Jean-Luc Prigent

University of Cergy-Pontoise - ThEMA

33 boulevard du port

33 bd du Port

F-95011 Cergy CEDEX

France

SCHOLARLY PAPERS

25

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Top 2,113

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13,449

CITATIONS
Rank 12,108

SSRN RANKINGS

Top 12,108

in Total Papers Citations

33

Scholarly Papers (25)

1.
Downloads 6,611 ( 700)
Citation 17

Portfolio Insurance Strategies: OBPI Versus CPPI

University of CERGY Working Paper No. 2001-30, GREQAM Working Paper
Number of pages: 20 Posted: 21 Feb 2002 Last Revised: 24 Jan 2014
Philippe Bertrand and Jean-Luc Prigent
IAE Aix-en-Provence, Aix Marseille University, CERGAM and University of Cergy-Pontoise - ThEMA
Downloads 6,611 (691)
Citation 17

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Portfolio Insurance, OBPI, CPPI

Portfolio Insurance Strategies : OBPI versus CPPI

Finance, Vol. 26, No.1, pp 5-32, 2005
Posted: 09 Jun 2008
Philippe Bertrand and Jean-Luc Prigent
IAE Aix-en-Provence, Aix Marseille University, CERGAM and University of Cergy-Pontoise - ThEMA

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optimal portfolio, portfolio insurance, OBPI, CPPI, dynamic hedging

2.

Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic

International Journal of Business, Vol. 8, No. 4, 2003
Number of pages: 12 Posted: 06 Oct 2003
Jean-Luc Prigent and Philippe Bertrand
University of Cergy-Pontoise - ThEMA and IAE Aix-en-Provence, Aix Marseille University, CERGAM
Downloads 1,704 (6,532)
Citation 9

Abstract:

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Portfolio insurance, OBPI, CPPI, Stochastic volatility

3.

CPPI with Cushion Insurance

THEMA University of Cergy-Pontoise Working Paper
Number of pages: 22 Posted: 01 Mar 2005
Jean-Luc Prigent and Fabrice Tahar
University of Cergy-Pontoise - ThEMA and University of Cergy-Pontoise - THEMA
Downloads 1,192 (12,367)
Citation 4

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Portfolio optimization, CPPI, option

4.

A Risk Management Approach for Portfolio Insurance Strategies

Proceedings of the 1st EIF International Financial Research Forum, Economica, 2009
Number of pages: 15 Posted: 27 Oct 2008 Last Revised: 10 Jun 2009
Benjamin Hamidi, Bertrand B. Maillet and Jean-Luc Prigent
Université Paris I Panthéon-Sorbonne - CES/CNRS, EMLyon Business School (Paris Campus) and University of Cergy-Pontoise - ThEMA
Downloads 958 (16,259)

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CPPI, Portfolio Insurance, VaR, CAViaR, Quantile Regression, Dynamic Quantile Model, Expected Shortfall, Extreme Value

5.

Optimal Portfolios with Guarantee at Maturity: Computation and Comparison

International Journal of Business, Vol. 11, No. 2, 2006
Number of pages: 15 Posted: 27 Apr 2006
Jean-Luc Prigent and Fabrice Tahar
University of Cergy-Pontoise - ThEMA and University of Cergy-Pontoise - THEMA
Downloads 498 (44,763)

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Portfolio optimization, Guarantee, Power options

6.

Risk Management and Value: Valuation and Asset Pricing

World Scientific Studies in International Economics, Vol. 3
Number of pages: 2 Posted: 10 Sep 2009
Mondher Bellalah, Jean-Luc Prigent and Jean-Michel Sahut
Universite de Cergy-Pontoise, University of Cergy-Pontoise - ThEMA and IPAG Business School
Downloads 380 (62,102)

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Risk, Value, Management, Derivatives

7.

Option Pricing with Discrete Rebalancing

FAME Research Paper No. 55
Number of pages: 40 Posted: 25 Mar 2003
O. Scaillet, Jean-Luc Prigent and Olivier Renault
University of Geneva GSEM and GFRI, University of Cergy-Pontoise - ThEMA and University of Warwick Business School - Financial Econometrics Research Centre
Downloads 341 (72,024)

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weak convergence, incomplete market, option pricing, minimal martin-gale measure, discrete rebalancing, marked point process

8.

Analysis and Comparison of Leveraged ETFs and CPPI-Type Leveraged Strategy

Number of pages: 32 Posted: 08 Jun 2011
Philippe Bertrand and Jean-Luc Prigent
IAE Aix-en-Provence, Aix Marseille University, CERGAM and University of Cergy-Pontoise - ThEMA
Downloads 294 (70,818)

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Leveraged ETF, CPPI, Constant mix strategy

9.

Portfolio Management with Safety Criteria in Complete Financial Markets

International Journal of Business, Vol. 10, No. 3, 2005
Number of pages: 18 Posted: 16 Aug 2005
Jean-Luc Prigent and Salwa Toumi
University of Cergy-Pontoise - ThEMA and Independent Author
Downloads 256 (100,867)
Citation 1

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Portfolio optimization, Safety criteria, Quantile hedging

10.

A Note on Risk Aversion, Prudence and Portfolio Insurance

GREQAM Discussion Paper
Number of pages: 9 Posted: 03 Jun 2008
Philippe Bertrand and Jean-Luc Prigent
IAE Aix-en-Provence, Aix Marseille University, CERGAM and University of Cergy-Pontoise - ThEMA
Downloads 230 (110,658)
Citation 1

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Risk aversion, Prudence, Portfolio insurance

11.

Weak Convergence of Hedging Strategies of Contingent Claims

FAME Research Paper Number 39
Number of pages: 35 Posted: 25 May 2002
Jean-Luc Prigent and O. Scaillet
University of Cergy-Pontoise - ThEMA and University of Geneva GSEM and GFRI
Downloads 121 (195,100)
Citation 1

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Weak convergence, incomplete financial markets, locally risk-minimizing strategy, hedging strategy, minimal martingale measure

12.

Portfolio Performance Maximization with Generalized Kappa Ratio

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 41 Posted: 26 Sep 2012
Rania Hentati and Jean-Luc Prigent
University of Cergy-Pontoise and University of Cergy-Pontoise - ThEMA
Downloads 112 (163,612)

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Structured portfolio, Performance measure, Optimal positioning, Kappa measure, SharpeOmega ratio, Sortino ratio

13.

Standardized versus Customized Portfolio: A Compensating Variation Approach

Number of pages: 31 Posted: 03 Mar 2005
Andre DePalma and Jean-Luc Prigent
University of Cergy-Pontoise - THEMA and University of Cergy-Pontoise - ThEMA
Downloads 78 (246,266)

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Portfolio optimization, utility, compensating variation

14.

On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)

Number of pages: 29 Posted: 25 Jul 2013 Last Revised: 06 Jan 2014
Philippe Bertrand and Jean-Luc Prigent
IAE Aix-en-Provence, Aix Marseille University, CERGAM and University of Cergy-Pontoise - ThEMA
Downloads 45 (305,555)

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Structured financial products, portfolio insurance, Asian options, average of calls, Kappa measures

15.

French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing

Number of pages: 27 Posted: 23 Oct 2014
Philippe Bertrand and Jean-Luc Prigent
IAE Aix-en-Provence, Aix Marseille University, CERGAM and University of Cergy-Pontoise - ThEMA
Downloads 34 (251,656)

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Structured products, Typology, Fair Pricing, Portfolio Insurance, French retail structured products.

16.

Equilibrium of Financial Derivative Markets and Compensating Variations Under Portfolio Insurance Constraints

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 58 Posted: 01 Oct 2012
Philippe Bertrand and Jean-Luc Prigent
IAE Aix-en-Provence, Aix Marseille University, CERGAM and University of Cergy-Pontoise - ThEMA
Downloads 27 (385,936)

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Optimal positioning, financial derivatives, portfolio insurance, financial equilibrium, compensating variation

17.

Structured Portfolio Management Under Ambiguity

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Posted: 12 May 2011 Last Revised: 08 Mar 2012
Jean-Luc Prigent and ben ameur hachmi
University of Cergy-Pontoise - ThEMA and Amiens School of Management

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portfolio optimization, structured portfolio, ambiguity

18.

Leveraged ETFs and CPPI-Type Strategy: Theory, Simulation and Empirical Study

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Posted: 12 May 2011 Last Revised: 21 Jan 2015
Philippe Bertrand and Jean-Luc Prigent
IAE Aix-en-Provence, Aix Marseille University, CERGAM and University of Cergy-Pontoise - ThEMA

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19.

Structured Portfolio Analysis Under Sharpe-Omega Ratio

Posted: 27 Mar 2011
Rania Hentati Kaffel and Jean-Luc Prigent
Université Paris I Panthéon-Sorbonne - CES/CNRS and University of Cergy-Pontoise - ThEMA

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Structured portfolio, Performance measure, Sharpe-Omega ratio

20.

Dynamic Versus Static Optimization of Hedge Fund Portfolios: The Relevance of Performance Measures

International Journal of Business, Vol. 15, No. 1, 2010
Posted: 29 May 2010 Last Revised: 14 Jun 2010
Rania Hentati Kaffel, Jean-Luc Prigent and Ameur Kaffel
Université Paris I Panthéon-Sorbonne - CES/CNRS, University of Cergy-Pontoise - ThEMA and affiliation not provided to SSRN

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Hedge funds, CVaR, Tail Risk, Omega Measure

21.

Optimal Time to Sell in Real Estate Portfolio Management

Journal of Real Estate Finance and Economics, Vol. 38, No. 1, 2009
Posted: 20 Oct 2008
Fabrice Barthelemy and Jean-Luc Prigent
Independent and University of Cergy-Pontoise - ThEMA

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real estate portoflio, optimal holding period, American option

22.

Utilitarianism and Fairness in Portfolio Positioning

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Posted: 13 Dec 2007
Andre de Palma and Jean-Luc Prigent
University of Cergy-Pontoise - Department of Economics and University of Cergy-Pontoise - ThEMA

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portfolio optimization, positioning, risk aversion, utilitarianism, fairness

23.

Portfolio Insurance: The Extreme Value Theory of The CPPI Method

Finance, Forthcoming
Posted: 04 Mar 2002
Philippe Bertrand and Jean-Luc Prigent
IAE Aix-en-Provence, Aix Marseille University, CERGAM and University of Cergy-Pontoise - ThEMA

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Portfolio Insurance, CPPI, Extreme value theory

24.

Optimal Portfolio Under Insurance Constraints on the Horizon Wealth

THEMA University of Cergy-Pontoise Working Paper No. 99-47
Posted: 12 Jun 2001
Jean-Luc Prigent
University of Cergy-Pontoise - ThEMA

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Portfolio insurance, derivatives, risk-aversion,

25.

Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates

Finance and Stochastics, Vol. 4, Iss. 1
Posted: 09 Dec 1999
Jean-Luc Prigent, Jean-Luc Prigent and Olivier Scaillet
University of Cergy-Pontoise - ThEMA, University of Cergy-Pontoise - THEMA and Catholic University of Louvain (UCL)

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