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Details about Philippe BERTRAND

E-mail:
Workplace:Centre d'Études et de Recherche en Gestion (CERGAM) (Management Study and Research Center), Institut d'Administration des Entreprises (IAE) (Business School), Université d'Aix-Marseille AMU (Aix-Marseille University), (more information at EDIRC)
Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), École d'Économie d'Aix-Marseille (Aix-Marseille School of Economics (AMSE)), Aix-Marseille Université (Aix-Marseille University), (more information at EDIRC)

Access statistics for papers by Philippe BERTRAND.

Last updated 2020-03-24. Update your information in the RePEc Author Service.

Short-id: pbe944


Jump to Journal Articles

Working Papers

2019

  1. On the optimality of path-dependent structured funds: The cost of standardization
    Post-Print, HAL
    See also Journal Article in European Journal of Operational Research (2019)
  2. Option-Based performance participation
    Post-Print, HAL
    See also Journal Article in Journal of Banking & Finance (2019)

2018

  1. Mixed-asset portfolio allocation under mean-reverting asset returns
    Post-Print, HAL
    See also Journal Article in Annals of Operations Research (2019)
  2. Residential Real Estate in a Mixed-Asset Portfolio
    Post-Print, HAL
  3. Risk-based strategies: the social responsibility of investment universes does matter
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2018) View citations (2)

    See also Journal Article in Annals of Operations Research (2018)

2016

  1. Equilibrium of financial derivative markets under portfolio insurance constraints
    Post-Print, HAL View citations (1)
    See also Journal Article in Economic Modelling (2016)

2015

  1. French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing
    Post-Print, HAL View citations (1)
    See also Journal Article in Bankers, Markets & Investors (2015)
  2. How performance of risk-based strategies is modified by socially responsible investment universe?
    Post-Print, HAL View citations (6)
    See also Journal Article in International Review of Financial Analysis (2015)
  3. On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)
    Post-Print, HAL View citations (1)
    Also in Working Papers, Department of Research, Ipag Business School (2014) Downloads

    See also Journal Article in Finance (2015)

2014

  1. Raising Companies' Profile with Corporate Social Performance: Variation in Investor recognition and Liquidity Linked to Vigeo CSP Rating Disclosures
    Post-Print, HAL
  2. Variations in Liquidity and the Size of Investor Base Associated with Corporate Social Performance Ratings
    Post-Print, HAL

2013

  1. Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies
    Post-Print, HAL
    See also Journal Article in Finance (2013)
  2. Theory of Performance Participation Strategies
    Papers, arXiv.org Downloads View citations (1)

2012

  1. Régime de retraite complémentaire Préfon: les fonctionnaires ont-ils vraiment intérêt à cotiser ?
    Post-Print, HAL

2011

  1. Omega performance measure and portfolio insurance
    Post-Print, HAL View citations (16)
    See also Journal Article in Journal of Banking & Finance (2011)

2010

  1. A Note on Risk Aversion, Prudence and Portfolio Insurance
    Post-Print, HAL View citations (3)
    See also Journal Article in The Geneva Risk and Insurance Review (2010)
  2. Another Look at Portfolio Optimization under Tracking-Error Constraints
    Post-Print, HAL View citations (3)
  3. The Statistics of The Information Ratio
    Post-Print, HAL

2009

  1. Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints
    Post-Print, HAL View citations (5)

2008

  1. Risk Attribution and Portfolio Optimizations Under Tracking-Error Constraints
    Post-Print, HAL
  2. The Sensitivity of the Asymptotic Variance of Performance Measures with Respect to Skewness and Kurtosis
    Post-Print, HAL View citations (1)

2006

  1. Performance des partenaires locaux dans les coentreprises internationales en Asie: Valorisation boursière et application de la théorie des coûts de transaction
    Post-Print, HAL

2005

  1. A Note on Portfolio Performance Attribution: Taking Risk into Account
    Post-Print, HAL View citations (2)
  2. A Transactional Analysis of Chinese Partners' Performance in International Joint Ventures
    Post-Print, HAL
    See also Journal Article in Chinese Economy (2005)
  3. L'attribution de performance en gestion de portefeuille
    Post-Print, HAL
    See also Journal Article in Revue française de gestion (2005)
  4. Portfolio Insurance Strategies: OBPI versus CPPI
    Post-Print, HAL View citations (29)

2003

  1. EVALUATION OF FINANCIAL STRUCTURED PRODUCTS: AN APPLICATION OF THE EXTREME VALUE THEORY
    Post-Print, HAL
  2. Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic
    Post-Print, HAL View citations (11)

2002

  1. Portfolio Insurance: The Extreme Value Theory of the Cppi Method
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2001) View citations (1)

2000

  1. Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (8)
  2. Optimisation de portefeuille sous contrainte de variance de la tracking-error
    Post-Print, HAL View citations (1)
  3. 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 (14)

1993

  1. Obligation à réinvestissement optionnel du coupon: prix à l'émission et évaluation de la position en chaque instant
    Post-Print, HAL

1990

  1. EVALUATION DES TITRES HYPOTHECAIRES
    G.R.E.Q.A.M., Universite Aix-Marseille III

Journal Articles

2019

  1. Mixed-asset portfolio allocation under mean-reverting asset returns
    Annals of Operations Research, 2019, 281, (1), 65-98 Downloads
    See also Working Paper (2018)
  2. On the optimality of path-dependent structured funds: The cost of standardization
    European Journal of Operational Research, 2019, 277, (1), 333-350 Downloads
    See also Working Paper (2019)
  3. Option-Based performance participation
    Journal of Banking & Finance, 2019, 105, (C), 44-61 Downloads
    See also Working Paper (2019)

2018

  1. Risk-based strategies: the social responsibility of investment universes does matter
    Annals of Operations Research, 2018, 262, (2), 413-429 Downloads View citations (1)
    See also Working Paper (2018)

2016

  1. Equilibrium of financial derivative markets under portfolio insurance constraints
    Economic Modelling, 2016, 52, (PA), 278-291 Downloads View citations (2)
    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 View citations (1)
    See also Working Paper (2015)
  2. How performance of risk-based strategies is modified by socially responsible investment universe?
    International Review of Financial Analysis, 2015, 38, (C), 175-190 Downloads View citations (11)
    See also Working Paper (2015)
  3. On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)
    Finance, 2015, 36, (2), 67-105 Downloads View citations (1)
    See also Working Paper (2015)

2014

  1. Raising Companies’ Profile with Corporate Social Performance
    Bankers, Markets & Investors, 2014, (130), 41-54 Downloads

2013

  1. Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies
    Finance, 2013, 34, (1), 73-116 Downloads
    See also Working Paper (2013)

2011

  1. Omega performance measure and portfolio insurance
    Journal of Banking & Finance, 2011, 35, (7), 1811-1823 Downloads View citations (44)
    See also Working Paper (2011)

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 (5)
    See also Working Paper (2010)

2005

  1. A Transactional Analysis of Chinese Partners' Performance in International Joint Ventures
    Chinese Economy, 2005, 38, (2), 16-35 Downloads View citations (1)
    See also Working Paper (2005)
  2. L'attribution de performance en gestion de portefeuille
    Revue française de gestion, 2005, 154, (1), 59-73 Downloads
    See also Working Paper (2005)
 
Page updated 2020-11-24