Details about Jean-Luc Prigent

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)

Access statistics for papers by Jean-Luc Prigent.

Last updated 2024-11-04. Update your information in the RePEc Author Service.

Short-id: ppr77

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Working Papers

2023

1. Risk management of margin based portfolio strategies for dynamic portfolio insurance with minimum market exposure
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

2022

2. Crises and Uncertainty in the Economy
   Post-Print, HAL
3. Dynamic connectedness and optimal hedging strategy among commodities and financial indices
   Post-Print, HAL View citations (6)
   See also Journal Article Dynamic connectedness and optimal hedging strategy among commodities and financial indices, International Review of Financial Analysis, Elsevier (2022) View citations (7) (2022)
4. On the risk management of demand deposits: quadratic hedging of interest rate margins
   Post-Print, HAL
   Also in Post-Print, HAL (2020)
   See also Journal Article On the risk management of demand deposits: quadratic hedging of interest rate margins, Annals of Operations Research, Springer (2022) (2022)
5. 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)
6. Risk management decisions and value under uncertainty
   Post-Print, HAL
   See also Journal Article Risk management decisions and value under uncertainty, Annals of Operations Research, Springer (2022) (2022)

2020

7. About Long-Term Cross-Currency Bermuda Swaption Pricing
   Post-Print, HAL
   See also Journal Article About Long-Term Cross-Currency Bermuda Swaption Pricing, Computational Economics, Springer (2020) (2020)
8. Optimal Portfolio Positioning on Multiple Assets Under Ambiguity
   Post-Print, HAL
   See also Journal Article Optimal Portfolio Positioning on Multiple Assets Under Ambiguity, Computational Economics, Springer (2020) (2020)

2019

9. A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates
   Post-Print, HAL
   See also Journal Article A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates, Computational Economics, Springer (2019) (2019)
10. Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market
    Post-Print, HAL View citations (3)
    See also Journal Article Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market, Economic Modelling, Elsevier (2019) View citations (6) (2019)
11. 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)
12. Preface: decision making and risk/return optimization in financial economics
    Post-Print, HAL
    See also Journal Article Preface: decision making and risk/return optimization in financial economics, Annals of Operations Research, Springer (2019) (2019)

2018

13. DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS
    Post-Print, HAL
    See also Journal Article DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS, Economic Inquiry, Western Economic Association International (2018) View citations (1) (2018)
14. 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)
15. On the robustness of portfolio allocation under copula misspecification
    Post-Print, HAL View citations (4)
    See also Journal Article On the robustness of portfolio allocation under copula misspecification, Annals of Operations Research, Springer (2018) View citations (5) (2018)
16. Optimal Employee Ownership Contracts under Ambiguity Aversion
    Post-Print, HAL
    See also Journal Article OPTIMAL EMPLOYEE OWNERSHIP CONTRACTS UNDER AMBIGUITY AVERSION, Economic Inquiry, Western Economic Association International (2018) (2018)
17. Preface: Risk management decisions and wealth management in Financial Economics
    Post-Print, HAL
    See also Journal Article Preface: Risk management decisions and wealth management in Financial Economics, Annals of Operations Research, Springer (2018) View citations (1) (2018)
18. Residential Real Estate in a Mixed-Asset Portfolio
    Post-Print, HAL
19. Risk management of time varying floors for dynamic portfolio insurance
    Post-Print, HAL View citations (3)
    See also Journal Article Risk management of time varying floors for dynamic portfolio insurance, European Journal of Operational Research, Elsevier (2018) View citations (4) (2018)

2017

20. Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds
    Post-Print, HAL View citations (1)
    See also Journal Article Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds, Economic Modelling, Elsevier (2017) View citations (2) (2017)
21. Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions
    Post-Print, HAL View citations (19)
22. Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
23. Optimal portfolio positioning within generalized Johnson distributions
    Post-Print, HAL View citations (2)
    Also in Working Papers, Department of Research, Ipag Business School (2014) View citations (7)
    See also Journal Article Optimal portfolio positioning within generalized Johnson distributions, Quantitative Finance, Taylor & Francis Journals (2017) View citations (2) (2017)

2016

24. 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)
25. On the Stochastic Dominance of Portfolio Insurance Strategies
    Post-Print, HAL View citations (4)
26. On the diversity score: a copula approach
    Post-Print, HAL
27. Optimal funding and hiring/firing policies with mean reverting demand
    Post-Print, HAL
    See also Journal Article Optimal funding and hiring/firing policies with mean reverting demand, Economic Modelling, Elsevier (2016) (2016)
28. Optimal positioning in financial derivatives under mixture distributions
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (2)
    Also in Post-Print, HAL (2016) View citations (2)
    Working Papers, Department of Research, Ipag Business School (2014) View citations (5)
    See also Journal Article Optimal positioning in financial derivatives under mixture distributions, Economic Modelling, Elsevier (2016) View citations (2) (2016)

2015

29. Detecting performance persistence of hedge funds
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
    Also in Post-Print, HAL (2015) View citations (1)
30. 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)
31. 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)
32. Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
    See also Journal Article Real estate investment: Market volatility and optimal holding period under risk aversion, Economic Modelling, Elsevier (2016) (2016)

2014

33. A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies
    Working Papers, HAL View citations (21)
    Also in Working Papers, Department of Research, Ipag Business School (2014) View citations (24)
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2013)
    Post-Print, HAL (2014) View citations (16)
    Post-Print, HAL (2014) View citations (21)
    See also Journal Article A dynamic autoregressive expectile for time-invariant portfolio protection strategies, Journal of Economic Dynamics and Control, Elsevier (2014) View citations (21) (2014)
34. Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs
    Working Papers, Department of Research, Ipag Business School View citations (6)
35. Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions
    Working Papers, Department of Research, Ipag Business School
36. Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation
    Working Papers, Department of Research, Ipag Business School View citations (14)
37. On the debt capacity of growth and decay options
    Working Papers, Department of Research, Ipag Business School View citations (5)
38. On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options
    Post-Print, HAL View citations (2)
    See also Journal Article On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options, Economic Modelling, Elsevier (2014) View citations (2) (2014)
39. Portfolio Optimization within Mixture of Distributions
    Working Papers, HAL View citations (1)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) View citations (1)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011)
    Post-Print, HAL (2011)
40. Portfolio insurance: Gap risk under conditional multiples
    Post-Print, HAL View citations (19)
    See also Journal Article Portfolio insurance: Gap risk under conditional multiples, European Journal of Operational Research, Elsevier (2014) View citations (21) (2014)
41. Structured portfolio analysis under SharpeOmega ratio
    Working Papers, Department of Research, Ipag Business School
    Also in Working Papers, HAL (2012)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012)
    EcoMod2010, EcoMod (2010)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012)

2013

42. 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)
43. Optimal portfolio positioning under ambiguity
    Post-Print, HAL View citations (7)
    See also Journal Article Optimal portfolio positioning under ambiguity, Economic Modelling, Elsevier (2013) View citations (11) (2013)

2012

44. Corporate investment choice and exchange option between production functions
    Post-Print, HAL View citations (1)

2011

45. A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
    Post-Print, HAL
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1996) View citations (1)
    See also Journal Article A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2001) View citations (3) (2001)
46. 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)
47. On the maximization of financial performance measures within mixture models
    Post-Print, HAL View citations (3)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) View citations (8)
    See also Journal Article On the maximization of financial performance measures within mixture models, Statistics & Risk Modeling, De Gruyter (2011) View citations (9) (2011)
48. Ownership structure and stock market liquidity: evidence from Tunisia
    Post-Print, HAL View citations (2)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) View citations (3)
    See also Journal Article Ownership structure and stock market liquidity: evidence from Tunisia, International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd (2011) View citations (3) (2011)
49. Real Estate Portfolio Management: Optimization under Risk Aversion
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (3)
50. VaR and Omega measures for hedge funds portfolios: A copula approach
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
    Also in Post-Print, HAL (2011) View citations (1)

2010

51. 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)
52. Behaviour towards Risk in Structured Portfolio Management
    Post-Print, HAL View citations (3)
53. Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
    Also in Post-Print, HAL (2010)
    See also Chapter Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination, International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited (2010) (2010)
54. Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures
    Post-Print, HAL View citations (11)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) View citations (10)
55. Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations
    Working Papers, HAL View citations (1)
56. International Portfolio Optimization with Higher Moments
    Post-Print, HAL View citations (8)

2009

57. A Risk Management Approach for Portfolio Insurance Strategies
    Post-Print, HAL View citations (6)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009) View citations (8)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) View citations (6)
58. Optimal Time to Sell in Real Estate Portfolio Management
    Post-Print, HAL View citations (9)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2008) View citations (5)
    See also Journal Article Optimal Time to Sell in Real Estate Portfolio Management, The Journal of Real Estate Finance and Economics, Springer (2009) View citations (6) (2009)
59. Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID
    Working Papers, HAL View citations (1)
60. Standardized versus customized portfolio: a compensating variation approach
    Post-Print, HAL View citations (11)
    See also Journal Article Standardized versus customized portfolio: a compensating variation approach, Annals of Operations Research, Springer (2009) View citations (13) (2009)

2008

61. Firm's value under investment irreversibility, stochastic demand and general production function
    Post-Print, HAL
62. Hedging global environment risks: An option based portfolio insurance
    Post-Print, HAL View citations (1)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2007) View citations (1)
63. Utilitarianism and fairness in portfolio positioning
    Post-Print, HAL View citations (13)
    See also Journal Article Utilitarianism and fairness in portfolio positioning, Journal of Banking & Finance, Elsevier (2008) View citations (15) (2008)

2005

64. Portfolio Insurance Strategies: OBPI versus CPPI
    Post-Print, HAL View citations (38)

2004

65. Option pricing with discrete rebalancing
    Post-Print, HAL
    Also in LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1999) View citations (1)
    Working Papers, Center for Research in Economics and Statistics (1999) View citations (1)
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1999) View citations (1)
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2002)
    See also Journal Article Option pricing with discrete rebalancing, Journal of Empirical Finance, Elsevier (2004) View citations (1) (2004)

2003

66. EVALUATION OF FINANCIAL STRUCTURED PRODUCTS: AN APPLICATION OF THE EXTREME VALUE THEORY
    Post-Print, HAL
67. Optimal portfolio positioning
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (3)
68. Optimal portfolio: towards an operational decision support system
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
69. Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic
    Post-Print, HAL View citations (22)

2002

70. 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)
71. Weak Convergence of Hedging Strategies of Contingent Claims
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (5)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000)

2001

72. Option Pricing with a General Marked Point Process
    Post-Print, HAL View citations (7)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1997) View citations (6)
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. (1997) View citations (1)

2000

73. An Autoregressive Conditional Binomial Option Pricing Model
    FMG Discussion Papers, Financial Markets Group View citations (4)
    Also in Working Papers, Center for Research in Economics and Statistics (1999) View citations (13)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000)
74. An Empirical Estimation in Credit Spread Indices
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
75. An Empirical Investigation in Credit Spread Indices
    FMG Discussion Papers, Financial Markets Group View citations (3)
    Also in LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2000) View citations (3)
    Working Papers, Center for Research in Economics and Statistics (2000) View citations (5)
76. Convergence of discrete time option pricing models under stochastic interest rates
    Post-Print, HAL View citations (6)
    Also in Working Papers, Center for Research in Economics and Statistics (1998) View citations (3)
    See also Journal Article Convergence of discrete time option pricing models under stochastic interest rates, Finance and Stochastics, Springer (2000) View citations (2) (2000)
77. Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (12)
78. Optimisation de portefeuille sous contrainte de variance de la tracking-error
    Post-Print, HAL View citations (1)
79. 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)
80. Strategies optimales d'allocation de portefeuilles internationaux avec contraintes
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

1999

81. 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 (2)
82. Incomplete markets: convergence of options values under the minimal martingale measure
    Post-Print, HAL View citations (5)
83. Optimal portfolio under insurance constraints on the horizon wealth
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
84. Optimality of portfolio insurance The extended CPPI method
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)

1997

85. A note on the valuation of an exotic timing option
    Post-Print, HAL View citations (1)
    See also Journal Article A note on the valuation of an exotic timing option, Journal of Futures Markets, John Wiley & Sons, Ltd. (1997) View citations (1) (1997)
86. Convergence of Discrete Time Options Pricing Models under Stochastic Rates
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
87. Convergence of discrete time options pricing models under stochastic
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
88. 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 (3)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1997) View citations (1)

1996

89. 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 (2)

1995

90. 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.
91. 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

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

Journal Articles

2024

1. Operational research insights on risk, resilience & dynamics of financial & economic systems
   Annals of Operations Research, 2024, 334, (1), 1-6

2023

2. Crisis and Risk Management: Recent Developments in Computational Economics
   Computational Economics, 2023, 62, (2), 487-491
3. On the Hedging of Interest Rate Margins on Bank Demand Deposits
   Computational Economics, 2023, 62, (3), 935-967
4. On the sovereign debt crisis: sovereign credit default swaps and their interaction with stock market indices
   Applied Economics, 2023, 55, (1), 20-42 View citations (2)

2022

5. Dynamic connectedness and optimal hedging strategy among commodities and financial indices
   International Review of Financial Analysis, 2022, 83, (C) View citations (7)
   See also Working Paper Dynamic connectedness and optimal hedging strategy among commodities and financial indices, Post-Print (2022) View citations (6) (2022)
6. On the risk management of demand deposits: quadratic hedging of interest rate margins
   Annals of Operations Research, 2022, 313, (2), 1319-1355
   See also Working Paper On the risk management of demand deposits: quadratic hedging of interest rate margins, Post-Print (2022) (2022)
7. 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)
8. Risk management decisions and value under uncertainty
   Annals of Operations Research, 2022, 313, (2), 603-604
   See also Working Paper Risk management decisions and value under uncertainty, Post-Print (2022) (2022)

2020

9. About Long-Term Cross-Currency Bermuda Swaption Pricing
   Computational Economics, 2020, 56, (1), 239-262
   See also Working Paper About Long-Term Cross-Currency Bermuda Swaption Pricing, Post-Print (2020) (2020)
10. Optimal Portfolio Positioning on Multiple Assets Under Ambiguity
    Computational Economics, 2020, 56, (1), 21-57
    See also Working Paper Optimal Portfolio Positioning on Multiple Assets Under Ambiguity, Post-Print (2020) (2020)

2019

11. A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates
    Computational Economics, 2019, 54, (1), 367-417
    See also Working Paper A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates, Post-Print (2019) (2019)
12. Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market
    Economic Modelling, 2019, 80, (C), 11-22 View citations (6)
    See also Working Paper Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market, Post-Print (2019) View citations (3) (2019)
13. 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)
14. 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)
15. Preface: decision making and risk/return optimization in financial economics
    Annals of Operations Research, 2019, 281, (1), 1-2
    See also Working Paper Preface: decision making and risk/return optimization in financial economics, Post-Print (2019) (2019)

2018

16. DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS
    Economic Inquiry, 2018, 56, (3), 1870-1886 View citations (1)
    See also Working Paper DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS, Post-Print (2018) (2018)
17. OPTIMAL EMPLOYEE OWNERSHIP CONTRACTS UNDER AMBIGUITY AVERSION
    Economic Inquiry, 2018, 56, (1), 238-251
    See also Working Paper Optimal Employee Ownership Contracts under Ambiguity Aversion, Post-Print (2018) (2018)
18. On the robustness of portfolio allocation under copula misspecification
    Annals of Operations Research, 2018, 262, (2), 631-652 View citations (5)
    See also Working Paper On the robustness of portfolio allocation under copula misspecification, Post-Print (2018) View citations (4) (2018)
19. Preface: Risk management decisions and wealth management in Financial Economics
    Annals of Operations Research, 2018, 262, (2), 239-240 View citations (1)
    See also Working Paper Preface: Risk management decisions and wealth management in Financial Economics, Post-Print (2018) (2018)
20. Risk management of time varying floors for dynamic portfolio insurance
    European Journal of Operational Research, 2018, 269, (1), 363-381 View citations (4)
    See also Working Paper Risk management of time varying floors for dynamic portfolio insurance, Post-Print (2018) View citations (3) (2018)

2017

21. Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds
    Economic Modelling, 2017, 67, (C), 228-247 View citations (2)
    See also Working Paper Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds, Post-Print (2017) View citations (1) (2017)
22. Optimal portfolio positioning within generalized Johnson distributions
    Quantitative Finance, 2017, 17, (7), 1037-1055 View citations (2)
    See also Working Paper Optimal portfolio positioning within generalized Johnson distributions, Post-Print (2017) View citations (2) (2017)

2016

23. 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)
24. Optimal funding and hiring/firing policies with mean reverting demand
    Economic Modelling, 2016, 58, (C), 569-579
    See also Working Paper Optimal funding and hiring/firing policies with mean reverting demand, Post-Print (2016) (2016)
25. Optimal positioning in financial derivatives under mixture distributions
    Economic Modelling, 2016, 52, (PA), 115-124 View citations (2)
    See also Working Paper Optimal positioning in financial derivatives under mixture distributions, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2016) View citations (2) (2016)
26. Real estate investment: Market volatility and optimal holding period under risk aversion
    Economic Modelling, 2016, 58, (C), 543-555
    See also Working Paper Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion, THEMA Working Papers (2015) (2015)

2015

27. 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)
28. 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

29. A dynamic autoregressive expectile for time-invariant portfolio protection strategies
    Journal of Economic Dynamics and Control, 2014, 46, (C), 1-29 View citations (21)
    See also Working Paper A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies, Working Papers (2014) View citations (21) (2014)
30. 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 View citations (2)
31. 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 View citations (2)
    See also Working Paper On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options, Post-Print (2014) View citations (2) (2014)
32. Portfolio insurance: Gap risk under conditional multiples
    European Journal of Operational Research, 2014, 236, (1), 238-253 View citations (21)
    See also Working Paper Portfolio insurance: Gap risk under conditional multiples, Post-Print (2014) View citations (19) (2014)

2013

33. 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)
34. Optimal portfolio positioning under ambiguity
    Economic Modelling, 2013, 34, (C), 89-97 View citations (11)
    See also Working Paper Optimal portfolio positioning under ambiguity, Post-Print (2013) View citations (7) (2013)

2011

35. 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)
36. On the maximization of financial performance measures within mixture models
    Statistics & Risk Modeling, 2011, 28, (1), 63-80 View citations (9)
    See also Working Paper On the maximization of financial performance measures within mixture models, Post-Print (2011) View citations (3) (2011)
37. Ownership structure and stock market liquidity: evidence from Tunisia
    International Journal of Managerial and Financial Accounting, 2011, 3, (1), 91-109 View citations (3)
    See also Working Paper Ownership structure and stock market liquidity: evidence from Tunisia, Post-Print (2011) View citations (2) (2011)

2010

38. 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

39. Optimal Time to Sell in Real Estate Portfolio Management
    The Journal of Real Estate Finance and Economics, 2009, 38, (1), 59-87 View citations (6)
    See also Working Paper Optimal Time to Sell in Real Estate Portfolio Management, Post-Print (2009) View citations (9) (2009)
40. Standardized versus customized portfolio: a compensating variation approach
    Annals of Operations Research, 2009, 165, (1), 161-185 View citations (13)
    See also Working Paper Standardized versus customized portfolio: a compensating variation approach, Post-Print (2009) View citations (11) (2009)

2008

41. Utilitarianism and fairness in portfolio positioning
    Journal of Banking & Finance, 2008, 32, (8), 1648-1660 View citations (15)
    See also Working Paper Utilitarianism and fairness in portfolio positioning, Post-Print (2008) View citations (13) (2008)

2004

42. Option pricing with discrete rebalancing
    Journal of Empirical Finance, 2004, 11, (1), 133-161 View citations (1)
    See also Working Paper Option pricing with discrete rebalancing, Post-Print (2004) (2004)

2001

43. A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
    International Journal of Theoretical and Applied Finance (IJTAF), 2001, 04, (01), 121-146 View citations (3)
    See also Working Paper A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING, Post-Print (2011) (2011)

1999

44. 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 Convergence of discrete time option pricing models under stochastic interest rates, Post-Print (2000) View citations (6) (2000)

1997

45. A note on the valuation of an exotic timing option
    Journal of Futures Markets, 1997, 17, (4), 483-487 View citations (1)
    See also Working Paper A note on the valuation of an exotic timing option, Post-Print (1997) View citations (1) (1997)

Edited books

2022

1. Crises and Uncertainty in the Economy
   Springer Books, Springer

2008

2. Risk Management and Value:Valuation and Asset Pricing
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (1)

Chapters

2012

1. Estimation of Non-Gaussian Returns: The Hedge Funds Case
   A chapter in Recent Developments in Alternative Finance: Empirical Assessments and Economic Implications, 2012, pp 247-272

2010

2. Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination
   A chapter in Nonlinear Modeling of Economic and Financial Time-Series, 2010, pp 83-109
   See also Working Paper Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination, HAL (2010) View citations (1) (2010)