Philippe Bertrand

IAE Aix-en-Provence, Aix Marseille University, CERGAM

Professor

2, rue de la Charité

Marseille, 13002

France

KEDGE Business School

Adjunct Professor of Finance

Domaine de Luminy - BP 921

BP 921

Marseille, PACA 13288

France

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 2,374

SSRN RANKINGS

Top 2,374

in Total Papers Downloads

11,552

CITATIONS
Rank 11,333

SSRN RANKINGS

Top 11,333

in Total Papers Citations

36

Scholarly Papers (19)

1.
Downloads 6,327 ( 689)
Citation 16

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 6,327 (680)
Citation 16

Abstract:

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

Abstract:

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 (6,189)
Citation 8

Abstract:

Portfolio insurance, OBPI, CPPI, Stochastic volatility

3.

Risk-Adjusted Performance Attribution and Portfolio Optimizations Under Tracking-Error Constraints

GREQAM Discussion Paper
Number of pages: 20 Posted: 03 Jun 2008 Last Revised: 18 Jun 2008
Philippe Bertrand
IAE Aix-en-Provence, Aix Marseille University, CERGAM
Downloads 619 (28,354)
Citation 2

Abstract:

risk-adjusted performance, risk attribution, performance attribution, tracking error, portfolio optimization, risk aversion

4.

Risk Attribution and Portfolio Optimizations Under Tracking-Error Constraints

GREQAM Dicussion Paper
Number of pages: 21 Posted: 03 Jun 2008
Philippe Bertrand
IAE Aix-en-Provence, Aix Marseille University, CERGAM
Downloads 616 (31,919)
Citation 1

Abstract:

risk attribution, performance attribution, tracking error, portfolio optimization, risk aversion

Another Look at Portfolio Optimization under Tracking-Error Constraints

GREQAM Discussion Paper
Number of pages: 20 Posted: 07 Jul 2008 Last Revised: 28 Aug 2008
Philippe Bertrand
IAE Aix-en-Provence, Aix Marseille University, CERGAM
Downloads 522 (40,037)
Citation 6

Abstract:

benchmark, tracking-error, portfolio optimization, risk aversion

Another Look at Portfolio Optimization Under Tracking-Error Constraints

Financial Analysts Journal, Vol. 66, No. 3, 2010
Posted: 25 May 2010
Philippe Bertrand
IAE Aix-en-Provence, Aix Marseille University, CERGAM

Abstract:

Portfolio Management, Portfolio Construction and Revision, Risk Management, Risk Management, Portfolio Risk Management, Risk Management Strategies, Risk Management, Firmwide Risk Management, Risk Budgeting

6.

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 (68,946)

Abstract:

Leveraged ETF, CPPI, Constant mix strategy

7.

Risk-Based Strategies: The Social Responsibility of Investment Universes Does Matter

Annals of Operation Research, Forthcoming
Number of pages: 15 Posted: 21 Apr 2013 Last Revised: 27 Oct 2016
Philippe Bertrand and Vincent Lapointe
IAE Aix-en-Provence, Aix Marseille University, CERGAM and Exane BNP Paribas
Downloads 247 (87,873)

Abstract:

Socially responsible investment, alternative and risk-based strategies, performance, diversification, turnover, robust covariances matrix

8.

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 (103,406)
Citation 1

Abstract:

Risk aversion, Prudence, Portfolio insurance

9.

Theory of Performance Participation Strategies

Number of pages: 32 Posted: 06 Feb 2010
Julia Kraus, Philippe Bertrand and Rudi Zagst
Technische Universität München (TUM) - HVB Institute for Mathematical Finance, IAE Aix-en-Provence, Aix Marseille University, CERGAM and affiliation not provided to SSRN
Downloads 193 (120,205)

Abstract:

investment strategies, performance participation, CPPP, OBPP, CPPI, OBPI

10.

Raising Companies’ Profile with Corporate Social Performance: Variations in Investor Recognition and Liquidity Linked to VIGEO CSP Rating Disclosures

Bankers, Markets & Investors (Forthcoming)
Number of pages: 19 Posted: 02 Dec 2012 Last Revised: 11 Jun 2014
Philippe Bertrand, Alexis Guyot and Vincent Lapointe
IAE Aix-en-Provence, Aix Marseille University, CERGAM, Euromed Marseille Ecole de Management and Exane BNP Paribas
Downloads 143 (162,073)

Abstract:

corporate social responsibility, liquidity, investor base, cost of equity capital

11.

How Performance of Risk-Based Strategies is Modified by Socially Responsible Investment Universe?

International Review of Financial Analysis, Forthcoming
Number of pages: 31 Posted: 23 Jun 2013 Last Revised: 13 Nov 2014
Philippe Bertrand and Vincent Lapointe
IAE Aix-en-Provence, Aix Marseille University, CERGAM and Exane BNP Paribas
Downloads 90 (190,768)

Abstract:

Socially responsible investment, alternative and smart beta strategies, risk-adjusted performance, robust covariance matrix

12.

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 (287,012)

Abstract:

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

13.

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 (260,389)

Abstract:

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

14.

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 (367,171)

Abstract:

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

15.

A Note on Portfolio Performance Attribution: Taking Risk into Account

Number of pages: 14 Posted: 15 Feb 2015
Philippe Bertrand
IAE Aix-en-Provence, Aix Marseille University, CERGAM
Downloads 25 (299,313)
Citation 2

Abstract:

Performance attribution, risk attribution, tracking error, portfolio optimization, efficient frontier, information ratio.

16.

The Sensitivity of the Asymptotic Variance of Performance Measures with Respect to Skewness and Kurtosis

International Journal of Business, Vol. 13, No. 3, 2008
Number of pages: 11 Posted: 30 Sep 2015
Philippe Bertrand and Protopopescu Protopopescu Costin
IAE Aix-en-Provence, Aix Marseille University, CERGAM and Aix-Marseille University
Downloads 0 (461,550)

Abstract:

Sharpe Ratio, Information Ratio, Asymptotic Distribution, Skewness.

17.

The Statistics of The Information Ratio

International Journal of Business, Vol. 15, No. 1, 2010
Number of pages: 15 Posted: 30 Sep 2015
Philippe Bertrand and Protopopescu Protopopescu Costin
IAE Aix-en-Provence, Aix Marseille University, CERGAM and Aix-Marseille University
Downloads 0 (307,277)

Abstract:

Information ratio, Asymptotic distribution

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

Abstract:

19.

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

Abstract:

Portfolio Insurance, CPPI, Extreme value theory