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Prigent , Jean-Luc's
Scholarly Papers
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10,301 |
Total
Citations
26 |
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1.
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Portfolio Insurance Strategies: Obpi Versus Cppi
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Bertrand, Philippe
IAE Aix-en-Provence, Aix Marseille University, CERGAM Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA
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Posted:
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21 Feb 02
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Last Revised:
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07 Jul 08
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4,742
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Bertrand, Philippe
IAE Aix-en-Provence, Aix Marseille University, CERGAM Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA
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optimal portfolio, portfolio insurance, OBPI, CPPI, dynamic hedging
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Bertrand, Philippe
IAE Aix-en-Provence, Aix Marseille University, CERGAM Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA
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21 Feb 02
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Last Revised:
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07 Jul 08
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4,742
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Portfolio Insurance, OBPI, CPPI
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2.
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Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA Bertrand, Philippe
IAE Aix-en-Provence, Aix Marseille University, CERGAM
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1,614
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7
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Portfolio insurance, OBPI, CPPI, Stochastic volatility
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3.
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Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA Tahar, Fabrice
University of Cergy-Pontoise - THEMA
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1,077
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Portfolio optimization, CPPI, option
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4.
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Hamidi, Benjamin
University of Paris 1 Pantheon-Sorbonne - CES/CNRS Maillet, Bertrand B.
University of Orléans Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA
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27 Oct 08
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Last Revised:
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10 Jun 09
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821
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1
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CPPI, Portfolio Insurance, VaR, CAViaR, Quantile Regression, Dynamic Quantile Model, Expected Shortfall, Extreme Value
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5.
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Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA Tahar, Fabrice
University of Cergy-Pontoise - THEMA
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471
(27,529)
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Portfolio optimization, Guarantee, Power options
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6.
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Bellalah, Mondher
Universite de Cergy-Pontoise Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA Sahut, Jean-Michel
University of Applied Sciences - Geneva School of Business Administration
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341
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Risk, Value, Management, Derivatives
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7.
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Scaillet , O.
University of Geneva - HEC Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA Renault, Olivier
University of Warwick Business School - Financial Econometrics Research Centre
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333
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weak convergence, incomplete market, option pricing, minimal martin-gale measure, discrete rebalancing, marked point process
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8.
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Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA Toumi, Salwa
Independent Author
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242
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1
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Portfolio optimization, Safety criteria, Quantile hedging
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9.
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Bertrand, Philippe
IAE Aix-en-Provence, Aix Marseille University, CERGAM Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA
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220
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1
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Risk aversion, Prudence, Portfolio insurance
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10.
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Bertrand, Philippe
IAE Aix-en-Provence, Aix Marseille University, CERGAM Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA
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178
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Leveraged ETF, CPPI, Constant mix strategy
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11.
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Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA Scaillet , O.
University of Geneva - HEC
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115
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1
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Weak convergence, incomplete financial markets, locally risk-minimizing strategy, hedging strategy, minimal martingale measure
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12.
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DePalma, Andre
University of Cergy-Pontoise - THEMA Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA
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73
(165,228)
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Portfolio optimization, utility, compensating variation
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13.
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Hentati, Rania
University of Cergy-Pontoise Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA
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56
(190,124)
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Structured portfolio, Performance measure, Optimal positioning, Kappa measure, SharpeOmega ratio, Sortino ratio
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14.
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Bertrand, Philippe
IAE Aix-en-Provence, Aix Marseille University, CERGAM Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA
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18
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Optimal positioning, financial derivatives, portfolio insurance, financial equilibrium, compensating variation
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15.
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Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA hachmi, ben ameur
Amiens School of Management
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12 May 11
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Last Revised:
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08 Mar 12
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portfolio optimization, structured portfolio, ambiguity
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16.
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Hentati-Kaffel, Rania
University of Paris 1 Pantheon-Sorbonne - CES/CNRS Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA
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Structured portfolio, Performance measure, Sharpe-Omega ratio
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17.
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Hentati-Kaffel, Rania
University of Paris 1 Pantheon-Sorbonne - CES/CNRS Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA Kaffel, Ameur
affiliation not provided to SSRN
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29 May 10
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Last Revised:
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14 Jun 10
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Hedge funds, CVaR, Tail Risk, Omega Measure
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18.
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Barthelemy, Fabrice
affiliation not provided to SSRN Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA
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real estate portoflio, optimal holding period, American option
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19.
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de Palma, Andre
University of Cergy-Pontoise - Department of Economics Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA
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portfolio optimization, positioning, risk aversion, utilitarianism, fairness
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20.
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Bertrand, Philippe
IAE Aix-en-Provence, Aix Marseille University, CERGAM Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA
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Portfolio Insurance, CPPI, Extreme value theory
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21.
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Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA
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Portfolio insurance, derivatives, risk-aversion,
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22.
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Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA Prigent, Jean-Luc
University of Cergy-Pontoise - THEMA Scaillet, Olivier
Catholic University of Louvain (UCL)
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