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Details about Jean-Luc Prigent

E-mail:
Phone:+33(1) 34 25 61 72
Postal address:University of Cergy-Pontoise 33, Bd du Port 95011 CERGY-PONTOISE FRANCE
Workplace:Théorie Économique, Modélisation, Application (THEMA) (Economic Theory, Modeling, Applications), Université de Cergy-Pontoise (University of Cergy-Pontoise), (more information at EDIRC)
Institut de Préparation à l'Administration et à la Gestion (IPAG) (IPAG Business School), (more information at EDIRC)

Access statistics for papers by Jean-Luc Prigent.

Last updated 2016-06-26. Update your information in the RePEc Author Service.

Short-id: ppr77


Jump to Journal Articles

Working Papers

2016

  1. Optimal positioning in financial derivatives under mixture distributions
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Working Papers, Department of Research, Ipag Business School (2014) Downloads View citations (5)

    See also Journal Article in Economic Modelling (2016)

2015

  1. Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions
    Working Papers, HAL Downloads

2014

  1. A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies
    Working Papers, HAL Downloads View citations (8)
    Also in Working Papers, Department of Research, Ipag Business School (2014) Downloads View citations (11)
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2013) Downloads

    See also Journal Article in Journal of Economic Dynamics and Control (2014)
  2. Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs
    Working Papers, Department of Research, Ipag Business School Downloads View citations (5)
  3. Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions
    Working Papers, Department of Research, Ipag Business School Downloads
  4. Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation
    Working Papers, Department of Research, Ipag Business School Downloads View citations (13)
  5. On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)
    Working Papers, Department of Research, Ipag Business School Downloads
    See also Journal Article in Finance (2015)
  6. On the debt capacity of growth and decay options
    Working Papers, Department of Research, Ipag Business School Downloads View citations (5)
  7. Optimal Portfolio Positioning within Generalized Johnson Distributions
    Working Papers, Department of Research, Ipag Business School Downloads View citations (3)
  8. Portfolio Optimization within Mixture of Distributions
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Post-Print, HAL (2011)
  9. Structured portfolio analysis under SharpeOmega ratio
    Working Papers, Department of Research, Ipag Business School Downloads View citations (1)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012) Downloads
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012) Downloads
    EcoMod2010, EcoMod Downloads

2012

  1. Corporate investment choice and exchange option between production functions
    Post-Print, HAL

2011

  1. On the maximization of financial performance measures within mixture models
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (3)
    See also Journal Article in Statistics & Risk Modeling (2011)
  2. Real Estate Portfolio Management: Optimization under Risk Aversion
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads View citations (3)
  3. VaR and Omega measures for hedge funds portfolios: A copula approach
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL

2010

  1. Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
  2. Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (4)
  3. Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations
    Working Papers, HAL Downloads View citations (1)

2009

  1. A Risk Management Approach for Portfolio Insurance Strategies
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (3)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009) Downloads View citations (4)
  2. Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID
    Working Papers, HAL Downloads

2008

  1. Firm's value under investment irreversibility, stochastic demand and general production function
    Post-Print, HAL
  2. Optimal Time to Sell in Real Estate Portfolio Management
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads View citations (5)
    See also Journal Article in The Journal of Real Estate Finance and Economics (2009)

2007

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

2003

  1. Optimal portfolio positioning
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (2)
  2. Optimal portfolio: towards an operational decision support system
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

2002

  1. Option Pricing with Discrete Rebalancing
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads
    Also in Working Papers, Centre de Recherche en Economie et Statistique (1999) Downloads
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1999) View citations (1)
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1999) Downloads View citations (1)

    See also Journal Article in Journal of Empirical Finance (2004)
  2. Weak Convergence of Hedging Strategies of Contingent Claims
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (3)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000) Downloads

2000

  1. An Autoregressive Conditional Binomial Option Pricing Model
    FMG Discussion Papers, Financial Markets Group Downloads View citations (4)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (1999) Downloads View citations (9)
  2. An Empirical Estimation in Credit Spread Indices
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads
  3. An Empirical Investigation in Credit Spread Indices
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (3)
    Also in FMG Discussion Papers, Financial Markets Group (2000) Downloads View citations (2)
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2000) Downloads View citations (2)
  4. Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (8)
  5. Portfolio Insurance: The extreme Value of the CCPI Method
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads View citations (10)
  6. Strategies optimales d'allocation de portefeuilles internationaux avec contraintes
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

1999

  1. 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)
  2. Optimal portfolio under insurance constraints on the horizon wealth
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
  3. 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

  1. Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
    See also Journal Article in Finance and Stochastics (2000)

1997

  1. Convergence of Discrete Time Options Pricing Models under Stochastic Rates
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
  2. Convergence of discrete time options pricing models under stochastic
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
  3. 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. View citations (1)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1997) View citations (1)
  4. Option Pricing with a General Market Point Process
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. View citations (1)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1997) View citations (6)

1996

  1. A general subordinated stochastic process for the derivatives pricing
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)
  2. 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

  1. 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.
  2. 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

  1. 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) Downloads

Journal Articles

2016

  1. Equilibrium of financial derivative markets under portfolio insurance constraints
    Economic Modelling, 2016, 52, (PA), 278-291 Downloads
  2. Optimal positioning in financial derivatives under mixture distributions
    Economic Modelling, 2016, 52, (PA), 115-124 Downloads
    See also Working Paper (2016)

2015

  1. French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing
    Bankers, Markets & Investors, 2015, (135), 4-18 Downloads
  2. On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)
    Finance, 2015, Vol.36, (2), 67-105 Downloads
    See also Working Paper (2014)

2014

  1. A dynamic autoregressive expectile for time-invariant portfolio protection strategies
    Journal of Economic Dynamics and Control, 2014, 46, (C), 1-29 Downloads View citations (8)
    See also Working Paper (2014)
  2. Corporate Governance and Market Microstructure: Evidence on Institutional Investors in the Tunisian Stock Exchange
    International Journal of Academic Research in Accounting, Finance and Management Sciences, 2014, 4, (2), 58-71 Downloads
  3. On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options
    Economic Modelling, 2014, 40, (C), 410-422 Downloads
  4. Portfolio insurance: Gap risk under conditional multiples
    European Journal of Operational Research, 2014, 236, (1), 238-253 Downloads View citations (5)

2013

  1. Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies
    Finance, 2013, 34, (1), 73-116 Downloads
  2. Optimal portfolio positioning under ambiguity
    Economic Modelling, 2013, 34, (C), 89-97 Downloads View citations (5)

2011

  1. Omega performance measure and portfolio insurance
    Journal of Banking & Finance, 2011, 35, (7), 1811-1823 Downloads View citations (20)
  2. On the maximization of financial performance measures within mixture models
    Statistics & Risk Modeling, 2011, 28, (1), 63-80 Downloads View citations (7)
    See also Working Paper (2011)
  3. Ownership structure and stock market liquidity: evidence from Tunisia
    International Journal of Managerial and Financial Accounting, 2011, 3, (1), 91-109 Downloads

2010

  1. A Note on Risk Aversion, Prudence and Portfolio Insurance
    The Geneva Risk and Insurance Review, 2010, 35, (1), 81-92 Downloads View citations (2)

2009

  1. Optimal Time to Sell in Real Estate Portfolio Management
    The Journal of Real Estate Finance and Economics, 2009, 38, (1), 59-87 Downloads View citations (3)
    See also Working Paper (2008)
  2. Standardized versus customized portfolio: a compensating variation approach
    Annals of Operations Research, 2009, 165, (1), 161-185 Downloads View citations (4)

2008

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

2004

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

1999

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

1997

  1. A note on the valuation of an exotic timing option
    Journal of Futures Markets, 1997, 17, (4), 483-487 Downloads
 
Page updated 2016-08-29