Details about Philippe BERTRAND

Access statistics for papers by Philippe BERTRAND.

Last updated 2023-09-21. Update your information in the RePEc Author Service.

Short-id: pbe944

Working Papers

2023

1. Overreaction and momentum in the Vietnamese stock market
   Post-Print, HAL

2022

2. Black-Scholes Approximation of Warrant Prices: Slight Return in a Low Interest Rate Environment
   Post-Print, HAL
3. Performance Participation Strategies: OBPP versus CPPP
   Post-Print, HAL
   See also Journal Article Performance Participation Strategies: OBPP versus CPPP, Finance, Presses universitaires de Grenoble (2022) (2022)
4. The size effect and default risk: Evidence from the Vietnamese stock market
   Post-Print, HAL

2019

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

2018

7. Mixed-asset portfolio allocation under mean-reverting asset returns
   Post-Print, HAL
   See also Journal Article Mixed-asset portfolio allocation under mean-reverting asset returns, Annals of Operations Research, Springer (2019) View citations (2) (2019)
8. Residential Real Estate in a Mixed-Asset Portfolio
   Post-Print, HAL
9. Risk-based strategies: the social responsibility of investment universes does matter
   Post-Print, HAL View citations (5)
   Also in Post-Print, HAL (2018) View citations (6)
   See also Journal Article Risk-based strategies: the social responsibility of investment universes does matter, Annals of Operations Research, Springer (2018) View citations (5) (2018)

2016

10. Equilibrium of financial derivative markets under portfolio insurance constraints
    Post-Print, HAL View citations (2)
    See also Journal Article Equilibrium of financial derivative markets under portfolio insurance constraints, Economic Modelling, Elsevier (2016) View citations (2) (2016)

2015

11. French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing
    Post-Print, HAL View citations (2)
    See also Journal Article French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing, Bankers, Markets & Investors, ESKA Publishing (2015) View citations (3) (2015)
12. How performance of risk-based strategies is modified by socially responsible investment universe?
    Post-Print, HAL View citations (14)
    See also Journal Article How performance of risk-based strategies is modified by socially responsible investment universe?, International Review of Financial Analysis, Elsevier (2015) View citations (15) (2015)
13. 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)
    See also Journal Article On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds), Finance, Presses universitaires de Grenoble (2015) View citations (1) (2015)

2014

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

2013

16. Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies
    Post-Print, HAL
    See also Journal Article Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies, Finance, Presses universitaires de Grenoble (2013) (2013)
17. Theory of Performance Participation Strategies
    Papers, arXiv.org View citations (1)

2012

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

2011

19. Omega performance measure and portfolio insurance
    Post-Print, HAL View citations (47)
    See also Journal Article Omega performance measure and portfolio insurance, Journal of Banking & Finance, Elsevier (2011) View citations (58) (2011)

2010

20. A Note on Risk Aversion, Prudence and Portfolio Insurance
    Post-Print, HAL View citations (9)
    See also Journal Article A Note on Risk Aversion, Prudence and Portfolio Insurance, The Geneva Risk and Insurance Review, Palgrave Macmillan (2010) View citations (9) (2010)
21. Another Look at Portfolio Optimization under Tracking-Error Constraints
    Post-Print, HAL View citations (8)
22. The Statistics of The Information Ratio
    Post-Print, HAL View citations (1)

2009

23. Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints
    Post-Print, HAL View citations (7)
    See also Journal Article Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints, Journal of Asset Management, Palgrave Macmillan (2009) View citations (4) (2009)

2008

24. Risk Attribution and Portfolio Optimizations Under Tracking-Error Constraints
    Post-Print, HAL View citations (5)
25. The Sensitivity of the Asymptotic Variance of Performance Measures with Respect to Skewness and Kurtosis
    Post-Print, HAL View citations (1)

2006

26. 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

27. A Note on Portfolio Performance Attribution: Taking Risk into Account
    Post-Print, HAL View citations (5)
    See also Journal Article A note on portfolio performance attribution: Taking risk into account, Journal of Asset Management, Palgrave Macmillan (2005) View citations (6) (2005)
28. A Transactional Analysis of Chinese Partners' Performance in International Joint Ventures
    Post-Print, HAL
    See also Journal Article A Transactional Analysis of Chinese Partners' Performance in International Joint Ventures, Chinese Economy, Taylor & Francis Journals (2005) View citations (1) (2005)
29. L'attribution de performance en gestion de portefeuille
    Post-Print, HAL
    See also Journal Article L'attribution de performance en gestion de portefeuille, Revue française de gestion, Lavoisier (2005) (2005)
30. Portfolio Insurance Strategies: OBPI versus CPPI
    Post-Print, HAL View citations (38)

2003

31. EVALUATION OF FINANCIAL STRUCTURED PRODUCTS: AN APPLICATION OF THE EXTREME VALUE THEORY
    Post-Print, HAL
32. Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic
    Post-Print, HAL View citations (22)

2002

33. 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

34. Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (12)
35. Optimisation de portefeuille sous contrainte de variance de la tracking-error
    Post-Print, HAL View citations (1)
36. Portfolio Insurance: The extreme Value of the CCPI Method
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (16)

1993

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

1990

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

Journal Articles

2022

1. Performance Participation Strategies: OBPP versus CPPP
   Finance, 2022, 43, (1), 123-150
   See also Working Paper Performance Participation Strategies: OBPP versus CPPP, Post-Print (2022) (2022)

2019

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

2018

5. Risk-based strategies: the social responsibility of investment universes does matter
   Annals of Operations Research, 2018, 262, (2), 413-429 View citations (5)
   See also Working Paper Risk-based strategies: the social responsibility of investment universes does matter, Post-Print (2018) View citations (5) (2018)

2016

6. Equilibrium of financial derivative markets under portfolio insurance constraints
   Economic Modelling, 2016, 52, (PA), 278-291 View citations (2)
   See also Working Paper Equilibrium of financial derivative markets under portfolio insurance constraints, Post-Print (2016) View citations (2) (2016)

2015

7. French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing
   Bankers, Markets & Investors, 2015, (135), 4-18 View citations (3)
   See also Working Paper French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing, Post-Print (2015) View citations (2) (2015)
8. How performance of risk-based strategies is modified by socially responsible investment universe?
   International Review of Financial Analysis, 2015, 38, (C), 175-190 View citations (15)
   See also Working Paper How performance of risk-based strategies is modified by socially responsible investment universe?, Post-Print (2015) View citations (14) (2015)
9. On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)
   Finance, 2015, 36, (2), 67-105 View citations (1)
   See also Working Paper On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds), Post-Print (2015) View citations (1) (2015)

2014

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

2013

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

2011

12. Omega performance measure and portfolio insurance
    Journal of Banking & Finance, 2011, 35, (7), 1811-1823 View citations (58)
    See also Working Paper Omega performance measure and portfolio insurance, Post-Print (2011) View citations (47) (2011)

2010

13. A Note on Risk Aversion, Prudence and Portfolio Insurance
    The Geneva Risk and Insurance Review, 2010, 35, (1), 81-92 View citations (9)
    See also Working Paper A Note on Risk Aversion, Prudence and Portfolio Insurance, Post-Print (2010) View citations (9) (2010)

2009

14. Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints
    Journal of Asset Management, 2009, 10, (2), 75-88 View citations (4)
    See also Working Paper Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints, Post-Print (2009) View citations (7) (2009)

2005

15. A Transactional Analysis of Chinese Partners' Performance in International Joint Ventures
    Chinese Economy, 2005, 38, (2), 16-35 View citations (1)
    See also Working Paper A Transactional Analysis of Chinese Partners' Performance in International Joint Ventures, Post-Print (2005) (2005)
16. A note on portfolio performance attribution: Taking risk into account
    Journal of Asset Management, 2005, 5, (6), 428-437 View citations (6)
    See also Working Paper A Note on Portfolio Performance Attribution: Taking Risk into Account, Post-Print (2005) View citations (5) (2005)
17. L'attribution de performance en gestion de portefeuille
    Revue française de gestion, 2005, 154, (1), 59-73
    See also Working Paper L'attribution de performance en gestion de portefeuille, Post-Print (2005) (2005)