurance strategies," The European Journal of Finance, Taylor & Francis Journals, vol. 23(1), pages 31-59, January.
    44. Christian Hertrich, 2013. "Asset Allocation Considerations for Pension Insurance Funds," Springer Books, Springer, edition 127, number 978-3-658-02167-2, September.
    45. Hammadi Zouari, 2022. "On the Effectiveness of Stock Index Futures for Tail Risk Protection," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 38-52, May.

  27. Fabrice Barthelemy & Jean-Luc Prigent, 2011. "Real Estate Portfolio Management : Optimization under Risk Aversion," THEMA Working Papers 2011-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

    Cited by:

    1. Charles-Olivier Amédée-Manesme & Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2015. "The Impact of Lease Structures on the Optimal Holding Period for a Commercial Real Estate Portfolio," Post-Print hal-01070033, HAL.

  28. Rania Hentati & Jean-Luc Prigent, 2011. "On the maximization of financial performance measures within mixture models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00608960, HAL.

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. Rania Hentati-Kaffel & Jean-Luc Prigent, 2014. "Portfolio Optimization within Mixture of Distributions," Working Papers hal-01066105, HAL.
    3. Rania HENTATI & Jean-Luc PRIGENT, 2010. "Structured Portfolio Analysis under SharpeOmega Ratio," EcoMod2010 259600073, EcoMod.
    4. Hentati-Kaffel, Rania, 2016. "Structured products under generalized kappa ratio," Economic Modelling, Elsevier, vol. 58(C), pages 599-614.
    5. Hentati-Kaffel, R. & Prigent, J.-L., 2016. "Optimal positioning in financial derivatives under mixture distributions," Economic Modelling, Elsevier, vol. 52(PA), pages 115-124.

  29. Rania Hentati & Jean-Luc Prigent, 2011. "VaR and Omega measures for hedge funds portfolios: A copula approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00608961, HAL.

    Cited by:

    1. Hentati-Kaffel, Rania & de Peretti, Philippe, 2015. "Generalized runs tests to detect randomness in hedge funds returns," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 608-615.

  30. Rania Hentati & Jean-Luc Prigent & Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean Luc Prigent, 2011. "Ownership structure and stock market liquidity: evidence from Tunisia," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03679711, HAL.

    Cited by:

    1. Elisa Giacosa & Alberto Mazzoleni, 2016. "A decision model for the suitable financing for small and medium enterprises," International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd, vol. 8(1), pages 39-74.
    2. Manjit Kaur Sidhu & Parmjit Kaur, 2019. "Effect of corporate governance on stock market liquidity: empirical evidence from Indian companies," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 46(3), pages 197-218, September.
    3. Elisa Giacosa & Alberto Mazzoleni, 2017. "The Relationships between Companies and Bank System: An Analysis of Italian Context," International Journal of Business and Management, Canadian Center of Science and Education, vol. 12(10), pages 1-1, September.

  31. André de Palma & Nathalie Picard & Jean-Luc Prigent, 2010. "Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations," Working Papers hal-00517726, HAL.

    Cited by:

    1. André de Palma & Nathalie Picard & Jean-Luc Prigent, 2009. "Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID," Working Papers hal-00418892, HAL.

  32. Jean-Luc Prigent & Hachmi Ben Ameur & Jean Luc Prigent, 2010. "Behaviour towards Risk in Structured Portfolio Management," Post-Print hal-03679713, HAL.

    Cited by:

    1. Constantin ANGHELACHE & Marius POPOVICI, 2017. "Financial market analysis models," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(6), pages 174-183, June.
    2. Gabriela Victoria ANGHELACHE & Madalina Gabriela ANGHEL & Gyorgy BODO, 2016. "Model of Static Portfolio Choices in an Arrow-Debreu Economy," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(1), pages 54-59, January.
    3. Constantin Anghelache & Madalina-Gabriela Anghel & Stefan Virgil Iacob, 2020. "The Market Risk Analysis By Quantification Method," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 170-180, October.

  33. Maroua Mhiri & Jean-Luc Prigent, 2010. "International Portfolio Optimization with Higher Moments," Post-Print hal-03679712, HAL.

    Cited by:

    1. Gulder Kemalbay & C. Murat Ozkut & Ceki Franko, 2011. "Portfolio Selection with Higher Moments: A Polynomial Goal Programming Approach to ISE-30 Index," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 13(1), pages 41-61, Special I.
    2. K. Saranya & P. Prasanna, 2014. "Portfolio Selection and Optimization with Higher Moments: Evidence from the Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(2), pages 133-149, May.
    3. Anthony D Hall & Stephen E Satchell, 2013. "The anatomy of portfolio skewness and kurtosis," Journal of Asset Management, Palgrave Macmillan, vol. 14(4), pages 228-235, August.
    4. Jie Wang & Shenglong Hu & Zheng-Hai Huang, 2018. "Solution Sets of Quadratic Complementarity Problems," Journal of Optimization Theory and Applications, Springer, vol. 176(1), pages 120-136, January.
    5. Braga, Maria Debora & Nava, Consuelo R. & Zoia, Maria Grazia, 2022. "Kurtosis-Based Risk Parity: Methodology and Portfolio Effects," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202208, University of Turin.
    6. Stéphane Hamayon & Florence Legros & Pradat Yannick, 2016. "Non gaussian returns: which impact on default options retirement plans? [Distribution non gaussienne des rendements : quel impact sur les options par défaut des plans d'épargne retraite ?]," Working Papers hal-03003588, HAL.

  34. Rania Hentati & Ameur Kaffel & Jean-Luc Prigent, 2010. "Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00608962, HAL.

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. Rania HENTATI & Jean-Luc PRIGENT, 2010. "Structured Portfolio Analysis under SharpeOmega Ratio," EcoMod2010 259600073, EcoMod.
    3. Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.
    4. Hentati-Kaffel, Rania, 2016. "Structured products under generalized kappa ratio," Economic Modelling, Elsevier, vol. 58(C), pages 599-614.
    5. Harris, Richard D.F. & Mazibas, Murat, 2013. "Dynamic hedge fund portfolio construction: A semi-parametric approach," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 139-149.

  35. Rania Hentati & Jean-Luc Prigent, 2010. "Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00607102, HAL.

    Cited by:

    1. Hasan, Kazi Nazmul & Preece, Robin & Milanović, Jovica V., 2019. "Existing approaches and trends in uncertainty modelling and probabilistic stability analysis of power systems with renewable generation," Renewable and Sustainable Energy Reviews, Elsevier, vol. 101(C), pages 168-180.

  36. Philippe Bertrand & Jean-Luc Prigent, 2010. "A Note on Risk Aversion, Prudence and Portfolio Insurance," Post-Print hal-01833054, HAL.

    Cited by:

    1. N. Naguez & J. L. Prigent, 2017. "Optimal portfolio positioning within generalized Johnson distributions," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1037-1055, July.
    2. Philippe Bertrand & Jean-Luc Prigent, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Post-Print hal-01833070, HAL.
    3. François-Éric Racicot & Raymond Théoret, 2022. "Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
    4. Andy Fodor & James S. Doran & James M. Carson & David P. Kirch, 2013. "On the Demand for Portfolio Insurance," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 16(2), pages 167-193, September.
    5. Jean-François Outreville, 2014. "The Meaning of Risk? Insights from The Geneva Risk and Insurance Review," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 39(4), pages 768-781, October.
    6. Marielle Brunette & Julien Jacob, 2019. "Risk aversion, prudence and temperance : an experiment in gain and loss," Working Papers hal-02114762, HAL.

  37. Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009. "A Risk Management Approach for Portfolio Insurance Strategies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00389789, HAL.

    Cited by:

    1. H. Ben Ameur & Jean-Luc Prigent, 2018. "Risk management of time varying floors for dynamic portfolio insurance," Post-Print hal-03679408, HAL.
    2. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    3. Wentao Hu & Cuixia Chen & Yufeng Shi & Ze Chen, 2022. "A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 831-874, June.
    4. Ben Ameur, H. & Prigent, J.L., 2014. "Portfolio insurance: Gap risk under conditional multiples," European Journal of Operational Research, Elsevier, vol. 236(1), pages 238-253.
    5. Peyman Alipour & Ali Foroush Bastani, 2023. "Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market," Papers 2305.12539, arXiv.org.
    6. David Happersberger & Harald Lohre & Ingmar Nolte, 2020. "Estimating portfolio risk for tail risk protection strategies," European Financial Management, European Financial Management Association, vol. 26(4), pages 1107-1146, September.
    7. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.

  38. André de Palma & Nathalie Picard & Jean-Luc Prigent, 2009. "Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID," Working Papers hal-00418892, HAL.

    Cited by:

    1. Donia Trabelsi & Baran Siyahhan, 2021. "Startup cash flows and venture capital investments: A real options approach," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 42(3), pages 737-750, April.

  39. André de Palma & Jean-Luc Prigent, 2009. "Standardized versus customized portfolio: a compensating variation approach," Post-Print hal-03679717, HAL.

    Cited by:

    1. Mkaouar, Farid & Prigent, Jean-Luc & Abid, Ilyes, 2017. "Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds," Economic Modelling, Elsevier, vol. 67(C), pages 228-247.
    2. Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid, 2019. "A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates," Post-Print hal-03679690, HAL.
    3. Abdallah Ben Saida & Jean-luc Prigent, 2018. "On the robustness of portfolio allocation under copula misspecification," Annals of Operations Research, Springer, vol. 262(2), pages 631-652, March.
    4. Kamma, Thijs & Pelsser, Antoon, 2022. "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, vol. 297(2), pages 766-781.
    5. Bertrand, Philippe & Prigent, Jean-luc, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," European Journal of Operational Research, Elsevier, vol. 277(1), pages 333-350.
    6. Fabrice Barthélémy & Charles-Olivier Amédée-Manesme & Jean-Luc Prigent, 2015. "Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion," THEMA Working Papers 2015-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    7. Fabrice Barthelemy & Jean-Luc Prigent, 2011. "Real Estate Portfolio Management : Optimization under Risk Aversion," THEMA Working Papers 2011-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    8. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent, 2019. "Mixed-asset portfolio allocation under mean-reverting asset returns," Annals of Operations Research, Springer, vol. 281(1), pages 65-98, October.
    9. Thijs Kamma & Antoon Pelsser, 2019. "Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints," Papers 1906.12317, arXiv.org, revised Oct 2019.
    10. Farid Mkouar & Jean-Luc Prigent, 2014. "Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation," Working Papers 2014-301, Department of Research, Ipag Business School.
    11. André de Palma & Nathalie Picard & Jean-Luc Prigent, 2009. "Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID," Working Papers hal-00418892, HAL.
    12. Castaneda, Pablo & Rudolph, Heinz P., 2011. "Upgrading investment regulations in second pillar pension systems : a proposal for Colombia," Policy Research Working Paper Series 5775, The World Bank.

  40. André de Palma & Jean-Luc Prigent, 2008. "Utilitarianism and fairness in portfolio positioning," Post-Print hal-03679716, HAL.

    Cited by:

    1. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    2. Yu, Bosco Wing-Tong & Pang, Wan Kai & Troutt, Marvin D. & Hou, Shui Hung, 2009. "Objective comparisons of the optimal portfolios corresponding to different utility functions," European Journal of Operational Research, Elsevier, vol. 199(2), pages 604-610, December.
    3. Mkaouar, Farid & Prigent, Jean-Luc & Abid, Ilyes, 2017. "Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds," Economic Modelling, Elsevier, vol. 67(C), pages 228-247.
    4. Ilyes Abid & Stéphane Goutte & Farid Mkaouar & Khaled Guesmi, 2018. "Optimal strategy between extraction and storage of crude oil," Post-Print hal-01968085, HAL.
    5. M’hamed Gaîgi & Stéphane Goutte & Idris Kharroubi & Thomas Lim, 2019. "Optimal risk management problem of natural resources: Application to oil drilling," Working Papers halshs-01968000, HAL.
    6. Kamma, Thijs & Pelsser, Antoon, 2022. "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, vol. 297(2), pages 766-781.
    7. Bertrand, Philippe & Prigent, Jean-luc, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," European Journal of Operational Research, Elsevier, vol. 277(1), pages 333-350.
    8. Fabrice Barthélémy & Charles-Olivier Amédée-Manesme & Jean-Luc Prigent, 2015. "Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion," THEMA Working Papers 2015-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    9. Fabrice Barthelemy & Jean-Luc Prigent, 2011. "Real Estate Portfolio Management : Optimization under Risk Aversion," THEMA Working Papers 2011-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    10. Thijs Kamma & Antoon Pelsser, 2019. "Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints," Papers 1906.12317, arXiv.org, revised Oct 2019.
    11. André de Palma & Nathalie Picard & Jean-Luc Prigent, 2010. "Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations," Working Papers hal-00517726, HAL.
    12. André de Palma & Nathalie Picard & Jean-Luc Prigent, 2009. "Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID," Working Papers hal-00418892, HAL.
    13. Castaneda, Pablo & Rudolph, Heinz P., 2011. "Upgrading investment regulations in second pillar pension systems : a proposal for Colombia," Policy Research Working Paper Series 5775, The World Bank.

  41. Fabrice Barthélémy & Jean-Luc Prigent, 2008. "Optimal Time to Sell in Real Estate Portfolio Management," THEMA Working Papers 2008-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

    Cited by:

    1. Brent W. Ambrose & Eva Steiner, 2022. "Economic Fundamentals, Capital Expenditures and Asset Dispositions," The Journal of Real Estate Finance and Economics, Springer, vol. 64(3), pages 361-378, April.
    2. Charles-Olivier Amédée-Manesme & Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2015. "The Impact of Lease Structures on the Optimal Holding Period for a Commercial Real Estate Portfolio," Post-Print hal-01070033, HAL.
    3. Amédée-Manesme, Charles-Olivier & Baroni, Michel & Barthélémy, Fabrice & Dupuy, Etienne, 2012. "Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios," ESSEC Working Papers WP1115, ESSEC Research Center, ESSEC Business School.
    4. Fabrice Barthélémy & Charles-Olivier Amédée-Manesme & Jean-Luc Prigent, 2015. "Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion," THEMA Working Papers 2015-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    5. Fabrice Barthelemy & Jean-Luc Prigent, 2011. "Real Estate Portfolio Management : Optimization under Risk Aversion," THEMA Working Papers 2011-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    6. Jing-Tang Tsay & Che-Chun Lin & Jerry T. Yang, 2018. "Pricing Mortgage-Backed Securities-First Hitting Time Approach," International Real Estate Review, Global Social Science Institute, vol. 21(4), pages 419-446.

  42. André de Palma & Jean-Luc Prigent, 2007. "Hedging global environment risks: An option based portfolio insurance," THEMA Working Papers 2007-09, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

    Cited by:

    1. André de Palma & Luc Leruth & Guillaume Prunier, 2009. "Towards a Principal-Agent Based Typology of Risks in Public-Private Partnerships," Working Papers hal-00419234, HAL.

  43. Philippe Bertrand & Jean-Luc Prigent, 2005. "Portfolio Insurance Strategies: OBPI versus CPPI," Post-Print hal-01833077, HAL.

    Cited by:

    1. André de Palma & Jean-Luc Prigent, 2008. "Hedging global environment risks: An option based portfolio insurance," Post-Print hal-03679719, HAL.
    2. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    3. Roland Gillet & Isabelle Nagot & Ariane Szafarz, 2006. "Stratégies d'investissement en actions et fonds à capital garanti," Working Papers CEB 06-008.RS, ULB -- Universite Libre de Bruxelles.
    4. Weng, Chengguo, 2013. "Constant proportion portfolio insurance under a regime switching exponential Lévy process," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 508-521.
    5. Johanna Scheller & Jacques Pézier, 2008. "Optimal Investment Strategies and Performance Sharing Rules for Pension Schemes with Minimum Guarantee," ICMA Centre Discussion Papers in Finance icma-dp2008-09, Henley Business School, University of Reading, revised Oct 2009.
    6. Olga Biedova & Victoria Steblovskaya, 2020. "Multiplier Optimization For Constant Proportion Portfolio Insurance (Cppi) Strategy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-22, March.
    7. Bahaji, Hamza, 2014. "Equity portfolio insurance against a benchmark: Setting, replication and optimality," Economic Modelling, Elsevier, vol. 40(C), pages 382-391.
    8. Benjamin Hamidi & Emmanuel Jurczenko & Bertrand Maillet, 2009. "D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?," Post-Print halshs-00389773, HAL.
    9. Zagst, Rudi & Kraus, Julia & Bertrand, Philippe, 2019. "Option-Based performance participation," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 44-61.
    10. Julia Kraus & Philippe Bertrand & Rudi Zagst, 2013. "Theory of Performance Participation Strategies," Papers 1302.5339, arXiv.org.
    11. João Carvalho & João Beleza Sousa & Raquel M. Gaspar, 2019. "On Path–dependency ofConstant Proportion Portfolio Insurance strategies," Working Papers REM 2019/94, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    12. Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
    13. Jacques Pézier & Johanna Scheller, 2012. "Average Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2012-05, Henley Business School, University of Reading.
    14. Philippe Bertrand & Jean-Luc Prigent, 2011. "Omega performance measure and portfolio insurance," Post-Print hal-01445954, HAL.
    15. Farid MKAOUAR & Jean-luc PRIGENT, 2014. "Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs," Working Papers 2014-303, Department of Research, Ipag Business School.
    16. Tawil, Dima, 2018. "Risk-adjusted performance of portfolio insurance and investors’ preferences," Finance Research Letters, Elsevier, vol. 24(C), pages 10-18.
    17. Philippe Bertrand & Jean-Luc Prigent, 2015. "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Post-Print hal-01833074, HAL.
    18. Xavier Warin, 2016. "The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach," Papers 1611.04877, arXiv.org.
    19. Busra Zeynep Temocin & Ralf Korn & A. Sevtap Selcuk-Kestel, 2018. "Constant proportion portfolio insurance in defined contribution pension plan management," Annals of Operations Research, Springer, vol. 266(1), pages 329-348, July.
    20. L. Di Persio & I. Oliva. K. Wallbaum, 2019. "Options on CPPI with guaranteed minimum equity exposure," Papers 1902.06505, arXiv.org.
    21. Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Post-Print hal-00867667, HAL.
    22. Jun Sekine, 2012. "Long-term optimal portfolios with floor," Finance and Stochastics, Springer, vol. 16(3), pages 369-401, July.
    23. Rudi Zagst & Julia Kraus, 2011. "Stochastic dominance of portfolio insurance strategies," Annals of Operations Research, Springer, vol. 185(1), pages 75-103, May.
    24. Jiang, Chonghui & Ma, Yongkai & An, Yunbi, 2009. "The effectiveness of the VaR-based portfolio insurance strategy: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 185-197, September.
    25. Busra Zeynep Temocin & Ralf Korn & A. Sevtap Selcuk-Kestel, 2018. "Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading," Annals of Operations Research, Springer, vol. 260(1), pages 515-544, January.
    26. Bertrand, Philippe & Prigent, Jean-luc, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," European Journal of Operational Research, Elsevier, vol. 277(1), pages 333-350.
    27. Hambardzumyan, Hayk & Korn, Ralf, 2019. "Dynamic hybrid products with guarantees—An optimal portfolio framework," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 54-66.
    28. Ben Ameur, H. & Prigent, J.L., 2014. "Portfolio insurance: Gap risk under conditional multiples," European Journal of Operational Research, Elsevier, vol. 236(1), pages 238-253.
    29. Jacques Pézier & Johanna Scheller, 2011. "A Comprehensive Evaluation of Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2011-15, Henley Business School, University of Reading.
    30. Bernard Carole & Le Courtois Olivier, 2012. "Asset Risk Management of Participating Contracts," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 6(2), pages 1-23, June.
    31. Pézier, Jacques & Scheller, Johanna, 2013. "Best portfolio insurance for long-term investment strategies in realistic conditions," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 263-274.
    32. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.
    33. Lan-chih Ho & John Cadle & Michael Theobald, 2011. "An analysis of risk-based asset allocation and portfolio insurance strategies," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 247-267, February.
    34. M. Schyns & Y. Crama & G. Hübner, 2010. "Optimal selection of a portfolio of options under Value-at-Risk constraints: a scenario approach," Annals of Operations Research, Springer, vol. 181(1), pages 683-708, December.
    35. Hubert Dichtl & Wolfgang Drobetz & Martin Wambach, 2017. "A bootstrap-based comparison of portfolio insurance strategies," The European Journal of Finance, Taylor & Francis Journals, vol. 23(1), pages 31-59, January.

  44. M. Prigent & M. De Palma, 2003. "Optimal portfolio positioning," THEMA Working Papers 2003-24, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

    Cited by:

    1. André de Palma & Jean-Luc Prigent, 2009. "Standardized versus customized portfolio: a compensating variation approach," Post-Print hal-03679717, HAL.
    2. Pablo Castañeda, 2007. "Long Term Risk Assessment in a Defined Contribution Pension System," Working Papers 20, Superintendencia de Pensiones, revised Oct 2007.

  45. Philippe Bertrand & Jean-Luc Prigent, 2003. "Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic," Post-Print hal-01833118, HAL.

    Cited by:

    1. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    2. Roland Gillet & Isabelle Nagot & Ariane Szafarz, 2006. "Stratégies d'investissement en actions et fonds à capital garanti," Working Papers CEB 06-008.RS, ULB -- Universite Libre de Bruxelles.
    3. Weng, Chengguo, 2013. "Constant proportion portfolio insurance under a regime switching exponential Lévy process," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 508-521.
    4. de Palma, André & Prigent, Jean-Luc, 2008. "Utilitarianism and fairness in portfolio positioning," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1648-1660, August.
    5. Bahaji, Hamza, 2014. "Equity portfolio insurance against a benchmark: Setting, replication and optimality," Economic Modelling, Elsevier, vol. 40(C), pages 382-391.
    6. Dupret, Jean-Loup & Hainaut, Donatien, 2021. "Portfolio insurance under rough volatility and Volterra processes," LIDAM Discussion Papers ISBA 2021026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. João Carvalho & João Beleza Sousa & Raquel M. Gaspar, 2019. "On Path–dependency ofConstant Proportion Portfolio Insurance strategies," Working Papers REM 2019/94, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    8. Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
    9. Philippe Bertrand & Jean-Luc Prigent, 2011. "Omega performance measure and portfolio insurance," Post-Print hal-01445954, HAL.
    10. Farid MKAOUAR & Jean-luc PRIGENT, 2014. "Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs," Working Papers 2014-303, Department of Research, Ipag Business School.
    11. Xavier Warin, 2016. "The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach," Papers 1611.04877, arXiv.org.
    12. Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Post-Print hal-00867667, HAL.
    13. Bertrand, Philippe & Prigent, Jean-luc, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," European Journal of Operational Research, Elsevier, vol. 277(1), pages 333-350.
    14. Branger, Nicole & Mahayni, Antje & Schneider, Judith C., 2010. "On the optimal design of insurance contracts with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 485-492, June.
    15. Ben Ameur, H. & Prigent, J.L., 2014. "Portfolio insurance: Gap risk under conditional multiples," European Journal of Operational Research, Elsevier, vol. 236(1), pages 238-253.
    16. Jacques Pézier & Johanna Scheller, 2011. "A Comprehensive Evaluation of Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2011-15, Henley Business School, University of Reading.
    17. Pézier, Jacques & Scheller, Johanna, 2013. "Best portfolio insurance for long-term investment strategies in realistic conditions," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 263-274.
    18. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.
    19. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.
    20. Christian Hertrich, 2013. "Asset Allocation Considerations for Pension Insurance Funds," Springer Books, Springer, edition 127, number 978-3-658-02167-2, September.

  46. Philippe Bertrand & Jean-Luc Prigent, 2002. "Portfolio Insurance: The Extreme Value Theory of the Cppi Method," Post-Print hal-01833122, HAL.

    Cited by:

    1. João Carvalho & João Beleza Sousa & Raquel M. Gaspar, 2019. "On Path–dependency ofConstant Proportion Portfolio Insurance strategies," Working Papers REM 2019/94, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    2. Rudi Zagst & Julia Kraus, 2011. "Stochastic dominance of portfolio insurance strategies," Annals of Operations Research, Springer, vol. 185(1), pages 75-103, May.

  47. J.L. Prigent & O. Scaillet, 2000. "Weak Convergence of Hedging Strategies of Contingent Claims," THEMA Working Papers 2000-50, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

    Cited by:

    1. Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2014. "Quadratic hedging schemes for non-Gaussian GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 13-32.
    2. Alexandre Adam & Hamza Cherrat & Mohamed Houkari & Jean-Paul Laurent & Jean-Luc Prigent, 2022. "On the risk management of demand deposits: quadratic hedging of interest rate margins," Post-Print hal-03679403, HAL.
    3. Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
    4. Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2015. "Non-Gaussian GARCH option pricing models and their diffusion limits," European Journal of Operational Research, Elsevier, vol. 247(3), pages 820-830.
    5. Maciej Augustyniak & Alexandru Badescu, 2021. "On the computation of hedging strategies in affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 710-735, May.

  48. P. Bertrand & J.L. Prigent, 2000. "Portfolio Insurance : The extreme Value of the CCPI Method," THEMA Working Papers 2000-49, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

    Cited by:

    1. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    2. Naceur Naguez, 2018. "Dynamic portfolio insurance strategies: risk management under Johnson distributions," Annals of Operations Research, Springer, vol. 262(2), pages 605-629, March.
    3. Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009. "A Risk Management Approach for Portfolio Insurance Strategies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00389789, HAL.
    4. Naceur Naguez & Jean-Luc Prigent, 2014. "Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions," Working Papers 2014-329, Department of Research, Ipag Business School.
    5. João Carvalho & João Beleza Sousa & Raquel M. Gaspar, 2019. "On Path–dependency ofConstant Proportion Portfolio Insurance strategies," Working Papers REM 2019/94, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    6. Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
    7. Philippe Bertrand & Jean-Luc Prigent, 2011. "Omega performance measure and portfolio insurance," Post-Print hal-01445954, HAL.
    8. Farid MKAOUAR & Jean-luc PRIGENT, 2014. "Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs," Working Papers 2014-303, Department of Research, Ipag Business School.
    9. Louis Paulot & Xavier Lacroze, 2009. "One-Dimensional Pricing of CPPI," Papers 0905.2926, arXiv.org, revised Feb 2010.
    10. Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Post-Print hal-00867667, HAL.
    11. Ben Ameur, H. & Prigent, J.L., 2014. "Portfolio insurance: Gap risk under conditional multiples," European Journal of Operational Research, Elsevier, vol. 236(1), pages 238-253.
    12. Louis Paulot & Xavier Lacroze, 2009. "Efficient Pricing of CPPI using Markov Operators," Papers 0901.1218, arXiv.org.
    13. Jacques Pézier & Johanna Scheller, 2011. "A Comprehensive Evaluation of Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2011-15, Henley Business School, University of Reading.
    14. Lan-chih Ho & John Cadle & Michael Theobald, 2011. "An analysis of risk-based asset allocation and portfolio insurance strategies," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 247-267, February.

  49. Philippe Bertrand & Jean-Luc Prigent & Raphael Sobotka, 2000. "Optimisation de portefeuille sous contrainte de variance de la tracking-error," Post-Print hal-01833150, HAL.

    Cited by:

    1. Michael Maxwell & Michael Daly & Daniel Thomson & Gary van Vuuren, 2018. "Optimizing tracking error-constrained portfolios," Applied Economics, Taylor & Francis Journals, vol. 50(54), pages 5846-5858, November.

  50. Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 2000. "An Empirical Investigation in Credit Spread Indices," Working Papers 2000-59, Center for Research in Economics and Statistics.

    Cited by:

    1. Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlögl, 2007. "A Markovian Defaultable Term Structure Model With State Dependent Volatilities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 155-202.
    2. Kris Jacobs & Xiaofei Li, 2008. "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," Management Science, INFORMS, vol. 54(6), pages 1176-1188, June.
    3. Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2005.
    4. Roger WALDER, 2002. "Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures," FAME Research Paper Series rp56, International Center for Financial Asset Management and Engineering.

  51. Bertrand, P. & lesne, J.-P. & Prigent, J.-L., 2000. "Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives," G.R.E.Q.A.M. 00a03, Universite Aix-Marseille III.

    Cited by:

    1. N. Naguez & J. L. Prigent, 2017. "Optimal portfolio positioning within generalized Johnson distributions," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1037-1055, July.
    2. Philippe Bertrand & Jean-Luc Prigent, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Post-Print hal-01833070, HAL.
    3. Rania HENTATI & Jean-Luc PRIGENT, 2010. "Structured Portfolio Analysis under SharpeOmega Ratio," EcoMod2010 259600073, EcoMod.
    4. Hentati-Kaffel, R. & Prigent, J.-L., 2016. "Optimal positioning in financial derivatives under mixture distributions," Economic Modelling, Elsevier, vol. 52(PA), pages 115-124.
    5. Philippe Bertrand & Jean-Luc Prigent, 2011. "Omega performance measure and portfolio insurance," Post-Print hal-01445954, HAL.
    6. Ameur, H. Ben & Prigent, J.L., 2013. "Optimal portfolio positioning under ambiguity," Economic Modelling, Elsevier, vol. 34(C), pages 89-97.

  52. Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 1999. "An Autoregressive Conditional Binomial Option Pricing Model," Working Papers 99-65, Center for Research in Economics and Statistics.

    Cited by:

    1. J.L. Prigent & O. Scaillet, 2000. "Weak Convergence of Hedging Strategies of Contingent Claims," THEMA Working Papers 2000-50, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    2. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society.
    3. Marcelo Fernandes & Joachim Grammig, 2000. "Non-Parametric Specification Tests For Conditional Duration Models," Computing in Economics and Finance 2000 40, Society for Computational Economics.
    4. GIOT, Pierre, 2000. "Intraday value-at-risk," LIDAM Discussion Papers CORE 2000045, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Hujer, Reinhard & Vuletic, Sandra, 2007. "Econometric analysis of financial trade processes by discrete mixture duration models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 635-667, February.
    6. Pipat Wongsaart & Jiti Gao, 2011. "Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model," Monash Econometrics and Business Statistics Working Papers 18/11, Monash University, Department of Econometrics and Business Statistics.
    7. Damiano Brigo & Francesco Rapisarda & Abir Sridi, 2013. "The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles," Papers 1302.7010, arXiv.org, revised Sep 2014.
    8. J.L. Prigent & O. Renault & O. Scaillet., 1999. "Option pricing with discrete rebalancing," THEMA Working Papers 99-41, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    9. Fernandes, Marcelo & Grammig, Joachim, 2002. "A family of autoregressive conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 440, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    10. Pierre Giot, 2005. "Market risk models for intraday data," The European Journal of Finance, Taylor & Francis Journals, vol. 11(4), pages 309-324.

  53. J.L. Prigent & O. Renault & O. Scaillet., 1999. "An autoregressive conditional binomial option pricing model under stochastic rates," THEMA Working Papers 99-40, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

    Cited by:

    1. Hujer, Reinhard & Vuletic, Sandra, 2007. "Econometric analysis of financial trade processes by discrete mixture duration models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 635-667, February.
    2. Pierre Giot, 2005. "Market risk models for intraday data," The European Journal of Finance, Taylor & Francis Journals, vol. 11(4), pages 309-324.

  54. Jean-Luc Prigent, 1999. "Incomplete markets: convergence of options values under the minimal martingale measure," Post-Print hal-03679524, HAL.

    Cited by:

    1. J.L. Prigent & O. Renault & O. Scaillet., 1999. "Option pricing with discrete rebalancing," THEMA Working Papers 99-41, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    2. Hentati-Kaffel, R. & Prigent, J.-L., 2016. "Optimal positioning in financial derivatives under mixture distributions," Economic Modelling, Elsevier, vol. 52(PA), pages 115-124.
    3. Alexandre Adam & Hamza Cherrat & Mohamed Houkari & Jean-Paul Laurent & Jean-Luc Prigent, 2022. "On the risk management of demand deposits: quadratic hedging of interest rate margins," Post-Print hal-03679403, HAL.

  55. Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 1999. "Option Pricing with Discrete Rebalancing," Working Papers 99-61, Center for Research in Economics and Statistics.

    Cited by:

    1. J.L. Prigent & O. Scaillet, 2000. "Weak Convergence of Hedging Strategies of Contingent Claims," THEMA Working Papers 2000-50, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    2. Olivier Renault & Jean-Luc Prigent & Olivier Scaillet, 2000. "An Autoregressive Conditional Binomial Option Pricing Model," FMG Discussion Papers dp364, Financial Markets Group.
    3. Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2020. "Optimal hedging of a perpetual American put with a single trade," Papers 2003.06249, arXiv.org, revised Sep 2020.

  56. J.L. Prigent, 1999. "Optimality of portfolio insurance The extended CPPI method," THEMA Working Papers 99-48, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

    Cited by:

    1. P. Bertrand & J.L. Prigent, 2000. "Portfolio Insurance : The extreme Value of the CCPI Method," THEMA Working Papers 2000-49, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

  57. Jean-Philippe Lesne & Jean-Luc Prigent & Olivier Scaillet, 1998. "Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates," Working Papers 98-51, Center for Research in Economics and Statistics.

    Cited by:

    1. J.L. Prigent & O. Scaillet, 2000. "Weak Convergence of Hedging Strategies of Contingent Claims," THEMA Working Papers 2000-50, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    2. Beliaeva, Natalia & Nawalkha, Sanjay, 2012. "Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 151-163.
    3. Olivier Renault & Jean-Luc Prigent & Olivier Scaillet, 2000. "An Autoregressive Conditional Binomial Option Pricing Model," FMG Discussion Papers dp364, Financial Markets Group.
    4. Markus Leippold & Zvi Wiener, 2005. "Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models," Review of Derivatives Research, Springer, vol. 7(3), pages 213-239, October.
    5. J.L. Prigent & O. Renault & O. Scaillet., 1999. "Option pricing with discrete rebalancing," THEMA Working Papers 99-41, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    6. Leitner, Johannes, 2000. "Convergence of Arbitrage-free Discrete Time Markovian Market Models," CoFE Discussion Papers 00/07, University of Konstanz, Center of Finance and Econometrics (CoFE).
    7. H'el`ene Halconruy, 2021. "The insider problem in the trinomial model: a discrete-time jump process approach," Papers 2106.15208, arXiv.org, revised Sep 2023.
    8. Patrick Jaillet & Ehud I. Ronn & Stathis Tompaidis, 2004. "Valuation of Commodity-Based Swing Options," Management Science, INFORMS, vol. 50(7), pages 909-921, July.

  58. J. L. Prigent, 1997. "Option pricing with a general marked point process," THEMA Working Papers 97-36, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

    Cited by:

    1. Wen Cao & Clifford Hurvich & Philippe Soulier, 2012. "Drift in Transaction-Level Asset Price Models," Working Papers hal-00756372, HAL.
    2. P. Bertrand & J.L. Prigent, 2000. "Portfolio Insurance : The extreme Value of the CCPI Method," THEMA Working Papers 2000-49, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    3. Peng Shi & Glenn M. Fung & Daniel Dickinson, 2022. "Assessing hail risk for property insurers with a dependent marked point process," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(1), pages 302-328, January.
    4. Hurvich, Clifford & Wang, Yi, 2009. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 12575, University Library of Munich, Germany.
    5. Farid MKAOUAR & Jean-luc PRIGENT, 2014. "Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs," Working Papers 2014-303, Department of Research, Ipag Business School.
    6. Mauricio Junca & Rafael Serrano, 2014. "Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics," Papers 1411.1103, arXiv.org, revised Sep 2015.
    7. Alexander Aue & Lajos Horváth & Clifford M. Hurvich & Philippe Soulier, 2014. "Limit Laws in Transaction-Level Asset Price Models," Post-Print hal-00583372, HAL.
    8. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    9. Heidar Eyjolfsson & Dag Tjøstheim, 2018. "Self-exciting jump processes with applications to energy markets," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(2), pages 373-393, April.
    10. Fadugba, Sunday Emmanuel, 2020. "Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).

  59. Mondher Bellalah & Jean-Luc Prigent, 1997. "A note on the valuation of an exotic timing option," Post-Print hal-03679521, HAL.

    Cited by:

    1. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

  60. J. L. Prigent, 1997. "Incomplete markets : Convergence of options values under the minimal martingale measure. The multidimensional case," THEMA Working Papers 97-35, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

    Cited by:

    1. J.L. Prigent & O. Renault & O. Scaillet., 1999. "Option pricing with discrete rebalancing," THEMA Working Papers 99-41, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    2. Hentati-Kaffel, R. & Prigent, J.-L., 2016. "Optimal positioning in financial derivatives under mixture distributions," Economic Modelling, Elsevier, vol. 52(PA), pages 115-124.
    3. Colino, Jesús P., 2008. "Weak convergence in credit risk," DES - Working Papers. Statistics and Econometrics. WS ws085518, Universidad Carlos III de Madrid. Departamento de Estadística.

  61. F. Magnien & J.-L. Prigent & A. Trannoy, 1996. "Implied risk neutral probability measures on options markets : The L2 approach," THEMA Working Papers 96-30, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

    Cited by:

    1. Clement, E. & Gourieroux, C. & Monfort, A., 2000. "Econometric specification of the risk neutral valuation model," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 117-143.

  62. J.-Ph. Lesne & J-L. Prigent, 1996. "A general subordinated stochastic process for the derivatives pricing," THEMA Working Papers 96-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

    Cited by:

    1. Hentati-Kaffel, R. & Prigent, J.-L., 2016. "Optimal positioning in financial derivatives under mixture distributions," Economic Modelling, Elsevier, vol. 52(PA), pages 115-124.
    2. Rania Hentati & Jean-Luc Prigent, 2011. "On the maximization of financial performance measures within mixture models," Post-Print hal-00608960, HAL.

Articles

  1. Haifa Boussada & Jean-Luc Prigent & Ibrahima Soumare, 2023. "On the sovereign debt crisis: sovereign credit default swaps and their interaction with stock market indices," Applied Economics, Taylor & Francis Journals, vol. 55(1), pages 20-42, January.

    Cited by:

    1. Theodoros Bratis & Nikiforos T. Laopodis & Georgios P. Kouretas, 2023. "CDS and equity markets’ volatility linkages: lessons from the EMU crisis," Review of Quantitative Finance and Accounting, Springer, vol. 60(3), pages 1259-1281, April.

  2. Hachicha, Néjib & Ben Amar, Amine & Ben Slimane, Ikrame & Bellalah, Makram & Prigent, Jean-Luc, 2022. "Dynamic connectedness and optimal hedging strategy among commodities and financial indices," International Review of Financial Analysis, Elsevier, vol. 83(C).
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  3. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent, 2019. "Mixed-asset portfolio allocation under mean-reverting asset returns," Annals of Operations Research, Springer, vol. 281(1), pages 65-98, October.
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  4. Hu, Yingyi & Prigent, Jean-Luc, 2019. "Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 80(C), pages 11-22.
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  5. Bertrand, Philippe & Prigent, Jean-luc, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," European Journal of Operational Research, Elsevier, vol. 277(1), pages 333-350.
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  6. Hatem Ben Ameur & Ephraim Clark & André Palma & Jean-Luc Prigent, 2018. "Preface: Risk management decisions and wealth management in Financial Economics," Annals of Operations Research, Springer, vol. 262(2), pages 239-240, March.
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  7. Ben Ameur, H. & Prigent, J.-L., 2018. "Risk management of time varying floors for dynamic portfolio insurance," European Journal of Operational Research, Elsevier, vol. 269(1), pages 363-381.
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  8. Abdallah Ben Saida & Jean-luc Prigent, 2018. "On the robustness of portfolio allocation under copula misspecification," Annals of Operations Research, Springer, vol. 262(2), pages 631-652, March.
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  9. Mkaouar, Farid & Prigent, Jean-Luc & Abid, Ilyes, 2017. "Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds," Economic Modelling, Elsevier, vol. 67(C), pages 228-247.
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  10. N. Naguez & J. L. Prigent, 2017. "Optimal portfolio positioning within generalized Johnson distributions," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1037-1055, July.
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  11. Bertrand, Philippe & Prigent, Jean-luc, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Economic Modelling, Elsevier, vol. 52(PA), pages 278-291.
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  12. Hentati-Kaffel, R. & Prigent, J.-L., 2016. "Optimal positioning in financial derivatives under mixture distributions," Economic Modelling, Elsevier, vol. 52(PA), pages 115-124.
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  13. Philippe Bertrand & Jean-Luc Prigent, 2015. "French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing," Bankers, Markets & Investors, ESKA Publishing, issue 135, pages 4-18, March-Apr.
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  14. Philippe Bertrand & Jean-Luc Prigent, 2015. "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Finance, Presses universitaires de Grenoble, vol. 36(2), pages 67-105.
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  15. Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean-Luc Prigent, 2014. "Corporate Governance and Market Microstructure: Evidence on Institutional Investors in the Tunisian Stock Exchange," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(2), pages 58-71, April.

    Cited by:

    1. Jia Jia Hing & Yee Peng Chow, 2022. "Influence of institutional investor heterogeneity on stock liquidity and its underlying liquidity channels," International Journal of Business and Emerging Markets, Inderscience Enterprises Ltd, vol. 14(3), pages 252-278.
    2. Otuya Sunday & Ofeimun Godwin, 2017. "Effects of Board Globalizing on Financial Performance of Banks in Nigeria," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 7(4), pages 1-10, October.

  16. Ben Ameur, H. & Prigent, J.L., 2014. "Portfolio insurance: Gap risk under conditional multiples," European Journal of Operational Research, Elsevier, vol. 236(1), pages 238-253.
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  17. Letifi, N. & Prigent, J.-L., 2014. "On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options," Economic Modelling, Elsevier, vol. 40(C), pages 410-422.
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  18. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
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  19. Ameur, H. Ben & Prigent, J.L., 2013. "Optimal portfolio positioning under ambiguity," Economic Modelling, Elsevier, vol. 34(C), pages 89-97.
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  20. Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean-Luc Prigent, 2011. "Ownership structure and stock market liquidity: evidence from Tunisia," International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd, vol. 3(1), pages 91-109.
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  21. Hentati Rania & Prigent Jean-Luc, 2011. "On the maximization of financial performance measures within mixture models," Statistics & Risk Modeling, De Gruyter, vol. 28(1), pages 63-80, March.
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  22. Bertrand, Philippe & Prigent, Jean-luc, 2011. "Omega performance measure and portfolio insurance," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
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  23. Philippe Bertrand & Jean-Luc Prigent, 2010. "A Note on Risk Aversion, Prudence and Portfolio Insurance," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 35(1), pages 81-92, June.
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  24. Fabrice Barthélémy & Jean-Luc Prigent, 2009. "Optimal Time to Sell in Real Estate Portfolio Management," The Journal of Real Estate Finance and Economics, Springer, vol. 38(1), pages 59-87, January.
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  25. André Palma & Jean-Luc Prigent, 2009. "Standardized versus customized portfolio: a compensating variation approach," Annals of Operations Research, Springer, vol. 165(1), pages 161-185, January.
    See citations under working paper version above.
  26. de Palma, André & Prigent, Jean-Luc, 2008. "Utilitarianism and fairness in portfolio positioning," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1648-1660, August.
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  27. Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2004. "Option pricing with discrete rebalancing," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 133-161, January.
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  28. J. L. Lesne & J. L. Prigent, 2001. "A General Subordinated Stochastic Process For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 121-146.
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  29. O. Scaillet & J.-L. Prigent & J.-P. Lesne, 2000. "Convergence of discrete time option pricing models under stochastic interest rates," Finance and Stochastics, Springer, vol. 4(1), pages 81-93.
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  30. Mondher Bellalah & Jean‐Luc Prigent, 1997. "A note on the valuation of an exotic timing option," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(4), pages 483-487, June.
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Chapters

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Books

  1. Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel (ed.), 2008. "Risk Management and Value:Valuation and Asset Pricing," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6574.

    Cited by:

    1. Chaima Kouba & Anis Ben Amar & Maali Kachouri, 2024. "Earnings Management and Corporate Social Responsibility: Moderating Effect of Managerial Entrenchment Evidence from France," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 60-86.

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