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Philippe BERTRAND

Personal Details

First Name:Philippe
Middle Name:
Last Name:Bertrand
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In ASCII letters:
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. Philippe Bertrand & Jean-Luc Prigent, 2025. "On the Performance of Factor Investing: An Analysis Based on Constant Mix and Buy-and-Hold Strategies," Post-Print hal-05635053, HAL.
  2. Le Quy Duong & Philippe Bertrand, 2023. "Overreaction and momentum in the Vietnamese stock market," Post-Print hal-03778049, HAL.
  3. Thi Nha Truc Phan & Philippe Bertrand & Hong Hai Phan & Xuan Vinh Vo, 2023. "The role of investor behavior in emerging stock markets: Evidence from Vietnam," Post-Print hal-04092936, HAL.
  4. Philippe Bertrand & Jean-Luc Prigent, 2022. "Performance Participation Strategies: OBPP versus CPPP," Post-Print hal-03672691, HAL.
  5. Le Quy Duong & Philippe Bertrand, 2022. "The size effect and default risk: Evidence from the Vietnamese stock market," Post-Print hal-03513362, HAL.
  6. Philippe Bertrand, 2022. "Black-Scholes Approximation of Warrant Prices: Slight Return in a Low Interest Rate Environment," Post-Print hal-03672714, HAL.
  7. Rudi Zagst & Julia Kraus & Philippe Bertrand, 2019. "Option-Based performance participation," Post-Print hal-02142054, HAL.
  8. Philippe Bertrand & Jean-Luc Prigent, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," Post-Print hal-02492961, HAL.
  9. Philippe Bertrand & Jean-Luc Prigent, 2018. "Residential Real Estate in a Mixed-Asset Portfolio," Post-Print hal-01955228, HAL.
  10. Philippe Bertrand & Vincent Lapointe, 2018. "Risk-based strategies: the social responsibility of investment universes does matter," Post-Print hal-01457390, HAL.
  11. 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.
  12. Philippe Bertrand & Jean-Luc Prigent, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Post-Print hal-01833070, HAL.
  13. Philippe Bertrand & Vincent Lapointe, 2015. "How performance of risk-based strategies is modified by socially responsible investment universe?," Post-Print hal-01833066, HAL.
  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.
  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.
  16. 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.
  17. 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.
  18. Philippe Bertrand & Jean-Luc Prigent, 2013. "Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies," Post-Print hal-01833059, HAL.
  19. Julia Kraus & Philippe Bertrand & Rudi Zagst, 2013. "Theory of Performance Participation Strategies," Papers 1302.5339, arXiv.org.
  20. Philippe Bertrand, 2012. "Régime de retraite complémentaire Préfon : les fonctionnaires ont-ils vraiment intérêt à cotiser ?," Post-Print hal-01833089, HAL.
  21. Philippe Bertrand & Jean-Luc Prigent, 2011. "Omega performance measure and portfolio insurance," Post-Print hal-01445954, HAL.
  22. Philippe Bertrand, 2010. "Another Look at Portfolio Optimization under Tracking-Error Constraints," Post-Print hal-01833085, HAL.
  23. Philippe Bertrand & Protopopescu Protopopescu Costin, 2010. "The Statistics of The Information Ratio," Post-Print hal-01833090, HAL.
  24. Philippe Bertrand & Jean-Luc Prigent, 2010. "A Note on Risk Aversion, Prudence and Portfolio Insurance," Post-Print hal-01833054, HAL.
  25. Philippe Bertrand, 2009. "Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints," Post-Print hal-01833079, HAL.
  26. 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.
  27. Philippe Bertrand, 2008. "Risk Attribution and Portfolio Optimizations Under Tracking-Error Constraints," Post-Print hal-01833102, HAL.
  28. 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.
  29. Philippe Bertrand & Jean-Luc Prigent, 2005. "Portfolio Insurance Strategies: OBPI versus CPPI," Post-Print hal-01833077, HAL.
  30. Philippe Bertrand, 2005. "A Note on Portfolio Performance Attribution: Taking Risk into Account," Post-Print hal-01833107, HAL.
  31. Philippe Bertrand & Patrick Rousseau, 2005. "L'attribution de performance en gestion de portefeuille," Post-Print hal-01833071, HAL.
  32. Philippe Bertrand & Pierre-Xavier Meschi, 2005. "A Transactional Analysis of Chinese Partners' Performance in International Joint Ventures," Post-Print hal-01833042, HAL.
  33. Philippe Bertrand & Jean-Luc Prigent, 2003. "Evaluation Of Financial Structured Products: An Application Of The Extreme Value Theory," Post-Print hal-01833069, HAL.
  34. 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.
  35. Philippe Bertrand & Jean-Luc Prigent, 2002. "Portfolio Insurance: The Extreme Value Theory of the Cppi Method," Post-Print hal-01833122, HAL.
  36. 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), CY Cergy-Paris University, ESSEC and CNRS.
  37. Philippe Bertrand & Jean-Luc Prigent & Raphael Sobotka, 2000. "Optimisation de portefeuille sous contrainte de variance de la tracking-error," Post-Print hal-01833150, HAL.
  38. 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.
  39. 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.
  40. 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, 2026. "On the performance of factor investing: an analysis based on constant mix and buy-and-hold strategies," Annals of Operations Research, Springer, vol. 357(1), pages 531-563, February.
  2. Philippe Bertrand, 2024. "Black-scholes approximation of warrant prices: slight return in a low interest rate environment," Annals of Operations Research, Springer, vol. 334(1), pages 83-100, March.
  3. Phan, Thi Nha Truc & Bertrand, Philippe & Phan, Hong Hai & Vo, Xuan Vinh, 2023. "The role of investor behavior in emerging stock markets: Evidence from Vietnam," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 367-376.
  4. Phan, Thi Nha Truc & Bertrand, Philippe & Vo, Xuan Vinh & Jones, Kirsten, 2023. "Investigating financial decision-making when facing skewed distributions of return: A survey study in Vietnam," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 318-329.
  5. Philippe Bertrand & Jean-Luc Prigent, 2022. "Performance Participation Strategies: OBPP versus CPPP," Finance, Presses universitaires de Grenoble, vol. 43(1), pages 123-150.
  6. Le Quy Duong & Philippe Bertrand, 2022. "The size effect and default risk: Evidence from the Vietnamese stock market," Review of Financial Economics, John Wiley & Sons, vol. 40(4), pages 377-388, October.
  7. Zagst, Rudi & Kraus, Julia & Bertrand, Philippe, 2019. "Option-Based performance participation," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 44-61.
  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. 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.
  10. 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.
  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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. Bertrand, Philippe & Prigent, Jean-luc, 2011. "Omega performance measure and portfolio insurance," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
  18. Philippe Bertrand, 2010. "Another Look at Portfolio Optimization under Tracking-Error Constraints," Financial Analysts Journal, Taylor & Francis Journals, vol. 66(3), pages 78-90, May.
  19. 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.
  20. 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.
  21. Philippe Bertrand & Patrick Rousseau, 2005. "L'attribution de performance en gestion de portefeuille," Revue française de gestion, Lavoisier, vol. 154(1), pages 59-73.
  22. 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.
  23. 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.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

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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