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Philippe BERTRAND

Personal Details

First Name:Philippe
Middle Name:
Last Name:Bertrand
Suffix:
RePEc Short-ID:pbe944
[This author has chosen not to make the email address public]

Affiliation

(50%) Centre d'Études et de Recherche en Gestion (CERGAM)
Institut d'Administration des Entreprises (IAE)
Aix-Marseille Université

Aix-en-Provence/Marseille, France
http://www.cergam.org/
RePEc:edi:caam3fr (more details at EDIRC)

(50%) École d'Économie d'Aix-Marseille
Aix-Marseille Université

Aix-en-Provence/Marseille, France
http://www.amse-aixmarseille.fr/
RePEc:edi:amseafr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Le Quy Duong & Philippe Bertrand, 2023. "Overreaction and momentum in the Vietnamese stock market," Post-Print hal-03778049, HAL.
  2. Philippe Bertrand & Jean-Luc Prigent, 2022. "Performance Participation Strategies: OBPP versus CPPP," Post-Print hal-03672691, HAL.
  3. Le Quy Duong & Philippe Bertrand, 2022. "The size effect and default risk: Evidence from the Vietnamese stock market," Post-Print hal-03513362, HAL.
  4. Philippe Bertrand, 2022. "Black-Scholes Approximation of Warrant Prices: Slight Return in a Low Interest Rate Environment," Post-Print hal-03672714, HAL.
  5. Rudi Zagst & Julia Kraus & Philippe Bertrand, 2019. "Option-Based performance participation," Post-Print hal-02142054, HAL.
  6. Philippe Bertrand & Jean-Luc Prigent, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," Post-Print hal-02492961, HAL.
  7. Philippe Bertrand & Jean-Luc Prigent, 2018. "Residential Real Estate in a Mixed-Asset Portfolio," Post-Print hal-01955228, HAL.
  8. Philippe Bertrand & Vincent Lapointe, 2018. "Risk-based strategies: the social responsibility of investment universes does matter," Post-Print hal-01457390, HAL.
  9. 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.
  10. Philippe Bertrand & Jean-Luc Prigent, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Post-Print hal-01833070, HAL.
  11. Philippe Bertrand & Vincent Lapointe, 2015. "How performance of risk-based strategies is modified by socially responsible investment universe?," Post-Print hal-01833066, HAL.
  12. 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.
  13. Philippe Bertrand & Jean-Luc Prigent, 2015. "French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing," Post-Print hal-01833084, HAL.
  14. Philippe Bertrand & Alexis Guyot & Vincent Lapointe, 2014. "Variations in Liquidity and the Size of Investor Base Associated with Corporate Social Performance Ratings," Post-Print hal-01833087, HAL.
  15. Philippe Bertrand & Alexis Guyot & Vincent Lapointe, 2014. "Raising Companies' Profile with Corporate Social Performance: Variation in Investor recognition and Liquidity Linked to Vigeo CSP Rating Disclosures," Post-Print hal-00995406, HAL.
  16. Philippe Bertrand & Jean-Luc Prigent, 2013. "Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies," Post-Print hal-01833059, HAL.
  17. Julia Kraus & Philippe Bertrand & Rudi Zagst, 2013. "Theory of Performance Participation Strategies," Papers 1302.5339, arXiv.org.
  18. Philippe Bertrand, 2012. "Régime de retraite complémentaire Préfon : les fonctionnaires ont-ils vraiment intérêt à cotiser ?," Post-Print hal-01833089, HAL.
  19. Philippe Bertrand & Jean-Luc Prigent, 2011. "Omega performance measure and portfolio insurance," Post-Print hal-01445954, HAL.
  20. Philippe Bertrand, 2010. "Another Look at Portfolio Optimization under Tracking-Error Constraints," Post-Print hal-01833085, HAL.
  21. Philippe Bertrand & Protopopescu Protopopescu Costin, 2010. "The Statistics of The Information Ratio," Post-Print hal-01833090, HAL.
  22. Philippe Bertrand & Jean-Luc Prigent, 2010. "A Note on Risk Aversion, Prudence and Portfolio Insurance," Post-Print hal-01833054, HAL.
  23. Philippe Bertrand, 2009. "Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints," Post-Print hal-01833079, HAL.
  24. Philippe Bertrand & Costin Protopopescu, 2008. "The Sensitivity of the Asymptotic Variance of Performance Measures with Respect to Skewness and Kurtosis," Post-Print hal-01833104, HAL.
  25. Philippe Bertrand, 2008. "Risk Attribution and Portfolio Optimizations Under Tracking-Error Constraints," Post-Print hal-01833102, HAL.
  26. Philippe Bertrand & Pierre-Xavier Meschi, 2006. "Performance des partenaires locaux dans les coentreprises internationales en Asie: Valorisation boursière et application de la théorie des coûts de transaction," Post-Print hal-01833075, HAL.
  27. Philippe Bertrand & Jean-Luc Prigent, 2005. "Portfolio Insurance Strategies: OBPI versus CPPI," Post-Print hal-01833077, HAL.
  28. Philippe Bertrand, 2005. "A Note on Portfolio Performance Attribution: Taking Risk into Account," Post-Print hal-01833107, HAL.
  29. Philippe Bertrand & Patrick Rousseau, 2005. "L'attribution de performance en gestion de portefeuille," Post-Print hal-01833071, HAL.
  30. Philippe Bertrand & Pierre-Xavier Meschi, 2005. "A Transactional Analysis of Chinese Partners' Performance in International Joint Ventures," Post-Print hal-01833042, HAL.
  31. Philippe Bertrand & Jean-Luc Prigent, 2003. "Evaluation Of Financial Structured Products: An Application Of The Extreme Value Theory," Post-Print hal-01833069, HAL.
  32. 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.
  33. Philippe Bertrand & Jean-Luc Prigent, 2002. "Portfolio Insurance: The Extreme Value Theory of the Cppi Method," Post-Print hal-01833122, HAL.
  34. 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.
  35. Philippe Bertrand & Jean-Luc Prigent & Raphael Sobotka, 2000. "Optimisation de portefeuille sous contrainte de variance de la tracking-error," Post-Print hal-01833150, HAL.
  36. 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.
  37. Philippe Bertrand, 1993. "Obligation à réinvestissement optionnel du coupon : prix à l'émission et évaluation de la position en chaque instant," Post-Print hal-01833073, HAL.
  38. Bertrand, P. & Kast & R. & Lapied, A., 1990. "Evaluation Des Titres Hypothecaires," G.R.E.Q.A.M. 90b04, Universite Aix-Marseille III.
    repec:hal:journl:hal-03679694 is not listed on IDEAS
    repec:hal:journl:hal-03646980 is not listed on IDEAS

Articles

  1. Philippe Bertrand & Jean-Luc Prigent, 2022. "Performance Participation Strategies: OBPP versus CPPP," Finance, Presses universitaires de Grenoble, vol. 43(1), pages 123-150.
  2. Zagst, Rudi & Kraus, Julia & Bertrand, Philippe, 2019. "Option-Based performance participation," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 44-61.
  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.
  4. 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.
  5. Philippe Bertrand & Vincent Lapointe, 2018. "Risk-based strategies: the social responsibility of investment universes does matter," Annals of Operations Research, Springer, vol. 262(2), pages 413-429, March.
  6. Bertrand, Philippe & Prigent, Jean-luc, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Economic Modelling, Elsevier, vol. 52(PA), pages 278-291.
  7. 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.
  8. 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.
  9. Bertrand, Philippe & Lapointe, Vincent, 2015. "How performance of risk-based strategies is modified by socially responsible investment universe?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 175-190.
  10. Philippe Bertrand & Alexis Guyot & Vincent Lapointe, 2014. "Raising Companies’ Profile with Corporate Social Performance," Bankers, Markets & Investors, ESKA Publishing, issue 130, pages 41-54, May-June.
  11. Philippe Bertrand & Jean-Luc Prigent, 2013. "Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies," Finance, Presses universitaires de Grenoble, vol. 34(1), pages 73-116.
  12. Bertrand, Philippe & Prigent, Jean-luc, 2011. "Omega performance measure and portfolio insurance," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
  13. 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.
  14. Philippe Bertrand, 2009. "Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints," Journal of Asset Management, Palgrave Macmillan, vol. 10(2), pages 75-88, June.
  15. Philippe Bertrand & Patrick Rousseau, 2005. "L'attribution de performance en gestion de portefeuille," Revue française de gestion, Lavoisier, vol. 154(1), pages 59-73.
  16. Philippe Bertrand, 2005. "A note on portfolio performance attribution: Taking risk into account," Journal of Asset Management, Palgrave Macmillan, vol. 5(6), pages 428-437, April.
  17. Philippe Bertrand & Pierre-Xavier Meschi, 2005. "A Transactional Analysis of Chinese Partners' Performance in International Joint Ventures," Chinese Economy, Taylor & Francis Journals, vol. 38(2), pages 16-35, March.

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. 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. 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.
    2. 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. Philippe Bertrand & Vincent Lapointe, 2018. "Risk-based strategies: the social responsibility of investment universes does matter," Post-Print hal-01457390, HAL.

    Cited by:

    1. Gallucci, Carmen & Santulli, Rosalia & Lagasio, Valentina, 2022. "The conceptualization of environmental, social and governance risks in portfolio studies A systematic literature review," Socio-Economic Planning Sciences, Elsevier, vol. 84(C).
    2. Prayut Jain & Shashi Jain, 2019. "Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification," Risks, MDPI, vol. 7(3), pages 1-27, July.
    3. David Ardia & Guido Bolliger & Kris Boudt & Jean-Philippe Gagnon-Fleury, 2017. "The impact of covariance misspecification in risk-based portfolios," Annals of Operations Research, Springer, vol. 254(1), pages 1-16, July.
    4. K. Liagkouras & K. Metaxiotis & G. Tsihrintzis, 2022. "Incorporating environmental and social considerations into the portfolio optimization process," Annals of Operations Research, Springer, vol. 316(2), pages 1493-1518, September.
    5. Rubesam, Alexandre, 2022. "Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market," Emerging Markets Review, Elsevier, vol. 51(PB).
    6. Chinnadurai Kathiravan & Murugesan Selvam & Sankaran Venkateswar & S. Balakrishnan, 2021. "Investor behavior and weather factors: evidences from Asian region," Annals of Operations Research, Springer, vol. 299(1), pages 349-373, April.

  3. 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.

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

    Cited by:

    1. 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.
    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.

  5. Philippe Bertrand & Vincent Lapointe, 2015. "How performance of risk-based strategies is modified by socially responsible investment universe?," Post-Print hal-01833066, HAL.

    Cited by:

    1. Boudt, Kris & Raza, Muhammad Wajid & Wauters, Marjan, 2019. "Evaluating the Shariah-compliance of equity portfolios: The weighting method matters," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 406-417.
    2. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2020. "An optimization–diversification approach to portfolio selection," Journal of Global Optimization, Springer, vol. 76(2), pages 245-265, February.
    3. Chikashi Tsuji, 2016. "Are Dividend Yield and ROE Smart Portfolio Fundamentals? The Recent Case of Japan," Business and Management Horizons, Macrothink Institute, vol. 4(1), pages 10-21, June.
    4. Singh, Amanjot, 2020. "COVID-19 and safer investment bets," Finance Research Letters, Elsevier, vol. 36(C).
    5. Bienert, Sven, . "METASTUDIE :NACHHALTIGKEIT CONTRA RENDITE? Die Implikationen nachhaltigen Wirtschaftens für offene Immobilienfonds am Beispiel der Deka Immobilien Investment GmbH und der WestInvest GmbH," Beiträge zur Immobilienwirtschaft, University of Regensburg, Department of Economics, number 14, August.
    6. Philippe Bertrand & Vincent Lapointe, 2018. "Risk-based strategies: the social responsibility of investment universes does matter," Annals of Operations Research, Springer, vol. 262(2), pages 413-429, March.
    7. Iván Arribas & María Dolores Espinós-Vañó & Fernando García & Paula Beatriz Morales-Bañuelos, 2019. "The Inclusion of Socially Irresponsible Companies in Sustainable Stock Indices," Sustainability, MDPI, vol. 11(7), pages 1-14, April.
    8. Fabio Pizzutilo, 2017. "Measuring the under-diversification of socially responsible investments," Applied Economics Letters, Taylor & Francis Journals, vol. 24(14), pages 1005-1018, August.
    9. Justyna Przychodzen & Fernando Gómez-Bezares & Wojciech Przychodzen & Mikel Larreina, 2016. "ESG Issues among Fund Managers—Factors and Motives," Sustainability, MDPI, vol. 8(10), pages 1-19, October.
    10. Esparcia, Carlos & Diaz, Antonio & Alonso, Daniel, 2023. "How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study," Energy Economics, Elsevier, vol. 128(C).
    11. Raza , Muhammad Wajid & Ashraf, Dawood, 2018. "Does the Application of Smart Beta Strategies Enhance Portfolio Performance? The Case of Islamic Equity Investments," Working Papers 2018-1, The Islamic Research and Teaching Institute (IRTI).
    12. 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.
    13. Francesco Cesarone & Fabio Tardella, 2017. "Equal Risk Bounding is better than Risk Parity for portfolio selection," Journal of Global Optimization, Springer, vol. 68(2), pages 439-461, June.
    14. Sangki Lee & Insu Kim & Chung-hun Hong, 2019. "Who Values Corporate Social Responsibility in the Korean Stock Market?," Sustainability, MDPI, vol. 11(21), pages 1-14, October.
    15. Yue Qi & Xiaolin Li, 2020. "On Imposing ESG Constraints of Portfolio Selection for Sustainable Investment and Comparing the Efficient Frontiers in the Weight Space," SAGE Open, , vol. 10(4), pages 21582440209, December.

  6. 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.

  7. 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.

  8. Julia Kraus & Philippe Bertrand & Rudi Zagst, 2013. "Theory of Performance Participation Strategies," Papers 1302.5339, arXiv.org.

    Cited by:

    1. Bahaji, Hamza, 2014. "Equity portfolio insurance against a benchmark: Setting, replication and optimality," Economic Modelling, Elsevier, vol. 40(C), pages 382-391.

  9. Philippe Bertrand & Jean-Luc Prigent, 2011. "Omega performance measure and portfolio insurance," Post-Print hal-01445954, 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. 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.
    3. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    4. H. Ben Ameur & Jean-Luc Prigent, 2018. "Risk management of time varying floors for dynamic portfolio insurance," Post-Print hal-03679408, HAL.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. Naceur Naguez, 2018. "Dynamic portfolio insurance strategies: risk management under Johnson distributions," Annals of Operations Research, Springer, vol. 262(2), pages 605-629, March.
    10. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "Optimal strategies under Omega ratio," European Journal of Operational Research, Elsevier, vol. 275(2), pages 755-767.
    11. Sehgal, Ruchika & Sharma, Amita & Mansini, Renata, 2023. "Worst-case analysis of Omega-VaR ratio optimization model," Omega, Elsevier, vol. 114(C).
    12. Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Finance, Presses universitaires de Grenoble, vol. 34(2), pages 65-119.
    13. 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.
    14. 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.
    15. Eric Benhamou & Beatrice Guez & Nicolas Paris1, 2019. "Omega and Sharpe ratio," Papers 1911.10254, arXiv.org.
    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. 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.
    18. 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.
    19. Rania Hentati & Jean-Luc Prigent, 2012. "Structured portfolio analysis under SharpeOmega ratio," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00657327, HAL.
    20. 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.
    21. Xu Guo & Cuizhen Niu & Wing-Keung Wong, 2019. "Farinelli and Tibiletti ratio and stochastic dominance," Risk Management, Palgrave Macmillan, vol. 21(3), pages 201-213, September.
    22. 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.
    23. 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.
    24. Ko, Hyungjin & Son, Bumho & Lee, Jaewook, 2024. "Portfolio insurance strategy in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 67(PA).
    25. 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.
    26. 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.
    27. Guohui Guan & Lin He & Zongxia Liang & Litian Zhang, 2024. "Optimal VPPI strategy under Omega ratio with stochastic benchmark," Papers 2403.13388, arXiv.org.
    28. 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.
    29. 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.
    30. Hentati-Kaffel, Rania, 2016. "Structured products under generalized kappa ratio," Economic Modelling, Elsevier, vol. 58(C), pages 599-614.
    31. Raquel M. Gaspar, 2016. "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016 9381, EcoMod.
    32. Esparcia, Carlos & Diaz, Antonio & Alonso, Daniel, 2023. "How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study," Energy Economics, Elsevier, vol. 128(C).
    33. 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.
    34. 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.
    35. Tawil, Dima, 2018. "Risk-adjusted performance of portfolio insurance and investors’ preferences," Finance Research Letters, Elsevier, vol. 24(C), pages 10-18.
    36. 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.
    37. Yichun Chi & Jiakun Zheng & Shengchao Zhuang, 2022. "S-shaped narrow framing, skewness and the demand for insurance," Post-Print hal-04227435, HAL.
    38. 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.
    39. 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.
    40. 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.
    41. Andrey Leonidov & Ilya Tipunin & Ekaterina Serebryannikova, 2020. "On Evaluation of Risky Investment Projects. Investment Certainty Equivalence," Papers 2005.12173, arXiv.org.
    42. 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.
    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. 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.
    45. Christian Hertrich, 2013. "Asset Allocation Considerations for Pension Insurance Funds," Springer Books, Springer, edition 127, number 978-3-658-02167-2, December.
    46. 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.
    47. 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.

  10. Philippe Bertrand, 2010. "Another Look at Portfolio Optimization under Tracking-Error Constraints," Post-Print hal-01833085, 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.
    2. Riccardo Lucchetti & Mihaela Nicolau & Giulio Palomba & Luca Riccetti, 2022. "Reconciling TEV and VaR in Active Portfolio Management: A New Frontier," Working Papers 461, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    3. Paskalis Glabadanidis & Leon Zolotoy, 2013. "Benchmark replication portfolio strategies," Journal of Asset Management, Palgrave Macmillan, vol. 14(2), pages 95-110, April.
    4. Wade Gunning & Gary van Vuuren, 2019. "Exploring the drivers of tracking error constrained portfolio performance," Cogent Economics & Finance, Taylor & Francis Journals, vol. 7(1), pages 1684181-168, January.
    5. Gabriele Torri & Rosella Giacometti & Sandra Paterlini, 2024. "Penalized enhanced portfolio replication with asymmetric deviation measures," Annals of Operations Research, Springer, vol. 332(1), pages 481-531, January.
    6. du Sart, Colin F. & van Vuuren, Gary W., 2021. "Comparing the performance and composition of tracking error constrained and unconstrained portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 276-287.
    7. L. Theron & G. van Vuuren, 2020. "Exploring the Behaviour of Actively Managed, Maximally Diversified Portfolios," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 44(2), pages 49-72, August.

  11. 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. Marielle Brunette & Julien Jacob, 2019. "Risk aversion, prudence and temperance : an experiment in gain and loss," Working Papers hal-02114762, HAL.
    5. 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.
    6. 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.

  12. Philippe Bertrand, 2009. "Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints," Post-Print hal-01833079, 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.
    2. Eric Benhamou & Beatrice Guez, 2018. "Incremental Sharpe and other performance ratios," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 7(4), pages 1-2.
    3. Wade Gunning & Gary van Vuuren, 2019. "Exploring the drivers of tracking error constrained portfolio performance," Cogent Economics & Finance, Taylor & Francis Journals, vol. 7(1), pages 1684181-168, January.
    4. L. Theron & G. van Vuuren, 2020. "Exploring the Behaviour of Actively Managed, Maximally Diversified Portfolios," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 44(2), pages 49-72, August.
    5. Eric Benhamou & Beatrice Guez, 2021. "Computation of the marginal contribution of Sharpe ratio and other performance ratios," Working Papers hal-03189299, HAL.

  13. Philippe Bertrand & Costin Protopopescu, 2008. "The Sensitivity of the Asymptotic Variance of Performance Measures with Respect to Skewness and Kurtosis," Post-Print hal-01833104, HAL.

    Cited by:

    1. Lipton, Amy F. & Kish, Richard J., 2010. "Robust performance measures for high yield bond funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 332-340, August.

  14. Philippe Bertrand, 2008. "Risk Attribution and Portfolio Optimizations Under Tracking-Error Constraints," Post-Print hal-01833102, HAL.

    Cited by:

    1. Eric Benhamou & Beatrice Guez, 2018. "Incremental Sharpe and other performance ratios," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 7(4), pages 1-2.
    2. Philippe Bertrand, 2009. "Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints," Post-Print hal-01833079, HAL.
    3. Cousin, Areski & Jiao, Ying & Robert, Christian Y. & Zerbib, Olivier David, 2016. "Asset allocation strategies in the presence of liability constraints," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 327-338.

  15. Philippe Bertrand & Jean-Luc Prigent, 2005. "Portfolio Insurance Strategies: OBPI versus CPPI," Post-Print hal-01833077, 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. André de Palma & Jean-Luc Prigent, 2008. "Hedging global environment risks: An option based portfolio insurance," Post-Print hal-03679719, HAL.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Finance, Presses universitaires de Grenoble, vol. 34(2), pages 65-119.
    8. 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.
    9. 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.
    10. 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.
    11. Bahaji, Hamza, 2014. "Equity portfolio insurance against a benchmark: Setting, replication and optimality," Economic Modelling, Elsevier, vol. 40(C), pages 382-391.
    12. 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.
    13. Benjamin Hamidi & Emmanuel Jurczenko & Bertrand Maillet, 2009. "D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?," Post-Print halshs-00389773, HAL.
    14. 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.
    15. Zagst, Rudi & Kraus, Julia & Bertrand, Philippe, 2019. "Option-Based performance participation," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 44-61.
    16. Julia Kraus & Philippe Bertrand & Rudi Zagst, 2013. "Theory of Performance Participation Strategies," Papers 1302.5339, arXiv.org.
    17. Raquel M. Gaspar, 2016. "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016 9381, EcoMod.
    18. 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.
    19. 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.
    20. Jacques Pézier & Johanna Scheller, 2012. "Average Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2012-05, Henley Business School, University of Reading.
    21. Philippe Bertrand & Jean-Luc Prigent, 2011. "Omega performance measure and portfolio insurance," Post-Print hal-01445954, HAL.
    22. 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.
    23. 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.
    24. Tawil, Dima, 2018. "Risk-adjusted performance of portfolio insurance and investors’ preferences," Finance Research Letters, Elsevier, vol. 24(C), pages 10-18.
    25. Xavier Warin, 2016. "The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach," Papers 1611.04877, arXiv.org.
    26. 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.
    27. L. Di Persio & I. Oliva. K. Wallbaum, 2019. "Options on CPPI with guaranteed minimum equity exposure," Papers 1902.06505, arXiv.org.
    28. 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.
    29. Jun Sekine, 2012. "Long-term optimal portfolios with floor," Finance and Stochastics, Springer, vol. 16(3), pages 369-401, July.
    30. 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.
    31. 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.
    32. Rudi Zagst & Julia Kraus, 2011. "Stochastic dominance of portfolio insurance strategies," Annals of Operations Research, Springer, vol. 185(1), pages 75-103, May.
    33. 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.
    34. 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.
    35. 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.

  16. Philippe Bertrand, 2005. "A Note on Portfolio Performance Attribution: Taking Risk into Account," Post-Print hal-01833107, 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.
    2. Philippe Bertrand, 2009. "Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints," Post-Print hal-01833079, HAL.
    3. Jan Frederick Hausner & Gary van Vuuren, 2021. "Portfolio performance under tracking error and benchmark volatility constraints," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, vol. 26(51), pages 94-111, June.
    4. Wade Gunning & Gary van Vuuren, 2019. "Exploring the drivers of tracking error constrained portfolio performance," Cogent Economics & Finance, Taylor & Francis Journals, vol. 7(1), pages 1684181-168, January.
    5. Michael Maxwell & Gary Vuuren, 2019. "Active Investment Strategies under Tracking Error Constraints," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 25(3), pages 309-322, August.
    6. L. Theron & G. van Vuuren, 2020. "Exploring the Behaviour of Actively Managed, Maximally Diversified Portfolios," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 44(2), pages 49-72, August.

  17. Philippe Bertrand & Pierre-Xavier Meschi, 2005. "A Transactional Analysis of Chinese Partners' Performance in International Joint Ventures," Post-Print hal-01833042, HAL.

    Cited by:

    1. Anton A Setyawan & Basu Swastha Dharmmesta & B.M Purwanto & Sahid Susilo Nugroho, 2014. "Business Relationship Framework in Emerging Market: A Preliminary Study in Indonesia," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 59-72.

  18. 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. 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. 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. 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.
    6. Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Finance, Presses universitaires de Grenoble, vol. 34(2), pages 65-119.
    7. 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.
    8. 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.
    9. Bahaji, Hamza, 2014. "Equity portfolio insurance against a benchmark: Setting, replication and optimality," Economic Modelling, Elsevier, vol. 40(C), pages 382-391.
    10. 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.
    11. 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).
    12. Raquel M. Gaspar, 2016. "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016 9381, EcoMod.
    13. 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.
    14. Philippe Bertrand & Jean-Luc Prigent, 2011. "Omega performance measure and portfolio insurance," Post-Print hal-01445954, HAL.
    15. 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.
    16. 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.
    17. Xavier Warin, 2016. "The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach," Papers 1611.04877, arXiv.org.
    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, December.

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

    Cited by:

    1. Raquel M. Gaspar, 2016. "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016 9381, EcoMod.
    2. Rudi Zagst & Julia Kraus, 2011. "Stochastic dominance of portfolio insurance strategies," Annals of Operations Research, Springer, vol. 185(1), pages 75-103, May.

  20. 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. Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Finance, Presses universitaires de Grenoble, vol. 34(2), pages 65-119.
    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. Louis Paulot & Xavier Lacroze, 2009. "Efficient Pricing of CPPI using Markov Operators," Papers 0901.1218, arXiv.org.
    6. 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.
    7. 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.
    8. 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.
    9. Raquel M. Gaspar, 2016. "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016 9381, EcoMod.
    10. 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.
    11. Philippe Bertrand & Jean-Luc Prigent, 2011. "Omega performance measure and portfolio insurance," Post-Print hal-01445954, HAL.
    12. 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.
    13. Louis Paulot & Xavier Lacroze, 2009. "One-Dimensional Pricing of CPPI," Papers 0905.2926, arXiv.org, revised Feb 2010.
    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.

  21. 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.

  22. 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, 2012. "Structured portfolio analysis under SharpeOmega ratio," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00657327, HAL.
    4. Rania Hentati & Jean-Luc Prigent, 2016. "Optimal positioning in financial derivatives under mixture distributions," Post-Print hal-01299840, HAL.
    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.

Articles

  1. 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.
    See citations under working paper version above.
  2. 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.
    See citations under working paper version above.
  3. Philippe Bertrand & Vincent Lapointe, 2018. "Risk-based strategies: the social responsibility of investment universes does matter," Annals of Operations Research, Springer, vol. 262(2), pages 413-429, March.
    See citations under working paper version above.
  4. Bertrand, Philippe & Prigent, Jean-luc, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Economic Modelling, Elsevier, vol. 52(PA), pages 278-291.
    See citations under working paper version above.
  5. 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.
    See citations under working paper version above.
  6. 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.
    See citations under working paper version above.
  7. Bertrand, Philippe & Lapointe, Vincent, 2015. "How performance of risk-based strategies is modified by socially responsible investment universe?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 175-190.
    See citations under working paper version above.
  8. Bertrand, Philippe & Prigent, Jean-luc, 2011. "Omega performance measure and portfolio insurance," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
    See citations under working paper version above.
  9. 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.
    See citations under working paper version above.
  10. Philippe Bertrand, 2009. "Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints," Journal of Asset Management, Palgrave Macmillan, vol. 10(2), pages 75-88, June.
    See citations under working paper version above.
  11. Philippe Bertrand, 2005. "A note on portfolio performance attribution: Taking risk into account," Journal of Asset Management, Palgrave Macmillan, vol. 5(6), pages 428-437, April.
    See citations under working paper version above.
  12. Philippe Bertrand & Pierre-Xavier Meschi, 2005. "A Transactional Analysis of Chinese Partners' Performance in International Joint Ventures," Chinese Economy, Taylor & Francis Journals, vol. 38(2), pages 16-35, March.
    See citations under working paper version above.Sorry, no citations of articles recorded.

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NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-DEM: Demographic Economics (1) 2022-07-18
  2. NEP-IAS: Insurance Economics (1) 2014-06-28
  3. NEP-RMG: Risk Management (1) 2013-03-02
  4. NEP-SEA: South East Asia (1) 2014-06-28

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