Details about Jean-Luc Prigent

Access statistics for papers by Jean-Luc Prigent.

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Short-id: ppr77

Working Papers

2012

1. Structured portfolio analysis under SharpeOmega ratio
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
   Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012)

2011

2. Real Estate Portfolio Management: Optimization under Risk Aversion
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

2010

3. Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations
   Working Papers, HAL View citations (1)

2009

4. A Risk Management Approach for Portfolio Insurance Strategies
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
   Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009)
5. Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID
   Working Papers, HAL

2008

6. Optimal Time to Sell in Real Estate Portfolio Management
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
   See also Journal Article in The Journal of Real Estate Finance and Economics (2009)

2007

7. Hedging global environment risks: An option based portfolio insurance
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)

2003

8. Optimal portfolio positioning
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)
9. Optimal portfolio: towards an operational decision support system
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

2002

10. Option Pricing with Discrete Rebalancing
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1999) View citations (1)
    Working Papers, Centre de Recherche en Economie et Statistique (1999)
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1999) View citations (1)
    See also Journal Article in Journal of Empirical Finance (2004)
11. Weak Convergence of Hedging Strategies of Contingent Claims
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (1)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000)

2000

12. An Autoregressive Conditional Binomial Option Pricing Model
    FMG Discussion Papers, Financial Markets Group View citations (4)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (1999) View citations (8)
13. An Empirical Estimation in Credit Spread Indices
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
14. An Empirical Investigation in Credit Spread Indices
    FMG Discussion Papers, Financial Markets Group View citations (1)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2000) View citations (1)
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2000) View citations (1)
15. Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (3)
16. Portfolio Insurance: The extreme Value of the CCPI Method
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (2)
17. Strategies optimales d'allocation de portefeuilles internationaux avec contraintes
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

1999

18. An autoregressive conditional binomial option pricing model under stochastic rates
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)
19. Optimal portfolio under insurance constraints on the horizon wealth
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
20. Optimality of portfolio insurance The extended CPPI method
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)

1998

21. Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates
    Working Papers, Centre de Recherche en Economie et Statistique View citations (1)
    See also Journal Article in Finance and Stochastics (2000)

1997

22. Convergence of Discrete Time Options Pricing Models under Stochastic Rates
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
23. Convergence of discrete time options pricing models under stochastic
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
24. Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1997) View citations (1)
25. Option Pricing with a General Market Point Process
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1997) View citations (4)

1996

26. A general subordinated stochastic process for the derivatives pricing
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
27. Implied risk neutral probability measures on options markets: The L2 approach
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)

1995

28. Incomplete Markets: A Remark on the Convergence of the Minimal Martingale Measure and Application to the Derivative Assets Pricing
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
29. Pricing of Contingent Claims from Discrete to Continuous Time Models: On the Robustness of the Black and Scholes Formula
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.

1992

30. The private provision of public good in the case of satiation points: The case of a quasi-linear economy
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Journal Articles

2011

1. Omega performance measure and portfolio insurance
   Journal of Banking & Finance, 2011, 35, (7), 1811-1823 View citations (4)
2. Ownership structure and stock market liquidity: evidence from Tunisia
   International Journal of Managerial and Financial Accounting, 2011, 3, (1), 91-109

2010

3. A Note on Risk Aversion, Prudence and Portfolio Insurance
   The Geneva Risk and Insurance Review, 2010, 35, (1), 81-92

2009

4. Optimal Time to Sell in Real Estate Portfolio Management
   The Journal of Real Estate Finance and Economics, 2009, 38, (1), 59-87 View citations (3)
   See also Working Paper (2008)

2008

5. Utilitarianism and fairness in portfolio positioning
   Journal of Banking & Finance, 2008, 32, (8), 1648-1660 View citations (4)

2004

6. Option pricing with discrete rebalancing
   Journal of Empirical Finance, 2004, 11, (1), 133-161
   See also Working Paper (2002)

1999

7. Convergence of discrete time option pricing models under stochastic interest rates
   Finance and Stochastics, 2000, 4, (1), 81-93 View citations (2)
   See also Working Paper (1998)